FIZZ Options History — December 2021 In December 2021, FIZZ traded between $45.54 and $53.34. ATM implied volatility averaged 56.5%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 22.4% (HV 20d: 34.0%). Max pain ranged from $47.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2021-12-09 : Highest Volume — 2,794 contracts2021-12-15 : Largest IV drop — 36.5% change2021-12-09 : Highest IV Rank — 16.3%2021-12-03 : Largest Expected Move — 20.9%Monthly Statistics Metric Avg Min Max Open Close Price $48.10 $45.54 $53.34 $51.71 $45.56 Max Pain $50.34 $47.00 $65.00 $65.00 $47.00 ATM IV 56.5% 38.3% 77.2% 69.9% 48.6% Expected Move 14.5% 11.0% 20.9% 20.0% 13.9% HV 20d 34.0% 29.5% 36.6% 35.4% 32.7% HV 60d 32.1% 28.7% 36.3% 36.3% 31.5% IV Rank 7.8% 0.3% 16.3% 13.3% 4.6% IV Percentile 44.0% 0.4% 87.3% 82.9% 25.8% Term Structure -1.0% -15.9% 5.2% -15.0% -1.4% VWIV 51.6% 37.3% 78.5% 67.4% 47.4% Skew 25d 1.9% -2.1% 10.9% 4.6% -0.8% Skew 10d 2.0% -6.9% 10.5% 8.7% -6.9% Call IV 25d 51.3% 40.9% 74.5% 69.0% 45.7% Put IV 25d 53.2% 41.4% 78.2% 73.6% 45.0% Bid-Ask Spread % 68.88 49.86 84.98 53.25 84.98 Gamma HHI 0.08 0.06 0.13 0.10 0.07 Net GEX 45.0K 10.8K 79.2K 48.0K 34.2K Net DEX 2.1M -1.3M 7.3M 2.2M -537.9K Net VEX -46.8K -62.0K -12.5K -60.2K -42.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.61 1.28 0.61 0.71 Total Volume 1,512.409 898 2,794 2,106 1,364 Total OI 9,242.045 2,103 11,200 9,801 8,900
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-12-01 $51.71 $65.00 69.9% 20.0% 35.4% 13.3% 67.4% 4.6% -15.0% 48.0K 2.2M -60.2K 0.61 53.25 N/A N/A 1,312 794 5,843 3,958 2021-12-02 $51.30 $65.00 67.2% 19.3% 32.1% 12.2% 62.5% 3.8% -12.4% 44.8K 2.9M -57.2K 0.67 56.99 N/A N/A 1,207 810 5,826 3,960 2021-12-03 $51.72 $65.00 72.8% 20.9% 32.6% 14.4% 78.5% 3.7% -15.9% 41.3K 2.5M -58.7K 0.86 59.50 N/A N/A 1,249 1,075 5,834 3,987 2021-12-06 $51.64 $50.00 71.3% 18.8% 29.5% 13.9% 62.4% 10.9% -6.8% 22.5K 2.9M -58.5K 0.74 59.39 N/A N/A 1,392 1,030 5,887 4,271 2021-12-07 $53.34 $50.00 72.9% 15.6% 33.0% 14.5% 58.7% 0.7% -0.5% 27.5K 1.6M -62.0K 0.74 49.86 N/A N/A 1,455 1,081 5,880 4,297 2021-12-08 $52.42 $50.00 76.8% 16.3% 32.4% 16.1% 57.2% 0.5% -2.8% 41.5K 2.0M -61.1K 0.84 52.48 N/A N/A 1,356 1,136 6,048 4,360 2021-12-09 $51.48 $50.00 77.2% 15.7% 32.2% 16.3% 58.7% -1.6% 0.5% 33.8K 3.5M -56.8K 0.89 57.50 N/A N/A 1,476 1,318 6,118 4,427 2021-12-10 $48.33 $54.50 56.9% 14.6% 34.0% 7.9% 54.7% 2.5% 1.8% 22.6K 41.8K -12.5K 0.66 68.78 N/A N/A 615 407 1,132 971 2021-12-13 $46.23 $47.00 75.0% 13.7% 34.7% 15.3% 49.2% 2.0% 3.3% 45.0K 6.3M -44.6K 0.64 62.68 N/A N/A 685 435 6,355 4,621 2021-12-14 $45.54 $47.00 74.2% 13.4% 34.5% 15.0% 49.4% 3.6% 5.2% 40.5K 7.3M -41.7K 0.78 61.54 N/A N/A 534 414 6,323 4,662 2021-12-15 $46.19 $47.00 47.1% 13.5% 36.1% 3.9% 47.2% 3.2% 1.6% 41.7K 6.9M -42.4K 0.87 73.84 N/A N/A 480 418 6,371 4,712 2021-12-16 $46.23 $47.00 46.0% 13.2% 36.4% 3.5% 48.3% 3.0% 3.5% 46.3K 6.8M -42.7K 0.75 75.80 N/A N/A 536 404 6,381 4,718 2021-12-17 $46.50 $47.00 45.5% 13.0% 36.4% 3.3% 48.4% 0.2% 0.8% 10.8K 6.7M -44.2K 0.82 73.31 N/A N/A 625 515 6,432 4,768 2021-12-20 $46.85 $47.00 50.3% 14.4% 36.6% 5.2% 49.8% -0.1% 5.1% 78.8K -1.3M -43.1K 0.72 72.97 N/A N/A 603 437 5,007 2,869 2021-12-21 $46.50 $47.00 42.1% 12.1% 36.1% 1.9% 45.2% 0.7% 2.1% 79.2K -783.9K -42.7K 1.28 76.40 N/A N/A 489 627 5,111 2,949 2021-12-22 $46.46 $47.00 40.2% 11.5% 34.6% 1.1% 41.4% -1.8% 3.5% 65.9K -626.3K -43.6K 0.95 75.73 N/A N/A 524 500 5,132 3,136 2021-12-23 $46.67 $47.00 39.3% 11.3% 34.9% 0.8% 41.4% 1.9% 3.3% 63.1K -743.7K -44.0K 0.79 81.70 N/A N/A 612 484 5,173 3,194 2021-12-27 $46.54 $47.00 40.7% 11.7% 34.9% 1.3% 42.6% 4.3% 2.6% 61.9K -523.5K -42.5K 0.99 78.86 N/A N/A 564 557 5,173 3,202 2021-12-28 $45.62 $47.00 38.3% 11.0% 34.4% 0.3% 37.3% -0.2% 2.6% 50.2K -397.7K -42.6K 0.81 77.65 N/A N/A 648 526 5,206 3,163 2021-12-29 $45.57 $47.00 41.0% 11.8% 32.5% 1.5% 42.7% 2.9% -0.4% 46.8K -494.4K -42.7K 0.98 83.71 N/A N/A 526 516 5,254 3,221 2021-12-30 $45.77 $47.00 48.8% 14.0% 32.7% 4.6% 44.3% -2.1% -2.9% 44.9K -687.0K -42.6K 0.89 78.49 N/A N/A 814 723 5,261 3,232 2021-12-31 $45.56 $47.00 48.6% 13.9% 32.7% 4.6% 47.4% -0.8% -1.4% 34.2K -537.9K -42.7K 0.71 84.98 N/A N/A 798 566 5,458 3,442
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