FIZZ Options History — November 2021

In November 2021, FIZZ traded between $52.31 and $63.42. ATM implied volatility averaged 58.9%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 29.2% (HV 20d: 29.7%). Max pain ranged from $54.50 to $70.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2021-11-03: Highest Volume — 5,762 contracts
  • 2021-11-02: Largest IV spike — 23.1% change
  • 2021-11-30: Highest IV Rank — 13.3%
  • 2021-11-30: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.89$52.31$63.42$57.21$52.31
Max Pain$65.64$54.50$70.00$54.50$65.00
ATM IV58.9%41.4%69.9%41.4%69.9%
Expected Move17.2%11.9%20.0%11.9%20.0%
HV 20d29.7%22.0%38.5%22.0%38.5%
HV 60d33.3%31.5%36.3%31.5%36.3%
IV Rank8.8%1.6%13.3%1.6%13.3%
IV Percentile59.5%4.8%82.9%4.8%82.9%
Term Structure-3.1%-15.5%29.9%7.3%-15.5%
VWIV64.8%45.0%85.7%45.0%85.7%
Skew 25d-2.2%-9.2%22.4%-3.0%6.6%
Skew 10d-6.8%-21.2%18.7%-12.0%2.9%
Call IV 25d66.4%46.2%72.1%46.2%68.2%
Put IV 25d64.1%43.2%89.9%43.2%74.8%
Bid-Ask Spread %49.8831.5784.0676.6460.11
Gamma HHI0.140.080.300.300.11
Net GEX172.1K-326.3K549.0K-326.3K46.7K
Net DEX-20.8M-35.2M2.1M-14.1M2.1M
Net VEX-94.2K-126.0K-59.5K-106.8K-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.201.160.590.60
Total Volume3,146.3332,1405,7622,4652,140
Total OI19,1459,45624,37419,2679,811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$57.21$54.5041.4%11.9%22.0%1.6%45.0%-3.0%7.3%-326.3K-14.1M-106.8K0.5976.64N/AN/A1,5559109,7089,559
2021-11-02$59.31$54.5051.0%14.6%23.8%5.5%52.4%-1.5%2.1%-157.5K-20.7M-103.5K0.3384.06N/AN/A2,7729059,7149,575
2021-11-03$61.31$54.5061.6%17.7%25.8%9.9%55.8%22.4%29.9%114.2K-34.6M-102.6K0.2083.66N/AN/A4,79197110,5779,586
2021-11-04$60.43$55.0057.4%18.1%26.4%8.2%64.7%-2.7%-7.0%190.4K-27.7M-117.7K1.0156.40N/AN/A1,8741,90011,9149,648
2021-11-05$62.27$70.0058.6%17.1%27.3%8.6%61.5%-9.1%-4.7%165.2K-29.0M-126.0K0.7360.79N/AN/A2,6151,92111,99510,516
2021-11-08$61.54$70.0053.4%17.9%28.0%6.5%64.9%-7.4%-6.5%110.3K-27.3M-116.9K1.0143.36N/AN/A1,8751,90112,95111,113
2021-11-09$62.25$70.0052.0%17.7%27.7%5.9%64.5%-5.2%-4.7%187.0K-30.6M-115.7K1.1643.87N/AN/A1,5901,85212,90111,136
2021-11-10$60.88$70.0062.1%17.8%28.8%10.1%69.4%-9.2%-6.6%97.9K-25.2M-111.3K0.9339.86N/AN/A1,5661,45912,76211,132
2021-11-11$62.87$70.0061.7%17.7%30.2%9.9%66.7%-4.4%-5.5%267.1K-32.8M-108.4K0.7439.54N/AN/A1,8281,34912,77711,188
2021-11-12$63.42$70.0060.9%17.5%27.7%9.6%68.3%-6.4%-5.4%362.7K-34.9M-107.8K0.7638.29N/AN/A1,8121,37112,90511,225
2021-11-15$63.10$70.0061.3%17.6%27.3%9.7%69.6%-3.7%-3.8%437.7K-35.2M-96.8K0.8141.67N/AN/A1,6861,36712,84411,295
2021-11-16$62.46$70.0059.6%17.1%27.8%9.0%64.2%-6.9%-4.3%441.9K-33.4M-89.4K0.7032.82N/AN/A1,8331,28412,84411,276
2021-11-17$62.12$70.0059.8%17.1%28.0%9.1%66.9%-5.9%-5.4%450.3K-31.4M-88.2K0.7842.22N/AN/A1,6631,30412,90211,311
2021-11-18$60.05$70.0057.8%16.6%31.1%8.3%67.3%-3.0%-4.0%317.5K-21.1M-80.6K0.7733.69N/AN/A1,7431,34612,90911,308
2021-11-19$60.25$70.0059.5%17.0%31.0%9.0%66.4%-2.0%-3.3%549.0K-22.0M-78.8K0.6635.85N/AN/A2,0831,37513,02711,347
2021-11-22$60.53$65.0060.7%17.4%30.8%9.5%70.6%-2.8%-5.9%98.0K-8.5M-80.7K0.6731.57N/AN/A1,4009365,7053,751
2021-11-23$57.98$65.0060.7%17.4%34.6%9.5%71.4%0.4%-6.1%81.1K-5.0M-76.4K0.6352.52N/AN/A1,4939405,8133,805
2021-11-24$56.96$65.0061.0%17.5%34.9%9.6%71.8%-0.4%-4.1%70.8K-3.7M-73.7K0.6653.38N/AN/A1,3899145,8583,848
2021-11-26$55.99$65.0062.8%18.0%35.3%10.4%54.4%-3.1%-6.2%59.2K-2.3M-71.5K0.6444.52N/AN/A1,3398595,8193,912
2021-11-29$54.42$65.0062.9%18.0%36.6%10.4%58.8%0.4%-6.0%51.0K-278.8K-65.8K0.6252.68N/AN/A1,3358275,8553,923
2021-11-30$52.31$65.0069.9%20.0%38.5%13.3%85.7%6.6%-15.5%46.7K2.1M-59.5K0.6060.11N/AN/A1,3358055,8773,934