FIZZ Options History — August 2021

In August 2021, FIZZ traded between $42.48 and $46.52. ATM implied volatility averaged 53.5%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 19.3% (HV 20d: 34.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-08-24: Highest Volume — 2,923 contracts
  • 2021-08-24: Largest IV spike — 17.3% change
  • 2021-08-31: Highest IV Rank — 10.2%
  • 2021-08-31: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.24$42.48$46.52$45.23$46.52
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV53.5%44.0%67.3%48.7%67.3%
Expected Move15.8%13.2%19.3%14.0%19.3%
HV 20d34.3%26.2%39.7%38.8%28.3%
HV 60d38.2%29.9%40.4%40.2%30.6%
IV Rank4.5%0.5%10.2%2.5%10.2%
IV Percentile33.6%0.8%76.6%12.7%76.6%
Term Structure-1.6%-7.8%7.7%5.2%-7.8%
VWIV57.7%46.8%73.4%50.2%73.4%
Skew 25d-5.2%-11.2%-0.7%-4.8%-9.7%
Skew 10d-11.5%-21.8%-2.6%-9.7%-18.7%
Call IV 25d60.9%50.3%79.9%53.4%79.9%
Put IV 25d55.6%47.3%70.2%48.6%70.2%
Bid-Ask Spread %47.2933.7066.2066.2036.12
Gamma HHI0.130.100.160.150.16
Net GEX-357-345.3K267.7K141.0K267.7K
Net DEX15.1M5.0M23.6M10.2M5.0M
Net VEX-186.5K-210.9K-160.3K-208.1K-200.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.092.880.150.39
Total Volume616.5911322,923371276
Total OI31,756.04528,63233,61929,47732,262

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$45.23$45.0048.7%14.0%38.8%2.5%50.2%-4.8%5.2%141.0K10.2M-208.1K0.1566.20N/AN/A3234815,85913,618
2021-08-03$45.30$45.0048.1%13.8%38.5%2.2%50.5%-1.6%6.6%87.5K10.4M-210.9K0.3466.15N/AN/A1254216,16714,687
2021-08-04$43.72$45.0046.2%13.2%39.1%1.4%46.8%-3.0%7.7%-43.6K16.0M-197.3K0.9365.06N/AN/A12511616,46014,716
2021-08-05$44.03$45.0044.8%15.3%38.9%0.9%54.6%-3.6%-0.6%18.3K13.0M-199.6K0.2139.98N/AN/A3317116,56214,715
2021-08-06$44.19$45.0044.2%15.1%38.7%0.6%54.5%-3.8%-0.7%4.3K13.6M-198.7K0.6937.32N/AN/A976716,64814,775
2021-08-09$44.46$45.0045.4%15.6%38.6%1.1%54.5%-3.5%-1.5%13.6K14.2M-194.5K0.1040.31N/AN/A6306616,64814,831
2021-08-10$45.11$45.0044.0%15.5%39.0%0.5%57.6%-5.1%-1.2%110.4K11.8M-199.2K1.3941.06N/AN/A9011,25516,68214,877
2021-08-11$44.23$45.0051.5%14.8%39.3%3.7%53.2%-7.2%1.0%-21.7K15.6M-187.2K0.2153.38N/AN/A3988216,48514,922
2021-08-12$44.28$45.0051.2%14.7%39.3%3.5%51.4%-4.8%0.1%-62.2K16.3M-189.4K2.8841.97N/AN/A349816,98516,058
2021-08-13$44.36$45.0050.1%14.4%39.1%3.1%52.4%-5.3%-0.4%-58.1K16.0M-189.5K1.4733.70N/AN/A10315116,94016,110
2021-08-16$43.49$45.0053.3%15.3%39.7%4.4%53.8%-4.6%-1.3%-165.9K19.6M-172.5K1.3143.80N/AN/A12316116,97016,176
2021-08-17$42.48$45.0053.1%15.2%35.4%4.3%55.0%-4.2%-1.9%-345.3K22.4M-167.4K0.5443.04N/AN/A40521917,00916,234
2021-08-18$43.26$45.0054.5%15.6%31.2%4.9%55.1%-2.6%-2.2%-194.2K20.7M-167.6K0.5953.46N/AN/A1297617,06716,329
2021-08-19$43.05$45.0054.9%15.7%31.0%5.1%55.2%-1.7%-3.4%-150.8K22.1M-164.6K1.2153.08N/AN/A15618817,10916,450
2021-08-20$42.66$45.0053.1%15.2%31.1%4.3%53.8%-0.7%-2.2%-104.1K23.6M-160.3K0.8846.08N/AN/A12010617,14716,472
2021-08-23$43.18$45.0054.7%15.7%27.6%5.0%57.7%-3.3%-4.7%-107.8K20.6M-161.9K0.0960.85N/AN/A2,12518214,50414,128
2021-08-24$44.64$45.0064.2%18.4%30.2%8.9%71.2%-9.3%-5.2%-56.9K14.8M-181.5K0.1158.64N/AN/A2,63928414,53614,219
2021-08-25$44.40$45.0061.5%17.6%30.1%7.8%65.9%-9.1%-5.4%74.6K13.5M-184.0K0.4540.28N/AN/A1707716,24514,314
2021-08-26$44.30$45.0062.0%17.8%27.3%8.0%67.3%-7.7%-6.0%156.6K13.4M-186.7K0.4035.18N/AN/A1164617,62814,583
2021-08-27$45.32$45.0060.4%17.3%26.2%7.3%65.0%-8.1%-4.9%221.0K10.0M-192.2K0.2843.73N/AN/A3199017,66714,583
2021-08-30$45.13$45.0064.2%18.4%26.2%8.9%71.0%-11.2%-5.9%207.7K9.9M-190.4K0.4040.88N/AN/A35414117,65314,603
2021-08-31$46.52$45.0067.3%19.3%28.3%10.2%73.4%-9.7%-7.8%267.7K5.0M-200.1K0.3936.12N/AN/A1987817,62314,639