FIZZ Options History — August 2023

In August 2023, FIZZ traded between $51.47 and $54.66. ATM implied volatility averaged 36.6%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 17.5% (HV 20d: 19.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 5.54.

Notable Days

  • 2023-08-10: Highest Volume — 520 contracts
  • 2023-08-07: Largest IV spike — 39.5% change
  • 2023-08-30: Highest IV Rank — 39.4%
  • 2023-08-30: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.13$51.47$54.66$52.15$51.61
Max Pain$52.61$50.00$55.00$50.00$50.00
ATM IV36.6%22.7%44.5%30.5%44.1%
Expected Move10.7%8.6%12.7%8.7%12.7%
HV 20d19.1%16.4%23.5%21.7%17.3%
HV 60d21.6%20.8%22.4%21.9%20.8%
IV Rank24.9%0.0%39.4%12.3%38.8%
IV Percentile38.9%0.0%69.4%8.3%68.3%
Term Structure-4.7%-11.9%5.3%5.3%-11.9%
VWIV38.6%30.5%52.0%30.5%39.9%
Skew 25d3.8%-1.7%6.7%-1.7%6.5%
Skew 10d8.3%3.9%21.0%5.5%8.6%
Call IV 25d36.5%32.7%40.4%32.7%40.0%
Put IV 25d40.2%30.9%46.5%30.9%46.5%
Bid-Ask Spread %76.0366.9784.7984.7981.11
Gamma HHI0.620.410.750.750.72
Net GEX-322.6K-662.9K-43.4K-662.9K-375.5K
Net DEX2.1M141.9K4.4M4.4M3.8M
Net VEX-28.7K-33.9K-26.4K-33.9K-27.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.540.0030.006.000.00
Total Volume92.08715206325
Total OI5,316.6963,9666,7685,6404,263

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$52.15$50.0030.5%8.7%21.7%12.3%30.5%-1.7%5.3%-662.9K4.4M-33.9K6.0084.79N/AN/A9541,3644,276
2023-08-02$53.30$50.0031.6%9.1%22.6%14.3%32.5%2.1%2.4%-457.6K2.1M-31.9K0.1676.67N/AN/A2541,3684,269
2023-08-03$53.96$55.0032.7%10.2%22.7%16.3%45.0%2.9%-3.5%-377.2K1.2M-30.1K0.1966.97N/AN/A4891,3744,269
2023-08-04$53.08$55.0022.7%10.2%23.5%0.0%38.9%3.0%-6.0%-501.5K2.2M-30.2K30.0077.90N/AN/A1301,3734,274
2023-08-07$53.81$55.0031.7%10.2%18.9%16.2%36.0%2.5%-4.0%-386.6K1.1M-28.0K4.4768.29N/AN/A19851,3744,285
2023-08-08$53.87$55.0035.6%8.6%18.6%23.4%0.0%2.8%5.3%-448.2K1.6M-29.3K0.0677.82N/AN/A1711,3924,371
2023-08-09$53.69$55.0035.6%10.2%18.8%23.4%0.0%1.6%-3.8%-420.0K1.3M-28.1K5.0072.52N/AN/A151,3854,370
2023-08-10$54.22$55.0035.3%10.1%18.4%22.7%35.2%4.8%-6.6%-288.0K486.6K-26.4K26.3775.61N/AN/A195011,3864,373
2023-08-11$54.66$55.0035.2%10.1%17.9%22.6%39.8%2.4%-2.2%-203.9K141.9K-27.8K7.1173.09N/AN/A443131,3974,734
2023-08-14$54.45$55.0035.2%10.1%18.0%22.6%39.2%2.5%-4.4%-43.4K387.1K-27.1K12.0471.95N/AN/A232771,4125,039
2023-08-15$53.97$55.0036.5%10.5%18.5%24.9%0.0%2.9%-4.7%-207.1K1.3M-29.6K2.0069.90N/AN/A121,4315,313
2023-08-16$53.84$55.0035.8%10.3%18.5%23.7%35.8%2.8%-5.4%-116.6K1.4M-28.8K0.8072.06N/AN/A15121,4325,311
2023-08-17$54.30$55.0036.2%10.4%16.5%24.4%0.0%1.3%-2.3%-121.3K679.2K-28.4K0.0071.21N/AN/A4301,4375,313
2023-08-18$54.33$55.0037.0%10.6%16.4%25.9%34.8%2.1%-5.0%-229.5K1.1M-27.8K0.0172.07N/AN/A13721,4555,313
2023-08-21$53.11$50.0036.9%10.6%18.3%25.6%36.8%6.0%-3.6%-265.4K2.5M-28.0K0.0574.92N/AN/A4221,0662,900
2023-08-22$52.44$50.0039.8%11.4%18.9%30.9%36.9%6.7%-2.6%-314.1K3.0M-28.0K0.0279.41N/AN/A5511,0832,901
2023-08-23$52.73$50.0038.1%10.9%17.7%27.8%42.0%4.9%-8.6%-276.6K2.5M-28.1K2.1075.70N/AN/A20421,1392,901
2023-08-24$51.47$50.0040.4%11.6%19.6%32.0%0.0%5.3%-7.0%-344.2K3.8M-28.4K1.1679.44N/AN/A58671,1572,942
2023-08-25$51.47$50.0040.1%11.5%19.6%31.4%0.0%6.6%-6.9%-346.7K3.9M-29.3K0.0083.96N/AN/A011,2013,004
2023-08-28$51.69$50.0042.4%12.1%19.6%35.6%39.4%6.3%-9.9%-347.2K3.6M-28.1K0.0083.10N/AN/A401,2013,003
2023-08-29$51.67$50.0043.7%12.5%19.1%37.9%42.3%5.9%-10.3%-358.8K3.7M-27.6K0.9082.18N/AN/A29261,2013,003
2023-08-30$52.20$50.0044.5%12.7%17.6%39.4%52.0%6.1%-11.7%-327.2K3.0M-27.5K23.5078.10N/AN/A2471,2263,003
2023-08-31$51.61$50.0044.1%12.7%17.3%38.8%39.9%6.5%-11.9%-375.5K3.8M-27.4K0.0081.11N/AN/A2501,2263,037