FIZZ Options History — October 2021

In October 2021, FIZZ traded between $52.90 and $57.65. ATM implied volatility averaged 42.1%, placing in the 0.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 14.7% (HV 20d: 27.4%). Max pain ranged from $47.50 to $54.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2021-10-22: Highest Volume — 2,515 contracts
  • 2021-10-11: Largest IV spike — 23.0% change
  • 2021-10-11: Highest IV Rank — 3.9%
  • 2021-10-04: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.73$52.90$57.65$53.09$56.51
Max Pain$54.17$47.50$54.50$47.50$54.50
ATM IV42.1%37.4%50.5%45.4%38.7%
Expected Move12.1%10.7%13.9%13.0%11.1%
HV 20d27.4%20.0%44.5%44.2%22.0%
HV 60d34.5%31.5%36.8%36.7%31.5%
IV Rank0.9%0.0%3.9%1.1%0.5%
IV Percentile4.7%0.0%30.6%3.2%1.2%
Term Structure6.4%2.2%10.2%2.2%10.2%
VWIV43.2%39.6%48.4%47.0%39.6%
Skew 25d-0.6%-4.1%6.7%-4.1%0.6%
Skew 10d-4.5%-21.3%-0.4%-5.0%-1.8%
Call IV 25d44.4%39.7%51.6%49.2%39.7%
Put IV 25d43.7%39.8%50.2%45.1%40.3%
Bid-Ask Spread %63.2040.9674.3859.8672.75
Gamma HHI0.260.160.580.160.30
Net GEX427.6K-345.8K2.8M518.6K-302.2K
Net DEX-19.8M-43.2M-7.9M-14.7M-10.0M
Net VEX-126.9K-149.7K-108.1K-149.7K-108.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.100.620.240.62
Total Volume1,311.9053412,5154542,447
Total OI24,266.33317,50129,92827,95119,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$53.09$47.5045.4%13.0%44.2%1.1%47.0%-4.1%2.2%518.6K-14.7M-149.7K0.2459.86N/AN/A3678714,81413,137
2021-10-04$52.90$54.5048.1%13.9%44.1%2.2%48.4%-1.5%3.8%675.1K-15.6M-149.1K0.1259.87N/AN/A3123815,62413,032
2021-10-05$54.22$54.5046.6%13.5%44.5%1.6%47.0%-1.1%3.9%778.5K-23.6M-146.7K0.1051.24N/AN/A5215315,92213,041
2021-10-06$54.70$54.5043.5%13.8%43.5%0.3%47.5%0.1%3.2%881.3K-26.8M-146.5K0.2049.48N/AN/A3887816,09313,062
2021-10-07$55.62$54.5046.1%13.0%43.4%1.4%45.8%-0.1%6.2%852.8K-32.1M-141.8K0.4240.96N/AN/A35915016,05113,084
2021-10-08$55.03$54.5041.0%12.8%24.4%0.0%44.7%-1.5%5.8%962.3K-29.8M-140.9K0.2158.26N/AN/A3156516,15613,139
2021-10-11$55.05$54.5050.5%12.9%24.4%3.9%46.0%-2.3%3.4%940.8K-30.3M-131.1K0.1467.55N/AN/A73410116,09913,160
2021-10-12$54.66$54.5049.1%12.7%21.9%3.3%45.0%-1.8%5.1%987.1K-27.2M-127.3K0.2360.70N/AN/A70415915,96313,212
2021-10-13$55.89$54.5043.5%12.5%22.3%1.0%45.2%-0.9%6.4%1.1M-36.1M-125.8K0.2467.08N/AN/A43210516,36913,264
2021-10-14$56.84$54.5041.5%11.9%22.4%0.2%41.7%-0.8%6.9%1.2M-43.2M-121.4K0.3766.23N/AN/A56320916,50613,332
2021-10-15$55.32$54.5039.7%11.4%24.7%0.0%40.6%-1.3%8.7%2.8M-35.0M-119.1K0.3458.02N/AN/A40013716,54013,388
2021-10-18$56.61$54.5039.0%11.2%25.6%0.0%40.6%-1.9%8.4%-345.8K-8.2M-116.1K0.1562.69N/AN/A1,2781958,3779,124
2021-10-19$56.66$54.5038.9%11.1%23.0%0.0%40.1%-1.1%6.8%-307.3K-8.0M-115.0K0.2065.64N/AN/A284578,5019,255
2021-10-20$56.69$54.5038.3%11.0%20.8%0.0%40.2%-0.3%8.5%-221.0K-10.5M-123.3K0.5560.08N/AN/A1,5838689,5679,477
2021-10-21$56.44$54.5037.4%10.7%20.0%0.0%41.5%-0.3%7.8%-260.6K-9.8M-122.3K0.5967.48N/AN/A1,4768739,6869,492
2021-10-22$56.89$54.5038.5%11.0%20.0%0.4%39.8%-0.8%8.4%-230.9K-11.6M-119.7K0.5271.54N/AN/A1,6538629,6799,497
2021-10-25$57.65$54.5039.9%11.4%20.2%1.0%41.2%0.7%7.2%-239.5K-14.5M-116.2K0.5868.10N/AN/A1,5619109,6519,501
2021-10-26$57.14$54.5039.8%11.4%20.7%0.9%42.7%-1.4%7.2%-236.5K-11.9M-117.5K0.5874.38N/AN/A1,5458899,6799,559
2021-10-27$56.37$54.5038.8%11.1%21.7%0.6%42.0%6.7%8.4%-235.0K-8.9M-116.8K0.5871.63N/AN/A1,5048769,6749,474
2021-10-28$56.01$54.5040.9%11.7%21.9%1.4%40.2%-0.5%6.9%-286.6K-7.9M-110.3K0.5873.69N/AN/A1,5258879,6899,505
2021-10-29$56.51$54.5038.7%11.1%22.0%0.5%39.6%0.6%10.2%-302.2K-10.0M-108.1K0.6272.75N/AN/A1,5079409,7089,510