FIZZ Options History — October 2020

In October 2020, FIZZ traded between $35.15 and $44.52. ATM implied volatility averaged 56.0%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 15.5% (HV 20d: 40.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.99.

Notable Days

  • 2020-10-20: Highest Volume — 37,246 contracts
  • 2020-10-09: Largest IV drop — 12.1% change
  • 2020-10-08: Highest IV Rank — 27.1%
  • 2020-10-08: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.41$35.15$44.52$35.49$39.00
Max Pain$38.30$35.00$40.00$40.00$40.00
ATM IV56.0%50.0%60.5%57.5%58.3%
Expected Move16.2%14.3%17.4%16.5%16.7%
HV 20d40.5%29.1%54.6%54.6%43.9%
HV 60d47.0%44.8%47.9%46.9%46.6%
IV Rank21.9%14.7%27.1%23.6%24.6%
IV Percentile52.5%32.1%67.1%59.1%59.5%
Term Structure7.9%1.5%12.4%1.5%5.6%
VWIV58.1%52.7%63.7%58.7%62.5%
Skew 25d5.0%3.1%8.9%8.9%7.1%
Skew 10d8.7%0.4%17.4%17.4%13.7%
Call IV 25d55.9%50.4%60.9%55.5%58.8%
Put IV 25d60.9%55.7%65.9%64.4%65.9%
Bid-Ask Spread %49.1836.1179.2873.3254.55
Gamma HHI0.300.210.490.210.26
Net GEX-1.9M-2.4M-1.5M-1.8M-1.7M
Net DEX65.7M42.1M101.7M71.9M101.7M
Net VEX-368.8K-548.8K-179.0K-194.9K-455.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.990.1219.650.504.01
Total Volume4,776.36423837,246942822
Total OI64,159.27351,11875,43256,26466,390

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$35.49$40.0057.5%16.5%54.6%23.6%58.7%8.9%1.5%-1.8M71.9M-194.9K0.5073.32N/AN/A62831412,51243,752
2020-10-02$35.15$40.0059.2%17.0%54.3%25.7%63.0%3.5%1.5%-1.8M72.4M-191.1K0.4679.28N/AN/A2009212,31843,656
2020-10-05$35.44$35.0059.0%16.8%54.6%25.4%60.1%3.9%5.3%-1.9M72.7M-179.0K5.0041.26N/AN/A19497012,47243,682
2020-10-06$36.99$35.0056.5%16.4%53.1%22.5%59.4%4.4%6.5%-2.0M63.1M-193.4K0.1238.82N/AN/A3,23437212,53443,940
2020-10-07$38.33$35.0059.0%17.4%47.8%25.4%61.9%5.1%5.6%-1.8M49.6M-216.9K7.8840.81N/AN/A1,81014,27014,60643,938
2020-10-08$38.42$37.5060.5%17.4%44.9%27.1%62.0%3.2%6.9%-2.3M72.8M-337.2K1.1536.55N/AN/A56865214,74256,626
2020-10-09$39.48$37.5053.2%16.3%46.0%18.5%57.3%6.1%8.3%-2.4M63.2M-344.2K0.3537.73N/AN/A1,08037614,99256,828
2020-10-12$40.26$37.5058.2%17.1%44.6%24.4%63.7%3.8%8.2%-2.2M54.6M-336.8K4.4643.92N/AN/A5562,48015,30856,822
2020-10-13$41.48$37.5055.6%16.5%34.7%21.4%59.7%4.5%9.5%-2.1M45.9M-347.4K0.5636.11N/AN/A79845015,31258,238
2020-10-14$41.89$37.5056.4%16.2%33.9%22.4%58.6%3.7%10.3%-2.2M42.1M-343.9K0.6438.77N/AN/A48831415,01258,192
2020-10-15$41.53$37.5057.1%16.4%32.1%23.2%59.7%4.0%10.7%-2.3M46.5M-339.4K3.5044.08N/AN/A6822,38614,80658,242
2020-10-16$41.84$37.5054.2%15.5%32.1%19.7%56.0%3.5%12.4%-1.6M51.2M-351.7K2.6550.22N/AN/A1,1963,16415,11260,320
2020-10-19$42.35$37.5054.3%15.6%31.1%19.9%55.5%3.1%12.4%-1.7M50.7M-358.5K1.2546.39N/AN/A7669609,64441,474
2020-10-20$44.01$37.5051.4%14.7%32.7%16.4%53.9%5.6%11.3%-1.8M42.3M-366.6K19.6546.42N/AN/A1,80435,44210,11842,094
2020-10-21$44.01$40.0050.0%14.3%31.8%14.7%53.0%5.5%11.3%-1.5M57.9M-489.5K0.3949.78N/AN/A75429611,23047,110
2020-10-22$44.52$40.0051.4%14.7%29.1%16.4%52.8%4.1%10.8%-1.6M54.6M-486.7K5.8053.79N/AN/A3,35619,45011,52847,260
2020-10-23$43.73$40.0054.0%15.5%30.7%19.4%52.7%7.0%7.4%-1.7M74.5M-548.8K2.4554.82N/AN/A5481,34012,89252,406
2020-10-26$41.51$40.0054.6%15.7%37.5%20.2%56.2%5.2%7.4%-1.7M87.7M-522.2K1.0255.19N/AN/A42042813,11053,146
2020-10-27$42.64$40.0055.3%15.9%37.3%21.0%54.4%5.0%7.3%-1.8M83.1M-522.6K0.6553.82N/AN/A1449413,07253,248
2020-10-28$40.52$40.0059.9%17.2%43.0%26.5%58.5%7.1%5.6%-1.7M93.2M-493.6K0.6851.44N/AN/A20013613,11253,266
2020-10-29$40.53$40.0057.1%16.4%41.2%23.2%58.2%6.5%7.9%-1.7M93.7M-493.6K2.6854.98N/AN/A23061613,08653,356
2020-10-30$39.00$40.0058.3%16.7%43.9%24.6%62.5%7.1%5.6%-1.7M101.7M-455.8K4.0154.55N/AN/A16465813,07453,316