FIZZ Options History — September 2021

In September 2021, FIZZ traded between $46.27 and $54.09. ATM implied volatility averaged 54.1%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 15.1% (HV 20d: 39.0%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2021-09-10: Highest Volume — 7,521 contracts
  • 2021-09-08: Largest IV drop — 18.5% change
  • 2021-09-07: Highest IV Rank — 13.9%
  • 2021-09-01: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.74$46.27$54.09$46.85$52.69
Max Pain$47.38$45.00$47.50$45.00$47.50
ATM IV54.1%45.4%76.1%68.1%46.3%
Expected Move15.1%13.0%19.5%19.5%13.3%
HV 20d39.0%24.8%45.6%24.8%44.3%
HV 60d35.2%30.1%37.9%30.6%36.7%
IV Rank4.8%1.1%13.9%10.6%1.5%
IV Percentile33.4%3.6%85.7%77.8%6.0%
Term Structure-0.2%-8.1%3.2%-8.1%1.8%
VWIV54.7%46.5%71.1%71.1%49.3%
Skew 25d-2.8%-11.7%1.9%-11.7%-4.0%
Skew 10d-8.3%-29.0%4.1%-20.3%-3.6%
Call IV 25d57.4%47.3%81.1%81.1%49.8%
Put IV 25d54.6%45.8%69.4%69.4%45.8%
Bid-Ask Spread %46.5028.6474.3035.7074.30
Gamma HHI0.160.140.220.160.16
Net GEX391.0K184.0K894.6K301.9K520.4K
Net DEX-9.0M-25.0M7.4M3.3M-12.9M
Net VEX-178.9K-199.9K-151.9K-199.9K-151.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.1014.150.200.32
Total Volume1,348.7621897,5213341,481
Total OI31,733.85727,48837,99232,26527,777

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$46.85$45.0068.1%19.5%24.8%10.6%71.1%-11.7%-8.1%301.9K3.3M-199.9K0.2035.70N/AN/A2785617,55814,707
2021-09-02$46.78$47.5068.2%17.4%24.8%10.6%63.1%-7.4%-3.4%289.5K4.4M-197.9K0.5933.63N/AN/A1237317,59414,724
2021-09-03$46.47$47.5067.5%16.8%25.1%10.3%59.3%-10.8%-2.7%278.5K4.3M-195.8K1.3931.45N/AN/A7911017,66014,795
2021-09-07$47.16$47.5076.1%17.2%25.4%13.9%62.7%-9.2%-2.9%340.2K2.7M-187.2K0.4728.64N/AN/A30714317,68114,823
2021-09-08$46.27$47.5062.0%17.8%26.2%8.0%62.0%-5.3%-3.8%281.7K7.4M-181.0K5.6542.65N/AN/A5302,99417,72414,856
2021-09-09$47.09$47.5061.1%17.5%25.5%7.7%62.9%-4.0%-2.8%332.7K3.7M-182.5K0.5837.54N/AN/A2,0251,17117,86314,894
2021-09-10$52.32$47.5053.3%15.3%44.3%4.4%55.7%-2.9%1.9%653.8K-21.9M-197.0K0.7849.83N/AN/A4,2273,29417,95316,860
2021-09-13$52.42$47.5051.6%14.8%44.3%3.7%54.4%-2.3%2.5%894.6K-24.3M-186.4K0.4541.86N/AN/A1,56870018,35015,954
2021-09-14$50.95$47.5051.5%14.8%45.1%3.7%53.3%-3.5%0.2%496.2K-13.5M-189.8K1.4842.13N/AN/A53078719,70017,734
2021-09-15$51.89$47.5051.3%14.7%43.7%3.6%53.8%-1.9%0.2%571.3K-18.7M-189.4K0.7645.19N/AN/A51138719,61918,000
2021-09-16$51.57$47.5049.4%14.1%44.0%2.8%49.9%-2.1%1.1%456.2K-16.0M-186.6K0.3444.71N/AN/A35312019,59818,290
2021-09-17$52.42$47.5047.4%13.6%43.7%2.0%50.3%-1.6%2.7%226.1K-25.0M-180.3K0.1941.12N/AN/A4478319,65218,340
2021-09-20$52.27$47.5052.5%15.1%43.4%4.1%54.3%-0.8%-0.9%184.0K-8.0M-173.9K0.4346.89N/AN/A75332514,01213,476
2021-09-21$54.09$47.5049.9%14.3%44.3%3.0%51.4%1.9%3.2%280.9K-16.6M-177.0K0.4549.37N/AN/A28412914,21913,511
2021-09-22$52.82$47.5048.0%13.8%45.1%2.2%49.4%1.6%0.7%265.0K-11.3M-173.7K1.0559.28N/AN/A15816614,52013,615
2021-09-23$52.05$47.5047.2%13.5%45.6%1.9%48.3%0.2%1.6%283.3K-8.2M-170.5K0.5948.81N/AN/A24714614,61313,658
2021-09-24$52.22$47.5046.3%13.3%45.5%1.5%51.3%1.7%1.4%332.3K-9.0M-169.3K14.1545.33N/AN/A6287714,69013,627
2021-09-27$52.27$47.5045.4%13.0%45.2%1.1%50.3%1.5%1.3%339.2K-8.8M-159.1K0.8956.84N/AN/A1,01890914,67213,714
2021-09-28$52.28$47.5047.3%13.6%45.1%1.9%49.4%0.4%1.9%433.2K-9.7M-155.8K0.1064.23N/AN/A2072114,71912,981
2021-09-29$52.67$47.5046.3%13.3%44.3%1.5%46.5%0.8%-0.3%449.4K-11.8M-152.2K0.8156.97N/AN/A35628914,75712,921
2021-09-30$52.69$47.5046.3%13.3%44.3%1.5%49.3%-4.0%1.8%520.4K-12.9M-151.9K0.3274.30N/AN/A1,12435714,86212,915