FIZZ Options History — July 2022

In July 2022, FIZZ traded between $47.46 and $54.18. ATM implied volatility averaged 46.2%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 14.3% (HV 20d: 32.0%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2022-07-29: Highest Volume — 2,015 contracts
  • 2022-07-11: Largest IV spike — 82.0% change
  • 2022-07-12: Highest IV Rank — 94.2%
  • 2022-07-18: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.81$47.46$54.18$49.60$54.18
Max Pain$49.85$47.00$50.00$47.00$50.00
ATM IV46.2%34.2%74.5%43.6%46.1%
Expected Move11.6%9.8%14.1%12.5%13.2%
HV 20d32.0%23.7%40.2%39.6%27.6%
HV 60d39.0%38.0%40.8%40.6%38.5%
IV Rank34.9%9.6%94.2%29.4%34.6%
IV Percentile30.6%0.8%98.4%21.4%36.5%
Term Structure2.4%-5.8%7.7%1.8%-5.8%
VWIV43.2%36.2%54.6%54.6%42.8%
Skew 25d6.0%0.1%14.5%9.0%0.2%
Skew 10d14.0%0.9%33.9%20.9%9.2%
Call IV 25d38.7%32.9%44.4%44.1%42.6%
Put IV 25d44.8%37.1%53.0%53.0%42.8%
Bid-Ask Spread %80.8170.0394.9891.6888.27
Gamma HHI0.150.070.230.230.15
Net GEX81.1K-40.4K178.5K-40.4K132.1K
Net DEX-3.2M-6.3M-1.4M-2.2M-6.3M
Net VEX-24.6K-30.4K-20.8K-28.8K-30.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.383.510.953.51
Total Volume812.855802,0151,0112,015
Total OI5,186.62,8926,8756,6384,259

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$49.60$47.0043.6%12.5%39.6%29.4%54.6%9.0%1.8%-40.4K-2.2M-28.8K0.9591.68N/AN/A5194922,6773,961
2022-07-05$50.73$50.0048.2%11.5%40.2%39.0%43.5%3.8%4.8%64.1K-4.0M-25.5K0.7671.70N/AN/A4883702,7273,985
2022-07-06$50.95$50.0072.0%11.4%40.1%88.9%38.2%6.7%3.4%76.7K-4.4M-26.2K0.5373.80N/AN/A4802532,7823,985
2022-07-07$50.46$50.0061.6%11.7%39.9%67.1%41.0%7.3%1.7%7.7K-3.9M-28.6K0.4576.41N/AN/A4772152,8203,988
2022-07-08$50.25$50.0036.4%11.7%39.5%14.1%42.1%3.3%3.2%178.5K-4.2M-24.1K0.4684.10N/AN/A4672162,8203,991
2022-07-11$49.47$50.0066.2%11.5%39.1%76.8%43.3%7.0%3.1%96.4K-3.3M-23.7K0.4081.12N/AN/A5662252,8183,994
2022-07-12$48.53$50.0074.5%12.2%39.4%94.2%44.4%1.9%1.6%121.2K-2.6M-23.2K0.4280.97N/AN/A5372272,8614,004
2022-07-13$48.32$50.0041.3%11.8%31.3%24.5%41.8%4.8%6.3%69.3K-2.1M-22.8K0.4282.00N/AN/A5122162,8614,013
2022-07-14$48.27$50.0037.9%10.9%31.4%17.4%40.5%7.6%7.7%122.3K-2.2M-21.0K0.4285.04N/AN/A5312252,8624,013
2022-07-15$48.40$50.0037.7%10.8%30.2%16.9%39.7%6.1%-3.6%32.3K-2.6M-21.1K0.3881.61N/AN/A5422082,8583,995
2022-07-18$47.46$50.0049.0%14.1%27.9%40.7%42.6%9.7%-0.4%32.6K-1.4M-20.8K0.4971.91N/AN/A5632741,914978
2022-07-19$48.22$50.0042.9%12.3%28.0%27.8%43.0%4.6%-0.8%61.2K-2.0M-22.0K0.5473.54N/AN/A4772572,1651,081
2022-07-20$49.31$50.0039.1%11.2%27.8%19.9%44.0%10.6%7.5%80.1K-2.5M-23.6K0.6080.23N/AN/A3892332,2881,143
2022-07-21$49.23$50.0037.9%10.9%27.5%17.4%43.8%6.2%4.0%84.7K-2.6M-23.6K0.8270.03N/AN/A3943222,3051,145
2022-07-22$48.28$50.0040.4%11.6%27.2%22.6%50.2%5.9%-1.2%66.5K-2.0M-23.7K0.6483.83N/AN/A3702352,3321,235
2022-07-25$49.22$50.0035.2%10.1%23.7%11.6%36.2%6.2%4.4%83.1K-2.5M-23.4K0.4972.12N/AN/A4071982,3441,238
2022-07-26$51.14$50.0039.5%11.3%26.9%20.7%38.2%5.5%5.0%103.1K-4.1M-26.9K0.6086.82N/AN/A3622182,3621,246
2022-07-27$51.56$50.0040.9%11.7%25.9%23.7%50.3%14.5%1.8%113.6K-4.3M-26.9K0.4594.98N/AN/A5422422,4061,271
2022-07-28$52.61$50.0034.2%9.8%26.4%9.6%44.0%0.1%3.5%136.3K-5.2M-26.6K0.5386.10N/AN/A6493442,6021,403
2022-07-29$54.18$50.0046.1%13.2%27.6%34.6%42.8%0.2%-5.8%132.1K-6.3M-30.4K3.5188.27N/AN/A4471,5682,6991,560