FIZZ Options History — July 2023

In July 2023, FIZZ traded between $48.28 and $53.14. ATM implied volatility averaged 30.0%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.5% (HV 20d: 23.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 6.92.

Notable Days

  • 2023-07-28: Highest Volume — 1,606 contracts
  • 2023-07-10: Largest IV drop — 24.8% change
  • 2023-07-07: Highest IV Rank — 23.7%
  • 2023-07-25: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.66$48.28$53.14$49.40$52.87
Max Pain$46.75$45.00$50.00$50.00$50.00
ATM IV30.0%24.9%36.7%32.9%31.0%
Expected Move8.5%7.1%9.5%9.4%8.9%
HV 20d23.5%21.7%25.6%23.2%21.7%
HV 60d23.2%21.8%24.0%23.0%21.8%
IV Rank11.3%1.9%23.7%16.6%13.3%
IV Percentile8.4%0.4%31.3%13.9%11.5%
Term Structure2.5%-5.7%15.5%-5.7%3.0%
VWIV30.6%27.0%35.3%33.0%30.1%
Skew 25d2.3%-5.3%8.7%5.3%1.0%
Skew 10d5.5%-13.1%20.0%20.0%4.6%
Call IV 25d29.7%25.9%33.9%29.7%31.8%
Put IV 25d32.0%24.4%36.0%34.9%32.8%
Bid-Ask Spread %79.5469.1191.7991.2781.52
Gamma HHI0.320.210.700.250.70
Net GEX-57.6K-523.6K25.5K12.9K-523.6K
Net DEX-51.4K-1.3M2.8M-337.0K2.8M
Net VEX-13.9K-31.9K-7.9K-7.9K-31.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.920.0038.676.421.07
Total Volume253.6551,60689252
Total OI2,333.851,3805,4461,5995,446

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$49.40$50.0032.9%9.4%23.2%16.6%33.0%5.3%-5.7%12.9K-337.0K-7.9K6.4291.27N/AN/A12771,013586
2023-07-05$49.97$50.0027.9%8.0%22.3%7.4%27.8%8.7%-0.2%11.0K-407.4K-8.9K1.4388.80N/AN/A7101,014663
2023-07-06$50.41$45.0031.8%8.1%22.1%14.7%28.5%4.8%1.5%17.4K-518.8K-8.9K0.0080.35N/AN/A6301,015664
2023-07-07$50.01$45.0036.7%8.6%22.1%23.7%33.5%3.2%1.1%25.5K-586.5K-9.6K0.7184.98N/AN/A751,070664
2023-07-10$48.28$45.0027.6%8.6%24.6%6.9%0.0%1.3%1.5%-9.1K161.7K-8.5K38.6778.38N/AN/A31161,070669
2023-07-11$48.97$45.0030.5%8.5%25.0%12.3%0.0%5.6%1.8%-10.3K178.5K-9.8K2.2980.73N/AN/A7161,070771
2023-07-12$49.30$45.0029.7%8.5%24.7%10.7%30.3%4.8%0.7%-5.9K21.7K-10.4K0.0177.52N/AN/A14811,071787
2023-07-13$48.94$45.0024.9%7.1%24.9%1.9%0.0%3.3%4.7%183103.2K-10.5K8.2080.80N/AN/A5411,194786
2023-07-14$49.81$45.0027.0%7.8%25.6%5.9%27.0%1.8%3.7%7.0K-216.3K-10.9K0.1375.39N/AN/A7291,193826
2023-07-17$49.80$45.0028.7%8.2%25.6%9.0%0.0%2.5%2.0%9.2K-361.9K-11.6K34.3373.42N/AN/A31031,247828
2023-07-18$49.63$45.0027.8%8.0%23.1%7.3%27.6%0.6%2.5%-12849.5K-11.9K0.0072.78N/AN/A1301,247903
2023-07-19$50.05$45.0029.1%8.3%22.5%9.7%0.0%5.3%0.9%3.8K-319.6K-12.5K0.0086.29N/AN/A501,251903
2023-07-20$51.41$45.0026.4%7.6%24.1%4.7%27.4%-5.3%15.5%11.2K-1.1M-12.1K0.0391.79N/AN/A5821,251903
2023-07-21$51.31$45.0027.8%8.0%23.8%7.3%28.3%-0.1%5.5%19.9K-1.3M-12.5K0.2983.07N/AN/A65191,284903
2023-07-24$52.01$45.0030.3%8.7%23.0%11.9%29.7%1.0%9.3%23.5K-840.8K-12.9K5.8570.74N/AN/A1921,124808572
2023-07-25$51.92$50.0033.1%9.5%22.9%17.0%32.8%-1.1%-0.9%-130.6K449.0K-20.5K3.5375.41N/AN/A682401,1651,656
2023-07-26$52.92$50.0032.9%9.4%23.6%16.6%33.8%0.3%0.8%-100.8K-168.0K-20.7K10.1569.11N/AN/A606091,1821,676
2023-07-27$53.01$50.0032.4%9.3%22.4%15.8%35.3%1.9%0.4%-223.8K485.8K-22.7K3.5869.71N/AN/A12431,1782,301
2023-07-28$53.14$50.0030.6%8.8%22.3%12.5%34.2%0.8%1.3%-289.2K808.6K-23.8K21.6278.80N/AN/A711,5351,1832,664
2023-07-31$52.87$50.0031.0%8.9%21.7%13.3%30.1%1.0%3.0%-523.6K2.8M-31.9K1.0781.52N/AN/A1221301,2484,198