FIZZ Options History — September 2020

In September 2020, FIZZ traded between $34.02 and $42.09. ATM implied volatility averaged 70.7%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 19.2% (HV 20d: 51.5%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2020-09-15: Highest Volume — 32,596 contracts
  • 2020-09-09: Largest IV drop — 22.7% change
  • 2020-09-08: Highest IV Rank — 89.3%
  • 2020-09-08: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.62$34.02$42.09$41.88$34.02
Max Pain$41.43$37.50$42.50$37.50$40.00
ATM IV70.7%55.1%112.8%87.5%57.6%
Expected Move19.7%15.8%27.1%25.1%16.5%
HV 20d51.5%33.2%63.0%33.8%51.4%
HV 60d45.8%41.8%48.1%42.6%46.5%
IV Rank39.3%20.7%89.3%59.3%23.8%
IV Percentile74.7%54.4%98.8%92.9%59.9%
Term Structure-1.9%-14.7%5.5%-13.4%2.0%
VWIV70.5%55.9%95.4%87.9%59.7%
Skew 25d4.1%-1.6%9.0%4.7%7.3%
Skew 10d9.2%-13.6%15.7%13.0%15.7%
Call IV 25d68.8%54.8%94.7%83.4%58.5%
Put IV 25d72.9%58.4%95.9%88.1%65.8%
Bid-Ask Spread %61.7445.1776.8345.3776.83
Gamma HHI0.230.190.290.280.19
Net GEX-1.6M-2.1M-1.2M-1.5M-1.6M
Net DEX60.5M34.9M77.8M39.5M77.8M
Net VEX-243.1K-305.8K-183.3K-305.8K-183.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.0811.240.600.65
Total Volume3,775.04836832,5961,796902
Total OI54,606.47648,86463,25053,31856,234

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$41.88$37.5087.5%25.1%33.8%59.3%87.9%4.7%-13.4%-1.5M39.5M-305.8K0.6045.37N/AN/A1,1246726,94646,372
2020-09-02$42.09$37.5090.1%25.8%33.2%62.3%90.4%9.0%-11.9%-1.3M34.9M-277.9K0.6745.17N/AN/A6304247,33841,526
2020-09-03$41.19$37.50102.4%24.2%35.6%76.9%87.4%6.7%-9.2%-1.2M38.8M-277.8K11.2449.81N/AN/A6146,9027,20241,854
2020-09-04$40.54$42.5097.6%25.7%36.6%71.2%90.0%2.5%-10.7%-1.3M45.6M-291.7K0.9748.16N/AN/A4023887,38443,424
2020-09-08$38.09$42.50112.8%27.1%42.4%89.3%95.4%1.2%-14.7%-1.3M55.0M-272.6K0.8246.80N/AN/A6225087,35043,418
2020-09-09$40.91$42.5087.3%25.0%47.5%59.0%88.5%3.6%-8.6%-1.3M43.1M-276.0K0.8145.99N/AN/A7526067,57643,592
2020-09-10$39.04$42.5075.3%21.6%52.2%44.8%75.5%2.3%-4.1%-1.5M52.6M-261.1K1.2066.58N/AN/A1,5841,9068,24243,932
2020-09-11$39.02$42.5064.3%18.4%52.2%31.7%68.8%1.1%5.5%-1.7M52.8M-267.9K1.3356.52N/AN/A1582108,88445,324
2020-09-14$40.47$42.5065.1%18.7%52.9%32.7%65.9%2.1%4.4%-1.5M44.8M-256.7K0.0853.89N/AN/A6,1624788,84045,316
2020-09-15$37.39$42.5064.0%18.4%61.8%31.4%64.8%-1.6%1.2%-1.7M62.0M-247.9K0.2769.70N/AN/A25,6286,96811,21245,604
2020-09-16$36.80$42.5061.1%17.5%62.3%27.9%62.7%1.0%5.0%-1.7M66.8M-249.4K0.2764.97N/AN/A3,64497215,68847,562
2020-09-17$35.84$42.5058.1%16.7%62.9%24.4%59.0%3.2%2.1%-2.1M74.2M-230.2K0.5666.62N/AN/A1,9721,10415,05447,356
2020-09-18$36.17$42.5055.1%15.8%62.8%20.8%55.9%3.6%2.8%-1.8M72.2M-225.4K1.2267.04N/AN/A76893614,80847,392
2020-09-21$35.65$42.5058.0%16.6%63.0%24.2%58.5%3.9%0.2%-1.8M73.1M-218.5K0.2468.02N/AN/A7081709,62243,206
2020-09-22$36.28$42.5055.1%15.8%57.3%20.7%58.8%5.6%1.2%-1.8M70.7M-217.3K0.9867.18N/AN/A3203149,84843,158
2020-09-23$35.80$42.5057.2%16.4%57.4%23.3%58.3%5.9%0.7%-1.8M72.7M-213.3K0.1767.13N/AN/A2,7344709,94443,258
2020-09-24$34.95$40.0058.4%16.7%55.4%24.7%63.3%7.3%1.6%-1.6M72.4M-218.7K6.4672.87N/AN/A7044,54811,99843,202
2020-09-25$34.95$42.5057.5%16.5%54.1%23.7%61.3%5.0%2.4%-1.7M70.8M-218.5K0.5073.27N/AN/A39219611,83843,588
2020-09-28$34.62$42.5058.9%16.9%53.0%25.3%64.1%5.3%2.9%-1.7M73.9M-200.5K1.2970.57N/AN/A40852812,04043,572
2020-09-29$34.26$40.0061.0%17.5%53.0%27.8%65.0%6.5%0.6%-1.7M77.4M-195.3K0.9073.99N/AN/A39435412,21443,818
2020-09-30$34.02$40.0057.6%16.5%51.4%23.8%59.7%7.3%2.0%-1.6M77.8M-183.3K0.6576.83N/AN/A54635612,47643,758