FIZZ Options History — May 2021

In May 2021, FIZZ traded between $44.74 and $49.82. ATM implied volatility averaged 48.6%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 10.9% (HV 20d: 37.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2021-05-26: Highest Volume — 3,147 contracts
  • 2021-05-26: Largest IV spike — 15.7% change
  • 2021-05-28: Highest IV Rank — 7.5%
  • 2021-05-28: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.64$44.74$49.82$48.64$49.82
Max Pain$49.00$45.00$50.00$50.00$45.00
ATM IV48.6%42.8%58.6%48.2%58.6%
Expected Move13.8%12.3%16.8%13.8%16.8%
HV 20d37.7%33.7%45.1%38.8%35.0%
HV 60d49.7%47.8%52.2%50.8%48.1%
IV Rank3.4%1.0%7.5%3.2%7.5%
IV Percentile17.0%1.6%56.0%12.7%56.0%
Term Structure4.9%-2.4%10.1%-0.9%2.1%
VWIV49.4%42.9%64.7%50.5%64.7%
Skew 25d-0.6%-10.9%2.8%-0.6%-10.9%
Skew 10d-3.1%-25.3%3.1%-1.9%-24.6%
Call IV 25d50.5%42.9%68.7%51.5%68.7%
Put IV 25d49.9%44.9%57.7%50.9%57.7%
Bid-Ask Spread %58.2549.1069.7264.7162.67
Gamma HHI0.100.090.130.100.10
Net GEX-42.8K-269.7K384.9K121.9K384.9K
Net DEX13.9M-2.6M20.9M7.1M-2.6M
Net VEX-240.3K-270.4K-219.8K-270.3K-270.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.032.321.660.06
Total Volume730.851063,1475432,870
Total OI31,246.0528,91732,21330,66632,213

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$48.64$50.0048.2%13.8%38.8%3.2%50.5%-0.6%-0.9%121.9K7.1M-270.3K1.6664.71N/AN/A20433916,46814,198
2021-05-04$45.64$50.0049.1%14.1%44.9%3.6%52.5%1.7%0.6%-53.8K15.5M-244.5K0.4460.71N/AN/A62527416,46414,507
2021-05-05$46.88$50.0049.2%14.1%45.0%3.6%49.8%2.4%-2.4%-24.4K13.7M-253.2K0.8552.75N/AN/A22919516,50014,629
2021-05-06$47.21$50.0048.1%13.4%45.1%3.2%46.8%0.4%8.3%-39.9K13.3M-251.4K0.4049.10N/AN/A1526116,51314,774
2021-05-07$47.71$50.0044.2%13.1%42.9%1.6%45.9%-1.4%5.8%-29.3K12.1M-254.0K0.3054.32N/AN/A2597716,52814,745
2021-05-10$46.39$50.0049.5%13.2%38.8%3.7%46.8%0.1%5.3%-105.0K16.0M-236.7K0.2553.37N/AN/A3298316,42314,683
2021-05-11$46.25$50.0053.0%13.7%38.2%5.2%48.5%0.4%7.0%-106.1K16.1M-236.5K0.1551.67N/AN/A1652416,45014,725
2021-05-12$45.10$50.0050.0%14.3%37.6%4.0%51.2%1.1%5.4%-151.1K18.4M-228.5K1.2450.00N/AN/A50562416,42714,733
2021-05-13$45.16$50.0050.2%14.4%37.3%4.1%53.7%-0.7%4.9%-142.1K18.3M-236.0K0.1553.01N/AN/A1973016,80715,005
2021-05-14$46.09$50.0046.5%13.3%36.7%2.5%47.2%-0.3%7.4%-131.2K16.7M-239.7K0.2657.69N/AN/A842216,80115,008
2021-05-17$45.60$50.0048.2%13.8%35.9%3.2%49.6%-0.3%6.6%-188.4K18.3M-231.9K0.3253.76N/AN/A1835816,80315,010
2021-05-18$45.57$50.0046.4%13.3%34.8%2.5%47.1%-2.2%7.9%-210.6K18.3M-229.4K0.6056.94N/AN/A925516,88515,018
2021-05-19$44.74$50.0049.1%14.1%33.8%3.6%49.0%2.3%3.9%-266.7K20.9M-219.8K1.0363.21N/AN/A12713116,89215,012
2021-05-20$45.90$50.0046.2%13.2%35.6%2.4%46.8%0.9%5.7%-269.7K18.3M-225.5K0.7061.31N/AN/A16411416,91815,030
2021-05-21$46.12$50.0044.9%12.9%35.6%1.8%45.5%1.0%7.1%-40.6K16.1M-227.3K2.3268.66N/AN/A13832016,99714,934
2021-05-24$46.44$50.0042.8%12.3%35.9%1.0%44.2%1.2%10.1%-52.9K14.7M-224.8K0.1761.41N/AN/A1,02117814,85414,063
2021-05-25$46.99$45.0043.4%12.4%34.2%1.2%42.9%2.8%5.8%22.0K13.8M-229.5K0.0869.72N/AN/A6785415,62414,200
2021-05-26$47.95$45.0050.2%14.4%33.7%4.0%51.9%-4.1%4.4%105.6K9.7M-239.3K0.0358.80N/AN/A3,0697815,90314,248
2021-05-27$48.67$45.0053.5%15.3%34.2%5.4%53.4%-5.9%3.5%321.3K2.8M-257.0K0.1161.27N/AN/A7288117,64014,289
2021-05-28$49.82$45.0058.6%16.8%35.0%7.5%64.7%-10.9%2.1%384.9K-2.6M-270.4K0.0662.67N/AN/A2,70716317,88414,329