FIZZ Options History — November 2022

In November 2022, FIZZ traded between $46.08 and $53.80. ATM implied volatility averaged 45.4%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 8.9% (HV 20d: 36.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2022-11-23: Highest Volume — 815 contracts
  • 2022-11-28: Largest IV spike — 86.0% change
  • 2022-11-28: Highest IV Rank — 57.9%
  • 2022-11-28: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.58$46.08$53.80$46.90$51.78
Max Pain$44.29$40.00$45.00$40.00$45.00
ATM IV45.4%30.7%57.2%47.2%52.9%
Expected Move12.8%8.8%16.4%13.5%15.2%
HV 20d36.5%32.2%40.3%35.2%39.4%
HV 60d41.4%39.0%43.6%39.3%43.0%
IV Rank33.1%2.3%57.9%37.0%48.9%
IV Percentile41.0%0.4%84.1%51.2%75.0%
Term Structure-5.1%-24.8%5.4%-0.4%-11.8%
VWIV43.8%39.3%59.4%40.4%59.4%
Skew 25d5.1%-8.1%15.1%13.4%3.9%
Skew 10d7.8%-16.7%28.3%28.3%10.3%
Call IV 25d42.8%37.9%48.2%39.9%46.7%
Put IV 25d47.9%38.2%59.4%53.3%50.6%
Bid-Ask Spread %86.6774.94100.9791.6495.15
Gamma HHI0.090.050.200.080.05
Net GEX81.8K55.8K143.1K70.2K65.8K
Net DEX-2.8M-5.2M-1.8M-2.2M-2.7M
Net VEX-11.1K-12.5K-9.0K-11.7K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.002.500.482.50
Total Volume604.52418156787
Total OI2,794.8572,4602,9622,6832,785

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$46.90$40.0047.2%13.5%35.2%37.0%40.4%13.4%-0.4%70.2K-2.2M-11.7K0.4891.64N/AN/A4582201,932751
2022-11-02$47.06$40.0047.3%13.6%35.1%37.1%41.7%2.8%-4.8%67.8K-2.2M-10.5K0.4295.90N/AN/A5222201,937752
2022-11-03$46.32$40.0043.1%11.8%34.8%28.3%40.2%-1.2%-5.1%76.3K-2.0M-10.5K0.4686.66N/AN/A5402502,065756
2022-11-04$46.68$45.0044.5%13.6%33.2%31.3%48.0%3.8%-7.1%80.1K-2.2M-12.0K0.4781.61N/AN/A5382512,071785
2022-11-07$47.34$45.0052.7%12.7%32.2%48.4%43.2%5.3%-6.5%83.9K-2.3M-10.3K0.4974.94N/AN/A5162522,073787
2022-11-08$46.39$45.0052.9%12.3%33.7%48.9%42.4%3.2%-3.3%71.3K-1.9M-10.0K0.4377.09N/AN/A5202232,075789
2022-11-09$46.08$45.0040.3%11.5%32.8%22.3%39.3%4.2%2.0%67.4K-1.8M-9.8K0.4386.24N/AN/A5202232,076791
2022-11-10$48.50$45.0044.8%12.9%35.8%31.9%44.7%-0.2%-3.5%97.3K-2.7M-10.9K0.4287.95N/AN/A5282242,076791
2022-11-11$48.85$45.0038.5%11.0%33.9%18.6%39.7%2.8%2.1%106.0K-2.9M-10.6K0.4279.72N/AN/A5292202,087787
2022-11-14$49.15$45.0038.5%11.0%33.7%18.6%41.9%3.1%1.5%117.9K-3.0M-10.8K0.4782.44N/AN/A5152442,097789
2022-11-15$51.79$45.0041.8%12.0%37.3%25.4%43.3%6.5%-4.5%125.3K-4.3M-12.3K0.4684.42N/AN/A5202402,099812
2022-11-16$53.80$45.0041.6%11.9%36.9%25.1%44.6%6.4%-3.7%143.1K-5.2M-12.5K0.4979.15N/AN/A4982432,114818
2022-11-17$51.51$45.0044.5%12.7%38.3%31.1%44.6%5.6%-5.3%110.3K-4.1M-12.0K0.5687.10N/AN/A4322412,139821
2022-11-18$51.60$45.0044.0%12.6%38.1%30.2%45.2%11.0%-6.0%61.6K-3.8M-11.2K0.5786.32N/AN/A4442512,142820
2022-11-21$52.44$45.0052.3%15.0%37.7%47.5%44.8%15.1%-6.1%71.8K-2.9M-10.9K0.5478.95N/AN/A4242271,771689
2022-11-22$50.77$45.0044.5%12.8%40.2%31.3%44.4%6.9%-7.7%58.6K-2.3M-9.0K0.5397.20N/AN/A4912591,787695
2022-11-23$51.42$45.0045.6%13.1%40.2%33.6%43.5%7.7%-10.1%67.7K-2.6M-11.8K0.4690.93N/AN/A5572581,903744
2022-11-25$51.38$45.0030.7%8.8%40.3%2.3%41.1%-8.1%5.4%55.8K-2.3M-10.6K2.24100.97N/AN/A21471,933785
2022-11-28$51.09$45.0057.2%16.4%39.2%57.9%59.4%13.0%-24.8%62.5K-2.4M-12.1K0.0588.99N/AN/A2011,954829
2022-11-29$50.40$45.0048.6%13.9%39.1%39.8%0.0%2.0%-8.4%57.5K-2.2M-11.9K0.0086.73N/AN/A101,956829
2022-11-30$51.78$45.0052.9%15.2%39.4%48.9%0.0%3.9%-11.8%65.8K-2.7M-12.3K2.5095.15N/AN/A251,956829