FIZZ Options History — March 2021 In March 2021, FIZZ traded between $47.20 and $56.17. ATM implied volatility averaged 77.3%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 11.9% (HV 20d: 65.4%). Max pain ranged from $49.50 to $55.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.07.
Notable Days 2021-03-05 : Highest Volume — 3,485 contracts2021-03-12 : Largest IV drop — 28.7% change2021-03-09 : Highest IV Rank — 31.7%2021-03-03 : Largest Expected Move — 28.3%Monthly Statistics Metric Avg Min Max Open Close Price $50.80 $47.20 $56.17 $49.56 $48.69 Max Pain $50.22 $49.50 $55.00 $55.00 $49.50 ATM IV 77.3% 56.8% 117.0% 91.9% 58.6% Expected Move 21.1% 16.3% 28.3% 26.4% 16.8% HV 20d 65.4% 55.1% 78.4% 78.4% 66.0% HV 60d 97.2% 93.9% 98.8% 94.5% 98.8% IV Rank 15.3% 6.8% 31.7% 21.3% 7.5% IV Percentile 71.8% 40.5% 97.2% 89.7% 48.0% Term Structure -2.7% -27.9% 7.9% -15.5% 0.8% VWIV 78.2% 58.6% 113.3% 104.5% 64.0% Skew 25d -10.6% -23.6% -1.3% -5.2% -6.7% Skew 10d -28.0% -79.2% -12.5% -32.8% -21.4% Call IV 25d 85.3% 62.3% 117.3% 104.1% 64.2% Put IV 25d 74.8% 57.6% 98.9% 98.9% 57.6% Bid-Ask Spread % 64.12 46.96 79.34 71.37 64.39 Gamma HHI 0.16 0.10 0.42 0.11 0.21 Net GEX -2.1M -6.2M -1.2M -1.8M -2.2M Net DEX 35.8M -3.5M 66.4M 54.1M 38.9M Net VEX -485.2K -615.9K -361.7K -615.9K -361.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.06 6.73 0.38 0.42 Total Volume 1,419 251 3,485 804 564 Total OI 82,090.957 61,767 93,490 91,689 63,501
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-03-01 $49.56 $55.00 91.9% 26.4% 78.4% 21.3% 104.5% -5.2% -15.5% -1.8M 54.1M -615.9K 0.38 71.37 N/A N/A 584 220 31,805 59,884 2021-03-02 $48.35 $55.00 83.6% 24.0% 58.3% 17.8% 97.4% -12.6% 7.9% -2.0M 66.4M -589.1K 1.47 71.78 N/A N/A 564 828 31,758 59,888 2021-03-03 $48.88 $55.00 98.7% 28.3% 55.7% 24.1% 113.3% -23.6% -14.6% -1.9M 63.4M -594.9K 0.54 79.34 N/A N/A 1,141 616 31,631 59,699 2021-03-04 $49.19 $49.50 103.3% 22.0% 55.1% 26.0% 90.8% -5.9% 6.1% -1.9M 61.7M -586.9K 0.11 74.21 N/A N/A 1,650 175 31,492 59,945 2021-03-05 $54.59 $49.50 105.4% 28.0% 59.5% 26.9% 96.6% -20.2% -27.9% -1.4M 17.3M -612.0K 0.30 66.58 N/A N/A 2,688 797 31,439 59,975 2021-03-08 $52.59 $49.50 113.7% 26.4% 60.5% 30.3% 95.0% -19.4% -12.7% -1.6M 34.8M -579.6K 0.15 64.59 N/A N/A 2,549 379 31,902 60,055 2021-03-09 $56.17 $49.50 117.0% 25.9% 62.4% 31.7% 92.8% -20.1% -9.6% -1.2M -3.5M -579.7K 0.09 57.28 N/A N/A 1,273 111 32,795 60,154 2021-03-10 $55.49 $49.50 90.8% 26.0% 61.9% 20.8% 86.8% -17.2% -11.9% -1.3M 290.7K -558.8K 0.23 58.75 N/A N/A 277 63 32,476 60,132 2021-03-11 $55.18 $49.50 87.3% 25.0% 61.8% 19.4% 86.3% -15.7% -8.8% -1.4M 5.8M -551.0K 3.89 58.98 N/A N/A 287 1,117 32,398 60,109 2021-03-12 $50.44 $49.50 62.3% 17.8% 68.1% 9.0% 71.5% -7.9% 5.1% -2.5M 45.7M -515.2K 2.01 75.56 N/A N/A 996 2,000 32,388 61,102 2021-03-15 $52.76 $49.50 73.3% 21.0% 69.2% 13.6% 81.2% -9.6% 2.0% -1.9M 23.3M -487.6K 0.08 56.75 N/A N/A 1,645 124 32,598 59,982 2021-03-16 $52.83 $49.50 74.8% 21.4% 68.4% 14.2% 75.6% -15.2% -1.6% -1.9M 22.1M -467.6K 0.14 63.06 N/A N/A 506 69 33,277 60,015 2021-03-17 $52.42 $49.50 70.1% 20.1% 66.7% 12.3% 78.4% -10.1% 1.2% -1.9M 23.9M -462.2K 0.06 59.85 N/A N/A 595 34 33,019 60,005 2021-03-18 $49.90 $49.50 71.3% 20.4% 69.0% 12.8% 72.3% -9.9% -4.6% -3.7M 55.7M -448.1K 6.73 46.96 N/A N/A 398 2,678 33,288 59,985 2021-03-19 $50.37 $49.50 62.6% 18.0% 69.1% 9.2% 67.6% -11.6% 7.0% -6.2M 43.0M -433.0K 0.96 56.77 N/A N/A 820 788 33,346 58,166 2021-03-22 $50.13 $49.50 61.2% 17.6% 68.1% 8.6% 62.1% -4.6% -0.6% -1.7M 26.9M -414.0K 0.51 51.53 N/A N/A 743 377 21,180 40,587 2021-03-23 $49.59 $49.50 59.5% 17.0% 68.1% 7.9% 60.0% -5.4% 0.2% -1.7M 30.1M -401.5K 0.61 65.06 N/A N/A 481 294 21,626 40,660 2021-03-24 $47.20 $49.50 59.3% 17.0% 69.1% 7.8% 61.0% -4.1% 7.1% -2.0M 50.6M -385.4K 3.27 54.08 N/A N/A 406 1,326 21,888 40,728 2021-03-25 $48.23 $49.50 58.9% 16.9% 68.2% 7.6% 58.6% -5.7% 1.6% -2.0M 43.0M -387.3K 0.26 67.02 N/A N/A 811 209 22,071 41,087 2021-03-26 $48.80 $49.50 56.8% 16.3% 67.8% 6.8% 60.1% -4.4% 5.8% -2.0M 39.5M -388.8K 1.24 72.88 N/A N/A 217 268 22,094 41,122 2021-03-29 $48.34 $49.50 59.3% 17.0% 66.6% 7.8% 63.0% -6.5% -3.1% -2.1M 42.2M -370.6K 0.31 70.09 N/A N/A 547 171 22,183 41,267 2021-03-30 $48.76 $49.50 59.3% 17.0% 66.1% 7.8% 60.0% -1.3% 2.9% -2.1M 39.3M -367.8K 0.85 67.93 N/A N/A 136 115 22,087 41,303 2021-03-31 $48.69 $49.50 58.6% 16.8% 66.0% 7.5% 64.0% -6.7% 0.8% -2.2M 38.9M -361.7K 0.42 64.39 N/A N/A 398 166 22,179 41,322
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