FIZZ Options History — June 2023

In June 2023, FIZZ traded between $47.41 and $50.39. ATM implied volatility averaged 35.4%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 13.5% (HV 20d: 21.8%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2023-06-26: Highest Volume — 146 contracts
  • 2023-06-12: Largest IV spike — 196.0% change
  • 2023-06-12: Highest IV Rank — 86.4%
  • 2023-06-22: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.72$47.41$50.39$48.83$48.39
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV35.4%23.9%70.6%32.6%25.5%
Expected Move9.9%7.3%12.6%9.4%7.3%
HV 20d21.8%19.9%24.7%20.1%22.2%
HV 60d24.1%22.6%26.3%26.3%22.6%
IV Rank19.6%0.0%86.4%9.1%3.0%
IV Percentile22.5%0.0%98.8%9.1%0.4%
Term Structure-2.7%-11.7%4.3%0.4%0.3%
VWIV35.8%28.4%48.4%32.7%28.4%
Skew 25d5.4%-2.2%22.4%6.1%2.3%
Skew 10d7.4%-8.9%24.0%10.6%5.1%
Call IV 25d33.0%25.5%38.0%30.9%25.5%
Put IV 25d38.4%27.8%47.9%37.0%27.8%
Bid-Ask Spread %83.0466.8897.5997.5984.34
Gamma HHI0.230.200.290.240.22
Net GEX12.4K-1.3K45.5K9.6K3.5K
Net DEX-332.2K-1.1M13.7K-379.0K-77.0K
Net VEX-7.7K-8.7K-6.9K-8.4K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.007.770.001.05
Total Volume34.095014672
Total OI1,404.8571,2681,6481,3241,601

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$48.83$50.0032.6%9.4%20.1%9.1%32.7%6.1%0.4%9.6K-379.0K-8.4K0.0097.59N/AN/A70852472
2023-06-02$49.37$50.0030.9%8.9%20.5%5.6%0.0%6.5%4.3%12.5K-544.3K-8.5K0.0094.74N/AN/A80859472
2023-06-05$48.44$50.0030.5%10.2%19.9%4.7%36.0%5.1%-2.3%4.3K-194.8K-7.8K0.3077.49N/AN/A206856472
2023-06-06$47.98$50.0026.5%10.3%20.0%0.0%32.6%9.3%-3.0%4.4K-160.6K-7.8K0.0066.88N/AN/A70866477
2023-06-07$48.56$50.0031.3%9.8%20.8%9.4%33.8%4.2%-2.0%3.1K-258.4K-7.9K0.1079.40N/AN/A202867477
2023-06-08$47.61$50.0030.5%9.2%21.6%7.8%0.0%5.2%-1.5%-791-1.2K-7.2K0.0082.19N/AN/A00887479
2023-06-09$47.88$50.0023.9%9.4%21.8%0.0%0.0%6.3%-1.6%3.1K-19.0K-7.2K0.0079.29N/AN/A10887479
2023-06-12$47.41$50.0070.6%11.4%21.7%86.4%43.2%-2.2%-3.6%4.8K13.7K-7.0K0.0083.81N/AN/A70887479
2023-06-13$47.63$50.0048.0%10.4%21.9%44.5%41.1%-0.2%-5.7%3.3K-3.6K-7.0K0.7576.61N/AN/A86890479
2023-06-14$47.80$50.0034.7%9.9%21.4%20.0%31.2%3.3%-4.1%9.2K-112.8K-7.0K0.0090.47N/AN/A30896484
2023-06-15$47.92$50.0037.2%10.7%20.6%24.7%37.1%10.4%-4.7%6.1K-123.1K-6.9K0.4188.85N/AN/A4920898477
2023-06-16$49.45$50.0032.7%9.4%23.8%16.3%31.1%4.7%-0.6%-1.3K-510.5K-7.5K0.8986.45N/AN/A98933497
2023-06-20$50.30$50.0036.1%10.4%24.7%22.6%33.6%7.6%-2.4%37.8K-902.9K-7.4K0.0489.24N/AN/A512844424
2023-06-21$49.78$50.0038.3%11.0%22.6%26.7%48.4%22.4%-8.2%38.6K-869.8K-7.7K0.9592.30N/AN/A2120881426
2023-06-22$50.39$50.0043.9%12.6%22.5%37.1%41.0%13.8%-11.7%45.5K-1.1M-8.0K2.5085.46N/AN/A25911424
2023-06-23$49.45$50.0035.8%10.3%22.8%22.0%36.9%0.8%-1.4%39.5K-796.3K-7.5K7.7781.35N/AN/A13101911427
2023-06-26$49.31$50.0035.8%10.3%22.3%22.1%35.8%3.0%-4.0%19.8K-490.0K-7.7K2.1181.66N/AN/A4799922528
2023-06-27$49.22$50.0036.0%10.3%22.3%22.5%35.4%3.8%-3.2%12.9K-304.7K-8.7K0.0480.41N/AN/A542962625
2023-06-28$48.42$50.0035.2%10.1%22.4%20.9%37.7%1.6%-3.4%4.4K-75.0K-8.4K0.6877.74N/AN/A19131,009637
2023-06-29$48.99$50.0027.0%7.7%22.6%5.7%28.7%0.2%0.6%696-109.3K-7.9K1.0567.68N/AN/A41431,012636
2023-06-30$48.39$50.0025.5%7.3%22.2%3.0%28.4%2.3%0.3%3.5K-77.0K-7.6K0.0084.34N/AN/A021,013588