FIZZ Options History — June 2021 In June 2021, FIZZ traded between $45.83 and $52.81. ATM implied volatility averaged 67.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 16.7% (HV 20d: 51.2%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.52.
Notable Days 2021-06-02 : Highest Volume — 6,936 contracts2021-06-02 : Largest IV spike — 108.7% change2021-06-02 : Highest IV Rank — 31.5%2021-06-02 : Largest Expected Move — 33.4%Monthly Statistics Metric Avg Min Max Open Close Price $48.32 $45.83 $52.81 $47.23 $47.19 Max Pain $51.66 $45.00 $52.50 $45.00 $52.00 ATM IV 67.9% 55.8% 116.5% 55.8% 68.6% Expected Move 19.3% 16.0% 33.4% 16.0% 19.7% HV 20d 51.2% 26.9% 54.2% 40.0% 26.9% HV 60d 44.1% 42.3% 49.4% 44.2% 42.4% IV Rank 11.3% 6.4% 31.5% 6.4% 11.6% IV Percentile 73.5% 46.0% 97.2% 46.0% 77.4% Term Structure -5.8% -27.2% 0.7% -1.3% -9.9% VWIV 71.7% 58.5% 116.6% 58.5% 68.4% Skew 25d -13.3% -50.5% -5.7% -9.7% -9.1% Skew 10d -28.3% -72.5% -13.8% -26.0% -20.6% Call IV 25d 78.6% 62.5% 146.3% 62.5% 75.5% Put IV 25d 65.3% 52.8% 95.7% 52.8% 66.4% Bid-Ask Spread % 54.58 41.36 67.23 53.93 64.53 Gamma HHI 0.11 0.09 0.13 0.11 0.09 Net GEX 554.1K 174.4K 961.0K 424.6K 369.3K Net DEX -519.9K -21.3M 11.4M 5.6M 8.3M Net VEX -261.4K -302.8K -236.4K -250.5K -236.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.03 1.43 0.57 0.91 Total Volume 1,673.227 480 6,936 869 480 Total OI 38,498.364 34,134 42,103 34,134 38,191
Daily Data (22 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 2021-06-01 $47.23 $45.00 55.8% 16.0% 40.0% 6.4% 58.5% -9.7% -1.3% 424.6K 5.6M -250.5K 0.57 53.93 N/A N/A 555 314 19,694 14,440 2021-06-02 $52.81 $45.00 116.5% 33.4% 50.8% 31.5% 116.6% -50.5% -27.2% 402.4K -21.3M -302.8K 0.15 47.70 N/A N/A 6,006 930 19,801 14,732 2021-06-03 $50.57 $52.50 69.9% 18.9% 53.3% 12.2% 67.8% -25.2% 0.7% 662.8K -15.3M -300.2K 0.43 52.57 N/A N/A 2,973 1,290 22,428 15,120 2021-06-04 $49.83 $52.50 65.9% 18.3% 53.7% 10.6% 70.6% -15.6% -0.7% 764.9K -11.0M -293.4K 0.15 41.36 N/A N/A 636 93 23,870 15,292 2021-06-07 $50.25 $52.50 66.8% 18.2% 53.6% 10.9% 65.3% -11.6% -3.5% 881.8K -11.3M -288.1K 0.27 42.13 N/A N/A 876 237 23,935 15,336 2021-06-08 $50.39 $52.50 68.1% 18.6% 52.4% 11.4% 65.7% -14.5% -2.8% 933.0K -13.8M -295.6K 0.15 45.13 N/A N/A 817 126 24,480 15,434 2021-06-09 $49.87 $52.50 64.7% 18.6% 52.6% 10.0% 70.9% -17.4% -3.2% 882.1K -11.7M -287.2K 0.17 43.44 N/A N/A 2,196 375 24,518 15,476 2021-06-10 $48.86 $52.50 66.4% 19.0% 52.3% 10.7% 77.0% -14.2% -6.1% 839.3K -5.6M -276.4K 0.03 43.99 N/A N/A 1,535 40 25,098 15,576 2021-06-11 $49.45 $52.50 63.1% 18.1% 52.3% 9.3% 67.5% -7.8% -4.7% 961.0K -7.4M -276.9K 0.10 46.16 N/A N/A 466 47 25,163 15,579 2021-06-14 $49.07 $52.50 66.5% 19.1% 52.2% 10.7% 70.3% -12.7% -4.8% 800.0K -5.9M -269.0K 1.43 52.26 N/A N/A 216 309 25,115 15,606 2021-06-15 $47.56 $52.50 64.8% 18.6% 53.4% 10.0% 70.2% -7.5% -5.4% 668.8K 2.9M -249.0K 0.40 55.75 N/A N/A 529 212 25,085 15,492 2021-06-16 $47.23 $52.50 65.0% 18.6% 53.5% 10.1% 70.6% -9.2% -5.5% 499.1K 5.1M -242.5K 0.50 60.32 N/A N/A 366 182 25,011 15,504 2021-06-17 $47.49 $52.50 65.1% 18.7% 53.0% 10.1% 74.1% -14.8% -1.8% 561.8K 1.5M -247.6K 1.22 67.23 N/A N/A 1,295 1,574 25,023 15,530 2021-06-18 $45.83 $52.50 66.0% 18.9% 53.9% 10.5% 72.0% -9.7% -4.6% 174.4K 11.4M -241.6K 0.60 55.09 N/A N/A 620 369 25,436 16,667 2021-06-21 $46.59 $52.50 66.4% 19.0% 54.2% 10.7% 69.6% -9.8% -4.9% 217.5K 8.4M -244.8K 0.14 59.39 N/A N/A 1,681 235 19,881 15,811 2021-06-22 $46.45 $52.00 68.6% 19.7% 54.2% 11.6% 73.1% -10.9% -8.4% 280.9K 9.9M -241.3K 0.12 59.30 N/A N/A 650 80 20,502 15,986 2021-06-23 $46.55 $52.00 67.1% 19.2% 54.0% 11.0% 71.5% -6.4% -8.2% 319.4K 9.0M -243.1K 1.13 60.70 N/A N/A 1,228 1,385 20,877 16,046 2021-06-24 $47.24 $52.00 64.1% 18.4% 53.8% 9.7% 67.0% -13.4% -5.6% 361.3K 7.0M -244.4K 0.89 61.14 N/A N/A 388 347 20,771 16,108 2021-06-25 $47.38 $52.00 60.8% 17.4% 53.5% 8.4% 65.0% -8.7% -4.6% 380.6K 7.8M -243.4K 0.52 60.61 N/A N/A 388 202 20,829 16,342 2021-06-28 $47.31 $52.00 65.4% 18.8% 52.7% 10.3% 72.0% -7.3% -5.9% 381.1K 8.2M -237.8K 0.37 63.56 N/A N/A 617 231 20,953 16,472 2021-06-29 $47.87 $52.00 68.1% 19.5% 49.3% 11.4% 72.8% -5.7% -8.3% 423.0K 6.8M -239.5K 1.27 64.36 N/A N/A 1,637 2,078 21,095 16,659 2021-06-30 $47.19 $52.00 68.6% 19.7% 26.9% 11.6% 68.4% -9.1% -9.9% 369.3K 8.3M -236.4K 0.91 64.53 N/A N/A 251 229 21,345 16,846
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