FIZZ Options History — February 2021

In February 2021, FIZZ traded between $47.81 and $64.24. ATM implied volatility averaged 91.6%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded below realized volatility by 51.8% (HV 20d: 143.5%). Max pain ranged from $50.00 to $110.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.63.

Notable Days

  • 2021-02-04: Highest Volume — 12,286 contracts
  • 2021-02-25: Largest IV spike — 31.0% change
  • 2021-02-01: Highest IV Rank — 45.7%
  • 2021-02-01: Largest Expected Move — 43.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.32$47.81$64.24$64.24$47.81
Max Pain$58.42$50.00$110.00$50.00$55.00
ATM IV91.6%73.0%151.0%151.0%88.9%
Expected Move26.4%20.9%43.3%43.3%25.5%
HV 20d143.5%76.2%154.6%144.7%76.2%
HV 60d93.3%90.1%94.3%90.1%94.3%
IV Rank21.2%13.5%45.7%45.7%20.0%
IV Percentile87.2%76.6%98.8%98.8%88.5%
Term Structure-8.4%-23.0%-0.9%-21.8%-5.1%
VWIV99.5%76.4%161.4%161.4%100.3%
Skew 25d-14.2%-28.3%6.0%-28.3%-9.7%
Skew 10d-35.8%-69.8%-16.4%-69.8%-38.3%
Call IV 25d105.6%81.4%175.7%175.7%107.1%
Put IV 25d91.5%75.2%147.4%147.4%97.4%
Bid-Ask Spread %48.9833.9271.9442.2271.02
Gamma HHI0.100.070.190.100.11
Net GEX-1.2M-3.4M-133.1K-844.0K-1.9M
Net DEX17.1M-46.0M80.4M-46.0M77.8M
Net VEX-693.6K-881.6K-57.3K-881.6K-631.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.065.944.390.07
Total Volume5,602.1581,03512,28611,8181,035
Total OI104,545.10523,724118,550106,32896,940

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$64.24$50.00151.0%43.3%144.7%45.7%161.4%-28.3%-21.8%-844.0K-46.0M-881.6K4.3942.22N/AN/A2,1929,62636,01470,314
2021-02-02$60.20$50.00121.3%34.8%147.6%33.4%128.9%-24.9%-12.8%-918.4K-26.2M-828.1K4.9243.11N/AN/A2,0209,94236,25468,182
2021-02-03$61.27$50.00116.2%33.3%147.4%31.3%121.9%-23.0%-13.3%-875.2K-34.9M-812.1K0.9153.31N/AN/A5,0764,63437,11868,278
2021-02-04$55.61$55.0088.1%25.6%152.6%19.7%95.2%-14.5%-6.4%-1.1M4.1M-812.7K0.7443.43N/AN/A7,0485,23840,34668,150
2021-02-05$54.39$57.5082.6%25.8%152.7%17.4%99.8%-18.4%-5.2%-903.9K9.5M-799.1K0.5454.88N/AN/A3,4241,83245,42267,318
2021-02-08$57.21$57.5091.7%26.7%153.2%21.2%95.8%-18.1%-10.9%-520.6K-17.1M-790.4K0.2836.02N/AN/A2,77078846,38468,344
2021-02-09$58.49$55.0088.3%25.3%152.1%19.8%97.4%-18.1%-8.4%-245.6K-33.1M-783.7K0.9033.92N/AN/A3,1622,84247,39868,354
2021-02-10$58.91$55.0088.8%25.5%152.0%20.0%90.4%-14.0%-9.5%-213.8K-39.9M-754.0K0.9254.07N/AN/A4,4784,14047,91667,578
2021-02-11$56.70$57.5086.2%24.7%153.1%18.9%89.7%-16.0%-11.5%-499.9K-18.4M-739.4K2.0344.81N/AN/A1,7183,48448,59466,772
2021-02-12$54.52$57.5084.4%24.2%153.8%18.2%88.6%-12.3%-9.3%-979.6K6.4M-698.7K0.6543.59N/AN/A1,46095648,60666,334
2021-02-16$53.00$57.5080.0%22.9%154.4%16.4%85.0%-13.8%-5.9%-1.4M24.7M-670.4K0.9044.03N/AN/A1,9561,76048,74866,946
2021-02-17$50.79$57.5078.5%22.5%154.5%15.7%86.8%-9.5%-3.1%-1.7M45.1M-649.5K5.9443.12N/AN/A1,0085,98849,19666,268
2021-02-18$50.48$57.5079.0%22.7%154.4%16.0%88.4%-3.4%-3.9%-2.0M49.0M-661.8K1.2445.69N/AN/A62878049,10468,854
2021-02-19$50.29$57.5077.5%22.2%154.4%15.3%83.4%-10.7%-0.9%-3.4M53.5M-647.7K1.4942.79N/AN/A1,1541,71849,39069,160
2021-02-22$48.70$110.0073.0%20.9%154.6%13.5%76.4%-6.2%-1.9%-133.1K69.0M-57.3K2.8046.54N/AN/A1,0402,9078,25115,473
2021-02-23$49.43$57.5074.1%21.2%147.8%13.9%91.4%-7.7%-0.9%-2.4M80.4M-647.0K1.9746.80N/AN/A9231,81630,96563,317
2021-02-24$51.03$57.5083.0%23.8%135.7%17.6%99.5%-26.6%-5.4%-2.0M59.9M-649.1K0.0669.37N/AN/A4,50625931,10962,118
2021-02-25$48.97$55.00108.7%31.2%84.6%28.2%109.8%6.0%-23.0%-1.5M62.0M-664.0K0.1471.94N/AN/A1,86826534,64362,199
2021-02-26$47.81$55.0088.9%25.5%76.2%20.0%100.3%-9.7%-5.1%-1.9M77.8M-631.6K0.0771.02N/AN/A9696634,60862,332