FIZZ Options History — October 2022

In October 2022, FIZZ traded between $38.99 and $47.65. ATM implied volatility averaged 45.6%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 7.2% (HV 20d: 38.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2022-10-05: Highest Volume — 1,167 contracts
  • 2022-10-10: Largest IV spike — 28.4% change
  • 2022-10-11: Highest IV Rank — 65.6%
  • 2022-10-11: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.25$38.99$47.65$39.08$47.65
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV45.6%39.0%60.9%45.3%39.1%
Expected Move12.7%11.2%14.8%13.0%11.2%
HV 20d38.4%32.6%48.8%45.5%35.6%
HV 60d37.4%35.4%39.2%35.4%39.2%
IV Rank33.6%19.7%65.6%32.9%19.9%
IV Percentile39.8%7.5%86.9%40.9%7.9%
Term Structure1.9%-7.2%11.8%-4.1%7.3%
VWIV44.9%41.3%49.1%45.8%44.5%
Skew 25d8.4%3.3%18.8%5.3%3.4%
Skew 10d21.5%2.8%82.2%3.3%11.3%
Call IV 25d41.4%31.9%47.5%46.3%39.5%
Put IV 25d49.8%42.8%61.1%51.6%42.9%
Bid-Ask Spread %87.5379.4695.0486.0581.95
Gamma HHI0.120.050.210.130.08
Net GEX34.4K-12.7K70.3K14.3K70.3K
Net DEX-726.4K-2.4M560.2K537.2K-2.4M
Net VEX-10.8K-12.4K-9.6K-10.0K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.330.740.600.54
Total Volume799.7626381,167907704
Total OI3,728.0952,4824,2744,2742,646

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$39.08$40.0045.3%13.0%45.5%32.9%45.8%5.3%-4.1%14.3K537.2K-10.0K0.6086.05N/AN/A5663413,1181,156
2022-10-04$40.56$40.0044.1%12.7%48.7%30.4%44.9%4.5%-5.5%29.5K-93.5K-9.9K0.7489.06N/AN/A3922903,1171,126
2022-10-05$40.57$40.0048.1%13.8%48.8%38.7%48.3%4.0%-7.2%38.7K-451.6K-12.4K0.3383.01N/AN/A8772903,1391,128
2022-10-06$39.81$40.0046.8%11.9%48.4%36.0%43.5%3.5%7.1%16.0K190.1K-11.1K0.4389.78N/AN/A6602822,9551,128
2022-10-07$38.99$40.0045.1%12.6%42.1%32.4%44.4%18.8%4.4%7.7K560.2K-10.1K0.4494.54N/AN/A6592902,9821,129
2022-10-10$40.22$40.0057.9%12.3%43.9%59.3%41.3%10.5%6.1%19.4K63.1K-10.9K0.4588.86N/AN/A6462892,9811,134
2022-10-11$40.39$40.0060.9%14.8%38.3%65.6%49.1%12.4%-1.7%22.7K-137.9K-11.3K0.4490.46N/AN/A6542902,9961,122
2022-10-12$41.68$40.0045.9%13.2%36.3%34.2%44.6%7.6%5.3%35.9K-705.5K-11.8K0.4084.69N/AN/A6472623,0011,129
2022-10-13$42.88$40.0044.1%12.7%34.0%30.5%47.8%8.1%2.7%52.8K-1.1M-11.0K0.5886.69N/AN/A4482613,0121,134
2022-10-14$41.83$40.0048.0%13.8%33.3%38.5%44.5%5.8%-2.7%40.1K-764.3K-11.7K0.6086.13N/AN/A4482713,0081,132
2022-10-17$42.52$40.0043.4%12.4%33.1%28.9%43.6%4.4%3.5%50.7K-1.0M-11.1K0.5489.43N/AN/A5022693,0081,156
2022-10-18$43.12$40.0042.0%12.0%32.6%25.9%42.2%6.0%5.1%64.2K-1.2M-11.0K0.5786.14N/AN/A5162953,0671,160
2022-10-19$42.24$40.0047.5%13.6%32.6%37.5%46.5%3.9%-4.9%34.6K-625.1K-10.2K0.5690.44N/AN/A5242953,0751,183
2022-10-20$40.76$40.0049.1%14.1%35.2%40.8%48.2%11.8%0.2%-12.7K-177.8K-9.7K0.6395.04N/AN/A4732983,0771,180
2022-10-21$41.81$40.0048.3%13.9%36.3%39.2%45.8%9.0%-2.9%21.4K-923.2K-9.9K0.6293.59N/AN/A4843013,0871,127
2022-10-24$42.94$40.0041.4%11.9%37.2%24.7%41.5%16.6%11.8%26.6K-813.4K-10.0K0.5482.40N/AN/A4282331,741741
2022-10-25$43.92$40.0040.3%11.5%37.6%22.3%41.9%10.2%5.1%38.9K-1.3M-11.1K0.5382.77N/AN/A4372321,802759
2022-10-26$44.49$40.0042.7%12.2%37.6%27.4%46.6%8.6%2.2%47.1K-1.6M-12.1K0.5779.46N/AN/A4062321,840762
2022-10-27$45.09$40.0039.0%11.2%34.9%19.7%47.7%18.7%2.1%46.5K-1.4M-9.6K0.5688.64N/AN/A4112311,849764
2022-10-28$46.60$40.0039.6%11.4%35.3%21.0%41.3%3.3%5.3%58.0K-1.9M-10.9K0.5489.05N/AN/A4302311,866773
2022-10-31$47.65$40.0039.1%11.2%35.6%19.9%44.5%3.4%7.3%70.3K-2.4M-11.8K0.5481.95N/AN/A4572471,873773