FIZZ Options History — January 2021

In January 2021, FIZZ traded between $39.58 and $85.23. ATM implied volatility averaged 84.9%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 33.7% (HV 20d: 51.2%). Max pain ranged from $40.00 to $47.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2021-01-26: Highest Volume — 31,438 contracts
  • 2021-01-27: Largest IV spike — 111.9% change
  • 2021-01-26: Highest IV Rank — 100.0%
  • 2021-01-27: Largest Expected Move — 80.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.64$39.58$85.23$42.33$75.53
Max Pain$42.63$40.00$47.50$42.50$47.50
ATM IV84.9%46.0%282.2%52.0%192.8%
Expected Move24.1%13.4%80.9%14.2%55.3%
HV 20d51.2%24.4%128.7%37.7%128.4%
HV 60d49.4%40.6%82.9%41.2%82.9%
IV Rank32.4%9.1%100.0%16.3%63.0%
IV Percentile49.0%12.7%100.0%34.9%99.6%
Term Structure-1.8%-58.6%8.5%3.1%-18.4%
VWIV86.6%47.1%277.0%50.0%207.9%
Skew 25d-14.2%-74.6%2.0%1.0%-74.6%
Skew 10d-18.6%-76.8%2.3%-0.2%-72.3%
Call IV 25d95.4%47.9%300.6%50.3%261.1%
Put IV 25d81.2%48.4%250.1%51.3%186.5%
Bid-Ask Spread %41.8435.2554.2835.7541.95
Gamma HHI0.200.090.270.210.09
Net GEX-1.8M-2.6M-501.9K-2.5M-546.6K
Net DEX57.0M-139.4M139.3M111.6M-111.9M
Net VEX-640.6K-974.2K-448.6K-549.0K-902.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.113.860.361.16
Total Volume7,830.84275431,4381,5005,194
Total OI79,173.89565,090106,55071,100103,432

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$42.33$42.5052.0%14.2%37.7%16.3%50.0%1.0%3.1%-2.5M111.6M-549.0K0.3635.75N/AN/A1,10639414,84256,258
2021-01-05$42.19$42.5050.0%14.0%35.0%13.9%49.0%0.6%4.4%-2.4M112.6M-546.0K0.2136.12N/AN/A62413015,37256,422
2021-01-06$41.38$42.5047.9%13.7%35.0%11.4%48.1%0.4%4.5%-2.3M120.2M-520.4K0.1443.43N/AN/A1,29218415,73656,500
2021-01-07$40.70$42.5046.0%13.5%35.1%9.1%48.3%0.1%5.1%-2.1M125.5M-496.5K0.2944.58N/AN/A82423816,66856,572
2021-01-08$40.98$42.5047.8%13.4%31.3%11.3%47.1%0.7%5.5%-2.0M123.8M-496.8K0.1943.60N/AN/A80015416,96256,622
2021-01-11$39.64$42.5055.8%14.3%32.9%20.8%50.8%2.0%4.9%-1.8M133.0M-448.6K3.8654.28N/AN/A1,2284,74217,39056,664
2021-01-12$39.58$40.0054.8%13.5%24.4%19.6%48.0%0.3%7.0%-1.9M139.3M-478.3K2.0842.03N/AN/A5541,15217,66460,924
2021-01-13$41.28$40.0048.4%13.9%28.2%12.0%49.0%0.7%4.5%-1.8M129.5M-527.9K0.6646.84N/AN/A62041217,86661,642
2021-01-14$43.35$40.0053.9%15.4%32.9%18.5%56.2%-3.7%5.3%-2.6M100.8M-575.6K0.1340.76N/AN/A10,4941,37818,07861,746
2021-01-15$43.93$40.0051.0%14.6%31.2%15.2%57.0%-7.7%7.5%-2.1M94.0M-600.3K0.1138.75N/AN/A3,05834023,99662,712
2021-01-19$46.34$40.0055.4%15.9%36.2%20.4%57.4%-5.1%4.9%-2.1M79.3M-626.5K1.4541.53N/AN/A3,4805,03013,00452,086
2021-01-20$47.34$42.5053.5%15.3%36.1%18.0%56.0%-7.5%5.7%-2.1M72.9M-667.6K0.2141.26N/AN/A82017015,01854,410
2021-01-21$47.77$42.5051.8%14.8%35.8%15.9%54.8%-5.4%7.2%-2.2M71.0M-667.3K0.4740.38N/AN/A1,00047415,16254,416
2021-01-22$49.08$42.5053.4%15.3%36.6%17.2%57.0%-6.8%8.5%-2.2M61.2M-674.1K0.2641.60N/AN/A3,72495815,29454,746
2021-01-25$55.48$42.5099.9%28.6%55.1%73.4%104.2%-21.2%-4.9%-1.4M18.6M-712.7K0.8442.67N/AN/A15,84413,27817,88255,548
2021-01-26$64.93$45.00133.2%38.2%75.4%100.0%138.6%-38.8%-21.1%-857.5K-55.6M-752.5K2.4741.13N/AN/A9,06222,37625,72458,600
2021-01-27$85.23$45.00282.2%80.9%116.0%100.0%277.0%-50.5%-58.6%-501.9K-139.4M-974.2K0.6035.25N/AN/A10,2146,15832,79868,998
2021-01-28$75.11$47.50183.5%52.6%128.7%59.2%188.8%-54.1%-10.0%-636.6K-104.3M-953.6K2.8842.99N/AN/A5,49015,79035,06071,490
2021-01-29$75.53$47.50192.8%55.3%128.4%63.0%207.9%-74.6%-18.4%-546.6K-111.9M-902.8K1.1641.95N/AN/A2,4062,78834,77068,662