FIZZ Options History — December 2022

In December 2022, FIZZ traded between $46.75 and $53.06. ATM implied volatility averaged 45.9%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 4.3% (HV 20d: 41.7%). Max pain ranged from $44.50 to $47.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 4.62.

Notable Days

  • 2022-12-09: Highest Volume — 528 contracts
  • 2022-12-12: Largest IV spike — 30.6% change
  • 2022-12-12: Highest IV Rank — 77.6%
  • 2022-12-02: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.06$46.75$53.06$51.18$46.75
Max Pain$46.33$44.50$47.00$45.00$46.50
ATM IV45.9%30.9%64.9%48.0%34.2%
Expected Move11.3%8.9%16.9%13.8%9.8%
HV 20d41.7%38.0%46.7%39.8%42.0%
HV 60d39.1%35.6%42.9%42.9%39.3%
IV Rank35.1%2.8%77.6%38.5%10.0%
IV Percentile41.6%0.8%95.6%59.9%2.0%
Term Structure-1.5%-23.4%9.6%-10.1%9.6%
VWIV40.7%30.4%55.0%55.0%34.4%
Skew 25d2.4%-11.2%9.5%5.8%1.8%
Skew 10d9.5%-3.5%23.1%20.2%6.5%
Call IV 25d40.1%30.8%56.4%48.3%35.4%
Put IV 25d42.6%35.4%54.1%54.1%37.2%
Bid-Ask Spread %94.7889.05101.8989.0596.90
Gamma HHI0.110.050.580.050.07
Net GEX18.9K-195.0K65.8K65.7K18.7K
Net DEX-1.6M-2.8M175.4K-2.5M-1.2M
Net VEX-9.7K-12.4K-7.0K-12.3K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.620.0057.670.256.14
Total Volume82.38115281050
Total OI2,878.9522,6853,4192,7882,725

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$51.18$45.0048.0%13.8%39.8%38.5%55.0%5.8%-10.1%65.7K-2.5M-12.3K0.2589.05N/AN/A821,958830
2022-12-02$50.86$45.0059.1%16.9%39.3%61.9%50.1%4.2%-23.4%65.8K-2.6M-12.4K0.0994.90N/AN/A5851,966828
2022-12-05$49.31$46.5057.7%11.5%41.3%58.9%40.8%9.5%2.4%44.1K-1.6M-10.4K0.1090.99N/AN/A8081,974828
2022-12-06$49.47$47.0064.9%12.7%41.1%74.0%39.9%-6.4%2.3%48.2K-1.9M-10.7K1.0889.49N/AN/A13141,993830
2022-12-07$49.33$47.0059.2%11.7%40.3%62.0%46.7%-11.2%1.0%57.0K-2.0M-12.4K0.8890.51N/AN/A25222,000841
2022-12-08$48.77$47.0057.0%10.3%40.4%57.5%41.1%6.2%-2.0%50.3K-1.7M-11.4K1.8691.29N/AN/A28522,011848
2022-12-09$50.39$47.0049.6%10.9%38.0%42.0%38.1%5.7%2.6%48.3K-2.0M-10.5K57.6792.45N/AN/A95192,013875
2022-12-12$53.06$47.0064.8%10.5%41.9%77.6%37.2%1.1%1.0%-26.4K-2.8M-11.6K2.3192.97N/AN/A39902,0081,371
2022-12-13$52.33$47.0056.5%10.2%42.3%59.2%37.0%4.5%3.8%-46.0K-2.1M-11.5K1.3892.44N/AN/A21292,0121,407
2022-12-14$48.52$47.0039.4%11.3%46.7%21.7%39.0%-0.2%-4.8%-195.0K175.4K-10.2K6.3298.45N/AN/A593732,0131,386
2022-12-15$47.88$46.5034.5%9.9%44.2%10.7%34.6%0.9%3.9%-24.3K-641.7K-9.1K3.5093.72N/AN/A272,0271,024
2022-12-16$47.28$46.5043.2%12.4%42.0%30.3%40.5%2.0%1.0%27.2K-187.1K-8.8K2.1295.64N/AN/A17362,0261,020
2022-12-19$47.15$46.5035.8%10.3%42.0%13.7%33.7%4.8%5.8%25.7K-1.1M-8.2K0.1196.26N/AN/A87101,929761
2022-12-20$47.91$46.5039.1%11.2%42.0%21.0%35.1%4.9%-4.0%34.2K-1.5M-8.7K0.0096.52N/AN/A101,952740
2022-12-21$49.05$44.5030.9%8.9%41.7%2.8%30.4%5.1%0.4%35.9K-1.8M-8.1K0.6394.24N/AN/A851,958727
2022-12-22$48.20$44.5037.1%10.6%41.7%16.6%48.5%2.1%-1.0%33.7K-1.5M-8.3K0.3999.17N/AN/A31121,966732
2022-12-23$48.91$46.5032.7%9.4%42.2%6.9%45.8%4.8%-2.4%37.4K-1.8M-8.3K2.0097.72N/AN/A121,975743
2022-12-27$48.52$46.5037.7%10.8%42.2%17.9%38.0%-5.6%-1.1%41.8K-1.9M-8.3K0.0097.19N/AN/A011,976745
2022-12-28$47.51$46.5040.0%11.5%42.6%23.1%47.6%6.7%-4.5%20.1K-1.2M-7.3K1.0098.67N/AN/A221,976745
2022-12-29$47.97$46.5043.5%12.5%41.4%30.8%0.0%4.2%-11.2%34.1K-1.6M-8.2K0.00101.89N/AN/A021,977742
2022-12-30$46.75$46.5034.2%9.8%42.0%10.0%34.4%1.8%9.6%18.7K-1.2M-7.0K6.1496.90N/AN/A7431,981744