FIZZ Options History — June 2022

In June 2022, FIZZ traded between $43.84 and $49.52. ATM implied volatility averaged 50.4%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 6.5% (HV 20d: 43.9%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2022-06-07: Highest Volume — 1,824 contracts
  • 2022-06-30: Largest IV drop — 32.6% change
  • 2022-06-29: Highest IV Rank — 69.4%
  • 2022-06-29: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.18$43.84$49.52$48.86$48.71
Max Pain$47.14$47.00$50.00$50.00$47.00
ATM IV50.4%42.3%62.7%44.4%42.3%
Expected Move14.4%12.1%18.0%12.7%12.1%
HV 20d43.9%39.2%47.8%47.3%39.2%
HV 60d40.4%38.3%43.7%43.7%40.5%
IV Rank43.0%17.0%69.4%17.0%26.5%
IV Percentile48.2%14.7%89.7%21.0%14.7%
Term Structure-4.4%-21.3%10.3%4.1%-7.9%
VWIV51.6%42.3%63.0%48.2%56.5%
Skew 25d6.5%-5.1%16.8%5.1%15.3%
Skew 10d13.0%-6.2%38.8%17.6%15.0%
Call IV 25d50.2%37.7%61.9%47.4%37.7%
Put IV 25d56.8%44.1%71.5%52.6%53.0%
Bid-Ask Spread %86.0675.3193.4387.8393.15
Gamma HHI0.250.150.400.170.21
Net GEX-18.4K-104.0K116.0K90.5K-33.9K
Net DEX-766.5K-3.0M1.7M-2.6M-1.7M
Net VEX-27.8K-30.9K-25.6K-26.2K-28.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.663.741.062.20
Total Volume1,095.6198141,8248881,461
Total OI4,993.0483,7886,1283,7886,128

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$48.86$50.0044.4%12.7%47.3%17.0%48.2%5.1%4.1%90.5K-2.6M-26.2K1.0687.83N/AN/A4314572,2911,497
2022-06-02$49.40$47.0051.0%12.8%45.8%45.0%47.9%10.2%-7.9%94.5K-3.0M-27.4K1.1388.39N/AN/A4034572,3771,500
2022-06-03$48.91$47.0043.5%13.5%46.1%29.1%46.1%6.1%0.2%100.5K-2.8M-27.7K1.1088.41N/AN/A3984382,4011,500
2022-06-06$48.67$47.0051.2%13.7%46.2%45.2%48.4%6.5%-3.7%99.1K-2.7M-26.6K1.1582.95N/AN/A3934522,4011,502
2022-06-07$49.52$47.0044.7%12.7%46.4%31.7%54.6%8.6%-0.3%116.0K-3.0M-26.0K3.7482.12N/AN/A3851,4392,4031,503
2022-06-08$48.74$47.0043.1%12.3%46.9%28.2%42.3%1.7%2.1%37.2K-1.7M-29.7K1.1485.19N/AN/A3804342,4032,531
2022-06-09$47.76$47.0045.7%13.1%47.5%33.7%43.7%6.3%-3.3%9.7K-1.0M-28.9K1.0989.95N/AN/A4194552,4042,581
2022-06-10$47.01$47.0043.1%12.3%47.8%28.2%42.9%-0.3%2.6%-12.1K-431.8K-30.9K0.9486.84N/AN/A5455102,4442,602
2022-06-13$44.15$47.0051.2%14.7%46.1%45.2%54.3%12.3%-0.2%-81.6K1.4M-26.8K0.8189.37N/AN/A5614542,4282,614
2022-06-14$44.21$47.0055.4%15.9%45.3%54.2%54.7%5.5%-3.4%-71.0K1.3M-26.9K0.8090.58N/AN/A5874722,4372,669
2022-06-15$45.43$47.0043.0%12.3%45.7%28.1%45.4%6.4%4.9%-67.6K691.1K-26.9K0.8190.60N/AN/A5844722,4672,663
2022-06-16$43.84$47.0047.2%13.5%46.9%36.9%49.3%3.8%10.3%-102.9K1.7M-25.6K1.0685.88N/AN/A4925202,4722,663
2022-06-17$44.49$47.0048.9%14.0%39.5%40.5%48.6%6.3%0.7%-104.0K1.6M-26.6K0.8075.31N/AN/A6535232,4942,790
2022-06-21$45.57$47.0056.0%16.1%40.2%55.4%51.3%7.2%-12.5%-80.7K401.3K-26.1K0.6683.84N/AN/A6214112,2572,635
2022-06-22$45.17$47.0052.9%15.2%40.0%48.8%60.5%-1.4%-5.1%-78.4K691.4K-25.7K1.4793.43N/AN/A6199082,4362,637
2022-06-23$46.47$47.0056.3%16.2%40.5%56.1%55.1%-5.1%-7.7%-86.9K-253.7K-28.0K1.6780.42N/AN/A6341,0572,4643,020
2022-06-24$48.48$47.0060.3%17.3%43.3%64.3%62.2%16.8%-21.3%-48.5K-1.5M-29.4K1.6183.58N/AN/A4256832,4843,191
2022-06-27$49.10$47.0056.0%16.1%42.1%55.4%52.8%13.9%-13.1%-46.8K-1.8M-30.7K0.9481.68N/AN/A4734442,5123,298
2022-06-28$48.23$47.0059.9%17.2%40.2%63.6%56.5%1.6%-11.5%-58.6K-974.8K-28.8K1.1286.80N/AN/A4905502,5583,252
2022-06-29$47.98$47.0062.7%18.0%39.6%69.4%63.0%10.4%-19.5%-61.4K-455.0K-30.2K0.7181.04N/AN/A5363822,5873,358
2022-06-30$48.71$47.0042.3%12.1%39.2%26.5%56.5%15.3%-7.9%-33.9K-1.7M-28.7K2.2093.15N/AN/A4561,0052,6763,452