FIZZ Options History — March 2023

In March 2023, FIZZ traded between $45.41 and $52.99. ATM implied volatility averaged 46.3%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 19.4% (HV 20d: 26.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 8.31.

Notable Days

  • 2023-03-28: Highest Volume — 626 contracts
  • 2023-03-13: Largest IV spike — 56.4% change
  • 2023-03-13: Highest IV Rank — 100.0%
  • 2023-03-01: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.60$45.41$52.99$45.88$52.76
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV46.3%29.0%78.0%57.2%29.5%
Expected Move11.3%8.3%16.4%16.4%8.5%
HV 20d26.9%19.3%31.4%24.3%30.7%
HV 60d30.8%28.3%33.8%33.3%28.3%
IV Rank36.5%0.0%100.0%61.3%1.0%
IV Percentile46.7%0.0%100.0%87.3%0.4%
Term Structure-0.1%-14.5%16.1%-8.7%0.8%
VWIV39.3%29.7%62.2%62.2%35.3%
Skew 25d6.7%-3.5%14.7%7.3%4.2%
Skew 10d13.8%-2.7%34.8%18.3%2.1%
Call IV 25d34.4%26.1%54.2%54.2%32.1%
Put IV 25d41.1%29.4%61.5%61.5%36.3%
Bid-Ask Spread %94.8483.81105.4889.6096.81
Gamma HHI0.310.210.440.210.37
Net GEX40.6K-22.5K104.6K5.9K24.8K
Net DEX-1.4M-2.5M-613.4K-613.4K-1.5M
Net VEX-9.3K-13.5K-7.9K-8.5K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.310.0048.0011.001.40
Total Volume96.69696261212
Total OI1,956.3041,7112,7141,7112,714

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$45.88$45.0057.2%16.4%24.3%61.3%62.2%7.3%-8.7%5.9K-613.4K-8.5K11.0089.60N/AN/A111768943
2023-03-02$46.56$45.0048.8%14.0%21.1%42.7%44.1%12.5%-5.1%15.7K-788.8K-8.8K0.8683.81N/AN/A76769952
2023-03-03$46.56$45.0052.7%15.1%19.3%51.4%59.0%10.6%-14.5%26.3K-881.7K-8.3K48.0091.83N/AN/A148824958
2023-03-06$45.41$45.0064.3%10.9%21.4%77.2%38.3%5.6%2.4%14.9K-689.2K-8.1K1.2095.01N/AN/A568251,004
2023-03-07$46.22$45.0055.0%12.6%22.3%56.6%0.0%14.7%-9.4%23.3K-795.9K-7.9K48.0095.46N/AN/A1488291,008
2023-03-08$47.36$45.0061.0%11.7%22.3%70.0%38.2%7.5%-2.3%34.7K-1.1M-7.9K5.4594.82N/AN/A311698311,058
2023-03-09$46.55$45.0064.4%10.8%23.5%77.6%38.7%2.8%5.3%23.6K-857.1K-8.0K2.7799.47N/AN/A1336839961
2023-03-10$47.25$45.0049.9%12.6%23.7%45.1%40.7%8.3%-2.0%31.0K-909.7K-8.0K0.7893.89N/AN/A5442848971
2023-03-13$48.94$45.0078.0%10.4%25.9%100.0%41.3%2.9%1.2%51.9K-1.5M-8.5K5.7891.05N/AN/A952870953
2023-03-14$50.36$45.0065.0%11.7%26.9%73.1%34.8%9.6%-0.3%76.2K-1.9M-8.1K0.0794.94N/AN/A957873976
2023-03-15$51.14$45.0042.2%12.1%26.6%26.0%42.5%-3.5%-0.7%99.2K-2.3M-8.8K4.0099.68N/AN/A1456964982
2023-03-16$52.14$45.0048.3%13.8%26.6%38.5%35.1%11.9%-12.4%88.6K-2.5M-9.0K0.2596.28N/AN/A106269661,013
2023-03-17$50.49$45.0044.2%12.7%29.8%30.1%39.8%6.9%-1.1%104.6K-1.9M-9.2K0.1188.05N/AN/A111129411,022
2023-03-20$50.55$45.0040.0%11.5%29.8%21.5%38.7%7.3%3.5%47.3K-1.7M-9.3K0.2588.63N/AN/A205907872
2023-03-21$50.86$45.0033.7%9.7%29.6%8.4%32.0%-1.8%-2.0%59.0K-1.9M-8.9K3.5094.64N/AN/A1035921872
2023-03-22$49.86$45.0029.0%8.3%30.6%0.0%34.7%4.9%14.2%48.2K-1.5M-8.8K0.20105.48N/AN/A102931906
2023-03-23$50.11$45.0034.3%9.8%30.6%10.6%34.2%3.3%-0.5%47.6K-1.6M-9.2K30.0098.20N/AN/A390941917
2023-03-24$51.72$45.0037.6%10.8%31.4%17.4%35.6%5.4%1.2%46.6K-1.8M-9.8K1.5097.02N/AN/A8129441,005
2023-03-27$52.34$45.0033.6%9.6%31.4%9.3%39.0%7.1%16.1%57.2K-2.1M-9.4K17.7597.19N/AN/A81429521,005
2023-03-28$52.59$45.0030.3%8.7%31.4%2.7%40.5%12.2%4.2%44.6K-2.0M-10.0K0.0094.92N/AN/A06269571,116
2023-03-29$52.99$45.0031.4%9.0%29.6%4.7%30.1%6.0%6.0%-14.9K-1.3M-13.1K0.0095.95N/AN/A909571,584
2023-03-30$52.11$45.0035.5%10.2%30.6%13.2%29.7%7.9%1.2%-22.5K-949.1K-13.1K0.0498.63N/AN/A25699621,584
2023-03-31$52.76$45.0029.5%8.5%30.7%1.0%35.3%4.2%0.8%24.8K-1.5M-13.5K1.4096.81N/AN/A571,1301,584