FIZZ Options History — February 2022

In February 2022, FIZZ traded between $40.52 and $45.57. ATM implied volatility averaged 53.0%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 19.0% (HV 20d: 34.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2022-02-18: Highest Volume — 969 contracts
  • 2022-02-08: Largest IV spike — 20.6% change
  • 2022-02-22: Highest IV Rank — 32.5%
  • 2022-02-22: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.60$40.52$45.57$44.38$43.67
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV53.0%44.7%63.3%53.0%57.1%
Expected Move15.4%12.8%18.1%15.2%16.4%
HV 20d34.0%30.5%38.9%33.5%37.7%
HV 60d32.6%31.8%33.6%32.8%33.6%
IV Rank19.5%9.1%32.5%18.6%24.8%
IV Percentile47.6%13.9%78.6%48.4%63.1%
Term Structure-2.9%-13.9%4.7%-0.3%2.4%
VWIV53.8%50.1%58.1%52.5%58.1%
Skew 25d4.2%-5.0%23.9%-5.0%4.6%
Skew 10d2.2%-13.9%12.3%7.7%6.4%
Call IV 25d52.9%42.6%57.6%52.6%56.2%
Put IV 25d57.0%47.6%66.6%47.6%60.8%
Bid-Ask Spread %73.5049.8982.8082.8082.56
Gamma HHI0.100.070.150.100.09
Net GEX-1.0K-24.6K16.1K-57215.9K
Net DEX242.7K-911.8K1.9M-131.3K-36.0K
Net VEX-29.2K-33.0K-24.8K-33.0K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.671.080.951.01
Total Volume805.947747969774777
Total OI4,438.3683,7604,8224,4933,998

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$44.38$45.0053.0%15.2%33.5%18.6%52.5%-5.0%-0.3%-572-131.3K-33.0K0.9582.80N/AN/A3973772,4812,012
2022-02-02$44.13$45.0045.9%13.2%32.9%10.6%50.3%11.4%4.7%-2.1K-88.8K-32.7K0.9277.97N/AN/A3993662,4832,002
2022-02-03$43.75$45.0046.3%15.0%30.5%11.2%53.9%2.6%-5.2%-5.2K72.5K-32.3K0.8265.27N/AN/A4503712,4862,008
2022-02-04$42.80$45.0048.6%15.7%31.3%14.0%53.5%1.9%-4.8%-17.4K764.8K-30.4K0.8270.79N/AN/A4503712,4772,008
2022-02-07$42.94$45.0045.0%14.9%31.3%9.5%51.8%9.8%-0.9%-22.1K853.1K-29.7K0.6768.48N/AN/A5373602,4862,027
2022-02-08$44.62$45.0054.2%14.8%33.3%21.1%53.2%-3.1%0.6%9.4K-361.9K-31.6K0.9168.83N/AN/A3983622,5872,036
2022-02-09$45.22$45.0048.4%13.9%33.6%13.8%51.9%2.8%0.9%16.1K-617.0K-31.3K0.8972.64N/AN/A4033572,6042,034
2022-02-10$44.23$45.0053.1%15.2%34.4%19.7%50.1%-0.6%-3.3%-165-87.0K-31.5K0.7875.03N/AN/A4663632,6182,044
2022-02-11$45.20$45.0044.7%12.8%35.2%9.1%50.8%6.3%-6.7%7.1K-450.6K-30.5K0.9873.76N/AN/A3783692,5892,056
2022-02-14$45.57$45.0052.9%15.2%35.3%19.5%55.1%23.9%-0.3%11.3K-911.8K-30.2K0.9372.49N/AN/A3883612,6042,047
2022-02-15$44.77$45.0052.7%15.1%30.9%19.2%53.2%3.7%-3.1%-6.6K-331.5K-30.6K0.9149.89N/AN/A4213832,6262,060
2022-02-16$43.49$45.0054.1%15.5%32.8%20.9%56.8%0.1%0.4%-24.6K945.2K-28.4K0.8965.15N/AN/A4093632,6752,095
2022-02-17$43.34$45.0053.9%15.4%32.8%20.7%55.7%0.7%-1.1%-22.4K1.2M-27.6K0.8168.90N/AN/A4673802,6732,103
2022-02-18$42.35$45.0059.6%17.1%33.8%27.9%53.6%1.5%-10.2%1.4K1.9M-26.3K1.0881.33N/AN/A4655042,7092,113
2022-02-22$42.39$45.0063.3%18.1%33.7%32.5%54.9%3.1%-10.2%-4.8K576.0K-24.8K0.7481.53N/AN/A5053742,1481,612
2022-02-23$40.52$45.0057.7%16.5%37.1%25.5%54.9%5.8%-7.0%3.8K655.7K-25.6K1.0678.13N/AN/A3633842,2921,612
2022-02-24$41.89$45.0061.7%17.7%37.5%30.5%57.8%5.6%-13.9%8.1K652.9K-25.3K1.0079.35N/AN/A4084062,3231,622
2022-02-25$43.20$45.0054.2%15.6%38.9%21.1%55.1%4.6%2.4%13.6K52.0K-27.2K1.0881.59N/AN/A3754062,3071,672
2022-02-28$43.67$45.0057.1%16.4%37.7%24.8%58.1%4.6%2.4%15.9K-36.0K-26.2K1.0182.56N/AN/A3873902,3251,673