FIZZ Options History — April 2021

In April 2021, FIZZ traded between $47.73 and $54.78. ATM implied volatility averaged 53.4%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 10.4% (HV 20d: 43.0%). Max pain ranged from $49.50 to $50.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2021-04-13: Highest Volume — 22,987 contracts
  • 2021-04-14: Largest IV drop — 23.2% change
  • 2021-04-13: Highest IV Rank — 11.5%
  • 2021-04-05: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.60$47.73$54.78$47.74$48.45
Max Pain$49.98$49.50$50.00$49.50$50.00
ATM IV53.4%48.9%68.3%52.8%48.9%
Expected Move15.1%14.0%16.5%15.1%14.0%
HV 20d43.0%35.1%66.3%66.3%39.4%
HV 60d87.2%54.4%99.3%98.9%54.4%
IV Rank5.4%3.5%11.5%5.1%3.5%
IV Percentile31.1%15.1%78.6%27.8%15.1%
Term Structure1.5%-1.7%5.5%3.3%0.2%
VWIV55.3%51.3%60.4%60.4%51.3%
Skew 25d-3.2%-6.7%0.7%-3.7%0.4%
Skew 10d-7.9%-16.4%2.2%-8.1%2.2%
Call IV 25d57.4%51.2%62.5%58.4%51.2%
Put IV 25d54.2%50.7%60.2%54.7%51.6%
Bid-Ask Spread %39.6725.2873.9473.9450.87
Gamma HHI0.210.090.530.210.10
Net GEX-806.3K-2.5M4.0M-2.5M120.2K
Net DEX10.2M-38.3M51.3M51.3M7.9M
Net VEX-296.1K-343.2K-267.5K-338.5K-267.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.065.710.560.78
Total Volume3,082.57132822,987883519
Total OI49,545.14325,49179,71163,92830,467

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$47.74$49.5052.8%15.1%66.3%5.1%60.4%-3.7%3.3%-2.5M51.3M-338.5K0.5673.94N/AN/A56631722,48141,447
2021-04-05$48.70$50.0057.8%16.5%54.1%7.2%59.3%-6.0%2.4%-2.4M39.8M-327.2K0.6935.96N/AN/A1,24686622,94041,612
2021-04-06$48.74$50.0053.9%15.8%52.8%5.6%59.4%-1.3%5.5%-2.4M37.3M-328.4K1.2425.68N/AN/A8061,00223,88940,716
2021-04-07$49.98$50.0053.0%15.5%47.4%5.2%56.1%-5.8%4.3%-2.3M26.5M-343.2K0.1347.10N/AN/A99512824,52940,964
2021-04-08$49.75$50.0051.0%15.2%47.3%4.4%55.9%-5.3%4.6%-2.4M27.7M-320.8K5.7134.15N/AN/A2951,68424,85140,998
2021-04-09$47.73$50.0053.5%15.3%49.0%5.4%54.5%-4.7%4.5%-2.4M50.0M-298.7K0.3939.21N/AN/A1,57161125,05240,038
2021-04-12$50.41$50.0061.4%16.0%43.2%8.7%57.1%-2.3%1.2%-2.0M15.9M-299.0K0.1844.44N/AN/A1,81632825,51639,424
2021-04-13$49.31$50.0068.3%15.2%40.4%11.5%57.4%-4.9%0.6%-2.3M27.1M-290.3K1.1844.02N/AN/A10,55212,43526,77139,417
2021-04-14$50.49$50.0052.4%15.0%41.5%5.0%54.3%-1.9%5.1%-2.1M3.4M-295.5K0.7330.77N/AN/A1,4071,02632,96345,253
2021-04-15$50.94$50.0051.7%14.8%41.7%4.7%53.5%-1.8%0.3%-2.1M-11.7M-277.5K0.6334.27N/AN/A2,4281,51933,74445,967
2021-04-16$52.31$50.0050.0%14.3%38.7%4.0%52.4%-2.1%0.8%4.0M-38.3M-268.4K0.6532.35N/AN/A7,8115,09633,44945,392
2021-04-19$53.03$50.0053.7%15.4%38.8%5.5%54.4%0.7%-0.2%92.1K-1.8M-276.6K0.1029.79N/AN/A2,25721912,75712,734
2021-04-20$53.94$50.0054.4%15.6%39.1%5.8%55.5%-6.7%0.5%197.1K-7.4M-294.0K0.2031.85N/AN/A85317214,20212,888
2021-04-21$54.78$50.0052.9%15.2%38.9%5.2%54.9%-4.3%1.7%243.1K-9.8M-294.7K0.1436.41N/AN/A6538914,37112,939
2021-04-22$53.44$50.0053.7%15.4%35.1%5.5%54.7%-4.0%-0.7%227.1K-6.1M-292.7K0.0625.38N/AN/A1,1646514,53612,968
2021-04-23$52.44$50.0050.8%14.6%35.7%4.3%53.9%-2.9%0.7%256.0K-4.7M-289.7K0.2025.28N/AN/A2735515,27612,969
2021-04-26$52.37$50.0052.2%15.0%35.6%4.9%54.9%-3.2%-1.7%254.5K-4.7M-284.1K0.3234.68N/AN/A2929415,23413,012
2021-04-27$50.37$50.0049.8%14.3%38.5%3.9%53.1%-3.0%-0.4%192.1K1.3M-273.7K0.5539.01N/AN/A1,42277815,27713,056
2021-04-28$48.90$50.0049.5%14.2%40.0%3.8%52.6%-2.8%0.2%169.8K4.5M-281.1K0.3561.06N/AN/A31911116,36213,797
2021-04-29$48.81$50.0049.7%14.2%40.0%3.8%56.1%-0.8%-0.6%152.0K5.9M-276.4K0.6056.90N/AN/A55733716,35313,837
2021-04-30$48.45$50.0048.9%14.0%39.4%3.5%51.3%0.4%0.2%120.2K7.9M-267.5K0.7850.87N/AN/A29222716,42114,046