FIZZ Options History — March 2022

In March 2022, FIZZ traded between $38.97 and $44.70. ATM implied volatility averaged 49.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 3.6% (HV 20d: 45.5%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2022-03-29: Highest Volume — 1,301 contracts
  • 2022-03-18: Largest IV drop — 37.8% change
  • 2022-03-07: Highest IV Rank — 41.5%
  • 2022-03-10: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.56$38.97$44.70$43.04$43.51
Max Pain$45.43$40.00$55.00$45.00$45.00
ATM IV49.1%31.7%70.4%62.3%37.4%
Expected Move15.0%9.2%23.7%17.9%10.4%
HV 20d45.5%35.2%52.9%35.2%48.2%
HV 60d36.6%32.3%39.6%33.7%39.4%
IV Rank17.5%0.0%41.5%31.2%6.7%
IV Percentile36.1%0.0%93.7%78.6%0.8%
Term Structure-2.1%-10.1%7.3%-5.8%-2.8%
VWIV51.9%36.3%88.8%57.1%39.9%
Skew 25d4.2%-2.3%18.3%-2.3%-0.2%
Skew 10d6.7%-8.4%21.4%-1.4%-4.4%
Call IV 25d48.1%36.5%66.2%63.0%40.9%
Put IV 25d52.3%38.9%66.7%60.7%40.7%
Bid-Ask Spread %83.6863.62103.1789.3784.57
Gamma HHI0.100.050.170.090.14
Net GEX17.0K-34.6K96.5K12.9K80.9K
Net DEX219.4K-1.1M1.9M126.9K-680.3K
Net VEX-24.0K-27.1K-20.9K-26.2K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.461.041.040.66
Total Volume894.4787501,301770887
Total OI4,177.9133,7724,7474,0144,747

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$43.04$45.0062.3%17.9%35.2%31.2%57.1%-2.3%-5.8%12.9K126.9K-26.2K1.0489.37N/AN/A3773932,3391,675
2022-03-02$44.06$45.0057.0%16.3%36.3%24.5%63.9%9.7%-3.9%23.0K-337.8K-27.1K0.9888.37N/AN/A3813732,3491,674
2022-03-03$42.90$45.0066.8%19.1%37.5%36.8%63.6%6.2%-5.1%14.1K78.5K-26.1K0.9990.84N/AN/A3763742,3551,683
2022-03-04$42.63$45.0060.2%17.2%37.4%28.5%53.8%4.7%7.3%16.3K120.9K-26.8K1.0298.84N/AN/A3773852,3641,688
2022-03-07$43.22$45.0070.4%20.2%36.9%41.5%69.0%-0.8%-7.1%20.8K-81.8K-26.5K1.0194.75N/AN/A3913952,3651,690
2022-03-08$42.39$45.0054.6%23.0%37.6%21.5%70.7%9.7%-3.7%12.8K292.9K-25.0K0.8193.64N/AN/A4753842,3771,691
2022-03-09$43.95$45.0060.2%23.2%37.3%28.8%81.1%2.5%-10.1%24.1K-356.0K-26.1K0.9684.02N/AN/A4514322,3361,699
2022-03-10$40.44$45.0057.7%23.7%47.0%25.6%88.8%1.1%-9.3%-6.3K1.0M-23.4K0.8363.70N/AN/A5324392,3601,758
2022-03-11$39.60$45.0046.4%15.1%46.9%11.3%56.8%-1.3%0.4%-30.7K1.6M-22.0K0.78103.17N/AN/A5194072,4011,802
2022-03-14$38.97$55.0050.3%14.3%45.9%16.3%46.5%2.0%0.4%-34.3K1.9M-20.9K0.7973.17N/AN/A5003952,4051,787
2022-03-15$40.33$52.0047.3%13.9%48.0%12.4%50.2%3.1%1.1%-34.6K1.4M-22.8K0.7363.62N/AN/A5003642,4031,831
2022-03-16$41.91$52.0046.3%14.1%50.3%11.2%49.4%5.2%3.3%-12.2K975.3K-22.3K0.8771.53N/AN/A4854242,4061,839
2022-03-17$41.47$0.0051.0%14.8%49.4%17.2%0.0%18.3%-1.6%-19.8K950.1K-22.6K0.7689.10N/AN/A5233952,4151,884
2022-03-18$43.65$0.0031.7%9.2%52.9%0.0%37.4%8.8%-1.4%-9.4K375.9K-22.7K0.6989.01N/AN/A5583842,4661,881
2022-03-21$43.38$50.0041.4%12.7%52.3%11.5%41.6%2.9%1.2%-293142.8K-21.8K0.6081.58N/AN/A6133662,1071,665
2022-03-22$43.73$45.0038.3%10.3%52.3%7.7%38.6%6.1%-2.0%23.8K-268.8K-23.1K0.6381.27N/AN/A5833672,2751,700
2022-03-23$42.45$45.0041.0%12.5%50.8%11.0%41.9%3.2%3.1%27.6K33.3K-23.4K0.7586.86N/AN/A4643482,4141,702
2022-03-24$42.46$40.0041.9%11.2%49.5%12.0%38.2%7.4%4.9%29.9K36.2K-22.6K0.7476.53N/AN/A4583412,4171,701
2022-03-25$42.61$40.0041.0%11.2%48.2%11.0%36.3%6.4%-6.7%28.3K13.8K-23.2K0.7379.97N/AN/A4653402,4261,707
2022-03-28$43.41$40.0049.7%12.8%48.5%21.2%39.2%0.2%-9.2%40.6K-143.2K-22.8K0.4677.94N/AN/A7463432,4361,710
2022-03-29$44.70$40.0039.3%11.4%49.3%9.0%40.0%-1.2%-0.6%87.5K-1.1M-25.0K0.5184.74N/AN/A8614402,7281,711
2022-03-30$44.15$45.0036.4%10.1%48.9%5.5%37.4%5.2%-1.2%96.5K-977.8K-25.3K0.7478.15N/AN/A5544082,9431,780
2022-03-31$43.51$45.0037.4%10.4%48.2%6.7%39.9%-0.2%-2.8%80.9K-680.3K-24.7K0.6684.57N/AN/A5353522,9501,797