FIZZ Options History — January 2022

In January 2022, FIZZ traded between $41.69 and $47.13. ATM implied volatility averaged 46.9%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 18.7% (HV 20d: 28.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2022-01-12: Highest Volume — 1,535 contracts
  • 2022-01-24: Largest IV spike — 19.0% change
  • 2022-01-28: Highest IV Rank — 10.2%
  • 2022-01-26: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.31$41.69$47.13$46.46$44.62
Max Pain$45.55$45.00$50.00$47.00$45.00
ATM IV46.9%41.0%59.1%47.0%46.1%
Expected Move13.5%11.9%16.9%13.5%13.2%
HV 20d28.2%21.1%34.3%33.6%34.3%
HV 60d32.3%31.5%33.1%31.6%32.9%
IV Rank4.4%1.5%10.2%3.9%7.6%
IV Percentile23.1%6.3%59.9%19.0%17.5%
Term Structure3.9%-5.2%10.1%-0.4%5.0%
VWIV49.2%41.7%57.2%47.7%46.5%
Skew 25d0.9%-5.3%10.1%-2.3%6.7%
Skew 10d2.5%-7.1%10.0%-3.9%7.9%
Call IV 25d48.3%42.7%59.8%46.6%42.7%
Put IV 25d49.2%44.2%62.4%44.2%49.4%
Bid-Ask Spread %70.2148.6486.3885.7077.31
Gamma HHI0.100.070.150.070.09
Net GEX-16.1K-145.0K73.4K52.1K2.5K
Net DEX1.2M-2.0M4.6M-1.0M-298.9K
Net VEX-36.4K-43.8K-32.3K-42.2K-33.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.601.050.660.82
Total Volume1,155.958221,5351,299843
Total OI7,957.154,0989,9468,9534,475

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$46.46$47.0047.0%13.5%33.6%3.9%47.7%-2.3%-0.4%52.1K-1.0M-42.2K0.6685.70N/AN/A7815185,4673,486
2022-01-04$47.13$47.0042.5%12.2%34.3%2.1%45.9%0.6%3.2%73.4K-2.0M-43.8K0.7886.38N/AN/A6465025,4743,559
2022-01-05$45.42$47.0043.1%12.4%33.2%2.3%49.9%-0.8%0.4%21.4K140.3K-41.1K0.9486.09N/AN/A5905545,4933,616
2022-01-06$45.16$50.0046.0%12.6%33.0%3.5%46.4%1.1%1.4%6.4K790.4K-40.0K0.9353.92N/AN/A5665245,4973,675
2022-01-07$44.83$45.0041.0%13.1%32.8%1.5%47.8%2.5%0.4%-9.2K1.0M-39.7K0.6048.64N/AN/A7854735,4973,689
2022-01-10$45.89$45.0047.9%13.1%26.9%4.3%49.4%-1.9%8.5%39.0K273.1K-38.4K0.8460.78N/AN/A6405375,6293,718
2022-01-11$45.44$45.0042.3%12.3%22.2%2.0%45.8%1.4%5.5%21.0K664.7K-38.7K0.8357.99N/AN/A7466225,6403,801
2022-01-12$45.16$45.0041.6%11.9%21.7%1.7%41.7%2.4%8.6%13.0K1.1M-38.1K1.0566.72N/AN/A7477885,7353,819
2022-01-13$44.80$45.0042.6%12.2%21.1%2.1%44.5%1.9%6.8%-35.0K2.1M-37.1K0.6663.44N/AN/A7895185,7474,014
2022-01-14$45.12$45.0042.2%12.1%21.3%1.9%47.3%-2.0%5.6%-18.4K1.9M-36.3K0.6961.14N/AN/A7765355,7744,010
2022-01-18$42.97$45.0048.1%13.8%27.0%4.3%50.5%1.7%0.5%-101.0K4.3M-33.4K0.6664.33N/AN/A7805135,7883,998
2022-01-19$43.24$45.0046.7%13.4%26.9%3.8%50.9%-1.8%8.7%-128.4K3.7M-33.9K0.7279.89N/AN/A7495375,8353,959
2022-01-20$43.07$45.0044.1%12.6%26.9%2.7%45.6%0.8%10.1%-145.0K4.0M-32.8K0.7468.86N/AN/A7755715,8353,972
2022-01-21$43.24$45.0047.1%13.5%27.0%3.9%48.5%2.2%5.9%-32.1K4.6M-32.4K0.7971.99N/AN/A7415855,9064,040
2022-01-24$43.45$45.0056.0%16.1%27.0%7.6%55.3%-5.3%3.8%-27.6K680.8K-33.9K0.7870.23N/AN/A5624372,1061,992
2022-01-25$43.56$45.0051.8%14.9%27.1%5.9%57.2%10.1%4.2%-10.7K323.4K-34.7K1.0172.41N/AN/A4094132,3102,066
2022-01-26$42.12$45.0059.1%16.9%28.6%8.8%56.7%2.2%-5.2%-12.9K746.3K-33.6K0.9881.60N/AN/A4204102,3772,086
2022-01-27$41.69$45.0050.0%14.3%28.7%8.1%54.7%-2.1%2.7%-19.3K1.1M-32.7K0.8979.18N/AN/A4624132,4472,101
2022-01-28$42.93$45.0053.3%15.3%31.0%10.2%52.3%0.5%2.2%-11.4K542.5K-32.3K0.9367.63N/AN/A4464162,4612,049
2022-01-31$44.62$45.0046.1%13.2%34.3%7.6%46.5%6.7%5.0%2.5K-298.9K-33.1K0.8277.31N/AN/A4623812,4642,011