FIZZ Options History — January 2023

In January 2023, FIZZ traded between $42.50 and $46.55. ATM implied volatility averaged 40.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 3.2% (HV 20d: 36.8%). Max pain ranged from $44.50 to $50.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.53.

Notable Days

  • 2023-01-13: Highest Volume — 391 contracts
  • 2023-01-09: Largest IV spike — 41.0% change
  • 2023-01-09: Highest IV Rank — 45.9%
  • 2023-01-05: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.15$42.50$46.55$46.55$43.97
Max Pain$47.95$44.50$50.00$44.50$45.00
ATM IV40.0%35.5%50.2%42.3%43.1%
Expected Move11.3%10.2%12.4%12.1%12.4%
HV 20d36.8%30.3%46.2%42.0%32.0%
HV 60d39.1%38.0%40.2%39.0%38.0%
IV Rank23.0%13.0%45.9%28.1%30.0%
IV Percentile20.0%4.0%70.6%26.2%36.1%
Term Structure2.1%-2.5%10.4%-0.6%3.0%
VWIV38.7%27.2%43.7%40.7%37.4%
Skew 25d4.5%-4.9%15.7%4.3%10.5%
Skew 10d9.9%-8.6%34.0%18.2%34.0%
Call IV 25d37.9%31.0%42.5%39.2%36.6%
Put IV 25d42.4%32.4%51.0%43.5%47.1%
Bid-Ask Spread %96.9391.77102.77102.77101.67
Gamma HHI0.150.080.260.080.22
Net GEX-7.6K-35.1K10.9K10.9K-13.4K
Net DEX-458.4K-1.1M70.8K-1.1M-189.1K
Net VEX-6.6K-7.9K-4.9K-6.9K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.530.0031.582.502.50
Total Volume56.3139171
Total OI2,308.71,2253,1172,7521,420

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$46.55$44.5042.3%12.1%42.0%28.1%40.7%4.3%-0.6%10.9K-1.1M-6.9K2.50102.77N/AN/A251,983769
2023-01-04$44.88$44.5040.6%11.6%42.5%24.3%41.0%6.1%-0.2%4.9K-592.3K-6.5K0.6598.50N/AN/A20131,984772
2023-01-05$43.69$50.0038.6%12.4%43.1%19.8%0.0%0.6%-0.9%-1.0K-337.8K-5.8K1.0094.43N/AN/A221,984741
2023-01-06$45.31$50.0035.6%10.8%45.7%13.3%37.7%0.4%3.3%6.6K-917.8K-5.8K0.3397.80N/AN/A1551,986732
2023-01-09$44.25$50.0050.2%10.7%46.2%45.9%39.8%9.4%1.7%3.9K-566.4K-6.0K0.0892.43N/AN/A2622,000732
2023-01-10$44.56$50.0046.6%11.3%44.2%37.8%0.0%6.3%-0.4%2.2K-768.4K-5.8K0.2093.53N/AN/A511,999696
2023-01-11$44.75$50.0039.1%11.2%38.9%21.2%0.0%8.5%2.9%1.1K-844.9K-5.5K1.8097.81N/AN/A592,003699
2023-01-12$44.41$50.0036.6%10.5%38.9%15.6%43.7%5.4%-0.9%372-910.3K-4.9K3.2596.07N/AN/A16521,998663
2023-01-13$45.02$50.0042.7%12.2%30.3%29.1%27.2%5.0%-2.0%7.5K-1.0M-5.8K31.5895.76N/AN/A123792,004704
2023-01-17$45.28$50.0035.9%10.3%30.3%13.8%0.0%-4.9%4.9%-11.9K-923.2K-6.7K0.0098.43N/AN/A2902,0151,079
2023-01-18$43.05$50.0037.1%10.6%34.6%16.7%40.8%2.6%-2.5%-22.2K-184.1K-6.8K2.3697.10N/AN/A28662,0191,079
2023-01-19$42.50$50.0039.0%11.2%34.7%20.9%38.4%6.4%10.4%-35.1K70.8K-6.7K0.0998.61N/AN/A1112,0011,115
2023-01-20$42.72$50.0039.2%11.2%34.0%21.4%0.0%15.7%3.0%-12.6K-261.2K-6.0K13.57102.11N/AN/A7952,0061,111
2023-01-23$43.33$50.0035.5%10.2%33.1%13.0%39.6%-3.8%3.4%-23.1K16.9K-6.9K2.8492.02N/AN/A1954531694
2023-01-24$43.98$45.0040.3%11.6%33.6%23.7%37.3%6.9%-0.5%-17.8K-90.5K-7.0K0.0392.52N/AN/A652544701
2023-01-25$43.93$45.0041.5%11.9%32.9%26.3%36.1%2.8%-2.3%-12.1K-138.5K-7.3K0.0095.39N/AN/A390608703
2023-01-26$43.96$45.0039.1%11.2%32.9%21.0%43.4%-1.9%7.0%-11.5K-176.7K-7.9K0.0091.77N/AN/A610644703
2023-01-27$43.23$45.0039.5%11.3%32.7%21.9%0.0%3.3%3.5%-13.0K-110.3K-7.8K4.25100.01N/AN/A1251642703
2023-01-30$43.72$45.0036.7%10.5%32.8%15.7%37.4%6.1%8.3%-16.4K-127.5K-7.9K2.5099.90N/AN/A410654753
2023-01-31$43.97$45.0043.1%12.4%32.0%30.0%0.0%10.5%3.0%-13.4K-189.1K-7.7K0.00101.67N/AN/A01656764