FIZZ Options History — July 2021

In July 2021, FIZZ traded between $43.08 and $46.96. ATM implied volatility averaged 51.0%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 22.4% (HV 20d: 28.7%). Max pain ranged from $45.00 to $52.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2021-07-01: Highest Volume — 4,185 contracts
  • 2021-07-12: Largest IV spike — 18.1% change
  • 2021-07-12: Highest IV Rank — 8.2%
  • 2021-07-01: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.86$43.08$46.96$46.15$45.39
Max Pain$45.57$45.00$52.00$52.00$45.00
ATM IV51.0%46.5%60.4%55.7%47.5%
Expected Move14.4%13.3%16.0%16.0%13.6%
HV 20d28.7%20.7%39.0%23.8%39.0%
HV 60d40.5%38.8%42.3%42.2%40.2%
IV Rank4.3%2.0%8.2%6.2%2.0%
IV Percentile23.8%4.8%59.9%42.1%8.3%
Term Structure4.5%-1.3%7.0%-1.3%6.7%
VWIV53.0%47.9%61.0%57.8%48.3%
Skew 25d-4.4%-9.9%-0.9%-6.2%-2.0%
Skew 10d-9.8%-28.8%10.8%-13.8%-11.5%
Call IV 25d55.3%49.9%62.1%62.1%49.9%
Put IV 25d50.9%46.1%56.5%55.9%47.9%
Bid-Ask Spread %49.5025.7477.4177.4164.06
Gamma HHI0.110.080.150.090.14
Net GEX-46.5K-587.6K249.5K249.5K140.4K
Net DEX19.4M3.6M33.5M16.2M10.2M
Net VEX-211.2K-238.6K-193.8K-216.8K-208.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.042.851.272.85
Total Volume1,021.7141434,1854,1851,518
Total OI35,403.66724,77244,40738,31728,395

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$46.15$52.0055.7%16.0%23.8%6.2%57.8%-6.2%-1.3%249.5K16.2M-216.8K1.2777.41N/AN/A1,8442,34121,34116,976
2021-07-02$45.62$50.0050.0%14.3%23.7%3.9%56.0%-9.9%3.8%117.5K20.7M-234.6K0.6175.69N/AN/A1,29579422,85718,827
2021-07-06$46.20$45.0057.5%15.6%24.0%7.0%58.9%-5.4%4.7%159.8K19.6M-238.6K0.3832.05N/AN/A38814922,93319,374
2021-07-07$44.86$45.0058.9%15.9%25.5%7.6%56.0%-4.9%3.3%-88.0K25.9M-221.8K0.2232.86N/AN/A4439722,95019,355
2021-07-08$45.42$45.0053.9%15.9%26.2%5.5%58.2%-3.2%3.1%-22.8K24.2M-221.8K0.4225.74N/AN/A1827723,06519,408
2021-07-09$44.77$45.0051.1%15.2%25.8%4.3%54.8%-4.3%4.6%-239.7K28.1M-210.6K0.9538.15N/AN/A16515723,07519,457
2021-07-12$44.42$45.0060.4%15.1%25.1%8.2%61.0%-6.6%2.5%-340.8K29.9M-201.0K0.1754.07N/AN/A2,06835023,13119,456
2021-07-13$44.52$45.0055.8%14.9%25.2%6.3%56.8%-5.4%5.1%-326.9K29.4M-206.4K0.2140.01N/AN/A4068723,86619,668
2021-07-14$43.94$45.0051.3%14.7%23.4%4.4%52.9%-6.3%5.2%-547.1K32.3M-195.0K0.3844.05N/AN/A2609823,82519,663
2021-07-15$44.13$45.0051.2%14.7%23.6%4.4%53.2%-7.4%4.8%-587.6K32.4M-193.8K0.4342.83N/AN/A1,03444523,80019,629
2021-07-16$43.64$45.0049.0%14.0%23.5%3.5%52.9%-4.0%4.0%-141.3K33.5M-196.0K1.0955.12N/AN/A19721524,67919,728
2021-07-19$43.98$45.0047.0%13.5%20.7%2.6%50.6%-1.2%7.0%-148.1K16.9M-194.1K0.0452.35N/AN/A2,83112611,84212,930
2021-07-20$46.28$45.0050.4%14.5%27.4%4.1%51.5%-3.4%0.5%87.3K8.1M-222.2K0.1149.85N/AN/A1,09111813,81412,938
2021-07-21$43.90$45.0046.9%13.5%33.1%2.6%49.5%-5.7%5.6%63.5K13.4M-209.8K0.1649.39N/AN/A3345314,72412,989
2021-07-22$43.41$45.0046.7%13.4%33.2%2.5%47.9%-4.6%6.1%54.1K14.8M-203.7K0.6252.52N/AN/A1308014,92113,039
2021-07-23$43.08$45.0046.5%13.3%32.5%2.4%48.2%-3.3%6.7%27.1K16.0M-198.6K0.1447.05N/AN/A1832514,94113,116
2021-07-26$44.84$45.0047.6%13.7%36.1%2.9%49.2%-1.9%4.7%96.2K11.7M-209.5K0.4443.96N/AN/A1667314,94113,116
2021-07-27$45.20$45.0048.7%14.0%36.3%3.3%50.0%-0.9%5.7%116.3K10.5M-211.9K0.3949.12N/AN/A1305114,98613,134
2021-07-28$45.45$45.0049.0%14.0%36.0%3.4%49.8%-2.4%5.8%141.9K9.6M-213.5K1.5554.39N/AN/A568715,09113,180
2021-07-29$46.96$45.0046.7%13.4%37.8%2.5%49.2%-4.5%6.5%213.2K3.6M-226.9K0.7758.81N/AN/A74356915,14813,169
2021-07-30$45.39$45.0047.5%13.6%39.0%2.0%48.3%-2.0%6.7%140.4K10.2M-208.0K2.8564.06N/AN/A3941,12415,17013,225