FIZZ Options History — September 2022

In September 2022, FIZZ traded between $38.67 and $54.95. ATM implied volatility averaged 48.7%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 9.6% (HV 20d: 39.1%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2022-09-13: Highest Volume — 1,011 contracts
  • 2022-09-09: Largest IV drop — 29.7% change
  • 2022-09-07: Highest IV Rank — 79.2%
  • 2022-09-30: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.12$38.67$54.95$54.95$38.67
Max Pain$50.95$40.00$55.00$50.00$40.00
ATM IV48.7%37.3%67.3%48.9%50.1%
Expected Move12.6%10.5%14.4%14.0%14.4%
HV 20d39.1%20.5%46.5%20.5%45.1%
HV 60d33.9%27.9%36.8%29.6%35.2%
IV Rank40.0%16.0%79.2%40.5%43.0%
IV Percentile49.4%3.6%94.4%57.1%63.1%
Term Structure-1.3%-10.0%5.6%-8.1%-10.0%
VWIV43.5%37.7%52.9%50.5%52.9%
Skew 25d7.4%0.0%30.6%10.1%30.6%
Skew 10d10.8%-1.4%47.7%12.6%9.3%
Call IV 25d41.8%34.4%48.8%45.1%48.8%
Put IV 25d49.2%40.4%79.4%55.3%79.4%
Bid-Ask Spread %85.3071.1798.5691.8489.26
Gamma HHI0.200.060.520.200.10
Net GEX-5.7K-111.3K38.9K38.9K21.0K
Net DEX1.2M-3.6M4.2M-3.6M328.1K
Net VEX-15.1K-28.1K-10.2K-28.1K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.1314.821.500.51
Total Volume483101,01110849
Total OI4,361.5713,9055,0994,3294,266

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$54.95$50.0048.9%14.0%20.5%40.5%0.0%10.1%-8.1%38.9K-3.6M-28.1K1.5091.84N/AN/A462,5291,800
2022-09-02$52.88$50.0048.5%13.9%24.7%39.5%50.5%9.1%-0.8%-875-2.2M-27.1K0.1398.56N/AN/A1522,5291,806
2022-09-06$51.30$55.0061.7%13.7%26.5%67.4%38.8%7.8%-7.0%-30.2K-772.7K-24.1K0.5585.92N/AN/A4882692,5231,807
2022-09-07$50.44$55.0067.3%11.5%26.8%79.2%38.2%0.0%3.2%-36.6K-381.6K-23.3K0.5989.11N/AN/A4862872,5381,808
2022-09-08$50.86$55.0067.1%12.9%26.0%78.7%45.2%8.6%-1.2%-43.5K-100.3K-21.6K0.7687.97N/AN/A2351782,5431,824
2022-09-09$47.09$55.0047.1%11.4%36.7%36.8%38.0%5.0%-1.2%-111.3K3.4M-16.2K2.9087.84N/AN/A922672,6351,977
2022-09-12$45.89$55.0054.0%10.5%36.0%51.2%38.7%6.0%3.3%-65.4K3.6M-13.9K0.3879.37N/AN/A137522,6331,868
2022-09-13$43.02$55.0057.6%12.1%40.6%58.7%44.0%1.5%0.7%-1.7K4.2M-11.2K0.5587.18N/AN/A6513602,6991,882
2022-09-14$41.01$55.0047.4%13.6%40.6%37.3%45.8%1.1%-5.4%-3.6K3.8M-12.7K0.2183.21N/AN/A284612,8801,906
2022-09-15$42.92$50.0043.8%12.6%45.8%29.8%42.6%15.0%-1.8%18.9K4.1M-11.8K0.2590.43N/AN/A115293,0871,960
2022-09-16$41.60$50.0043.5%12.5%45.4%29.1%50.8%10.8%5.6%21.1K4.0M-12.9K0.4888.76N/AN/A6122933,1201,979
2022-09-19$42.37$50.0043.2%12.4%46.5%28.4%39.4%5.2%2.8%20.3K1.7M-11.3K0.5178.12N/AN/A154792,6681,394
2022-09-20$41.56$50.0044.9%12.9%46.4%31.9%46.1%7.5%-3.4%22.9K675.4K-11.3K1.2385.98N/AN/A13162,7371,168
2022-09-21$40.71$50.0037.3%10.7%46.0%16.0%37.7%3.3%0.9%20.0K936.7K-10.2K14.8279.62N/AN/A111632,7461,162
2022-09-22$40.52$50.0043.7%12.5%44.9%29.5%43.4%4.8%3.9%-1.1K1.3M-10.7K0.4283.88N/AN/A83352,7491,346
2022-09-23$40.69$50.0039.6%11.4%44.0%20.9%41.0%5.1%0.1%2.2K1.1M-11.5K2.0083.91N/AN/A28562,8021,346
2022-09-26$40.38$50.0043.9%12.6%44.1%30.0%43.5%5.9%-2.6%7.9K1.0M-13.3K0.4978.05N/AN/A6463182,8921,393
2022-09-27$40.04$50.0046.7%13.4%44.1%35.9%45.1%8.5%-4.5%-1961.3M-10.8K0.5171.17N/AN/A6473292,8801,394
2022-09-28$40.46$50.0042.6%12.2%45.1%27.3%44.1%5.2%-1.3%3641.1M-10.8K0.6479.86N/AN/A5183292,8871,383
2022-09-29$39.13$45.0043.8%12.6%45.2%29.7%43.3%3.9%-0.8%2.1K466.8K-11.8K0.4391.24N/AN/A6602862,9001,147
2022-09-30$38.67$40.0050.1%14.4%45.1%43.0%52.9%30.6%-10.0%21.0K328.1K-12.1K0.5189.26N/AN/A5632863,1131,153