FIZZ Options History — September 2023

In September 2023, FIZZ traded between $45.77 and $49.12. ATM implied volatility averaged 35.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.9% (HV 20d: 34.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2023-09-07: Highest Volume — 203 contracts
  • 2023-09-05: Largest IV spike — 58.1% change
  • 2023-09-06: Highest IV Rank — 62.3%
  • 2023-09-27: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.19$45.77$49.12$49.12$47.08
Max Pain$54.50$50.00$55.00$50.00$50.00
ATM IV35.8%25.9%57.2%35.1%34.0%
Expected Move9.1%7.4%11.7%10.1%9.7%
HV 20d34.0%23.7%36.7%23.7%36.1%
HV 60d26.6%23.2%27.4%23.2%26.6%
IV Rank23.8%5.9%62.3%22.4%20.4%
IV Percentile32.1%1.6%91.3%31.3%32.9%
Term Structure-0.6%-14.6%4.3%-0.9%-2.4%
VWIV30.5%20.6%38.0%38.0%28.7%
Skew 25d3.7%1.5%7.2%5.3%3.0%
Skew 10d9.9%0.1%20.7%16.6%10.7%
Call IV 25d29.9%26.8%37.6%37.6%29.1%
Put IV 25d33.6%28.3%42.9%42.9%32.1%
Bid-Ask Spread %75.9848.7695.9591.5290.50
Gamma HHI0.730.560.900.850.64
Net GEX-286.0K-668.2K-124.9K-517.2K-151.2K
Net DEX6.6M3.8M10.9M7.1M3.8M
Net VEX-16.5K-25.1K-12.4K-25.1K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.0012.670.393.50
Total Volume46.802039218
Total OI3,580.92,6094,5984,2822,720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$49.12$50.0035.1%10.1%23.7%22.4%38.0%5.3%-0.9%-517.2K7.1M-25.1K0.3991.52N/AN/A66261,2453,037
2023-09-05$46.45$55.0055.5%9.8%29.1%59.3%32.3%4.2%-1.7%-352.1K9.2M-19.6K1.3476.18N/AN/A58781,2263,049
2023-09-06$47.73$55.0057.2%9.4%31.5%62.3%36.2%4.6%0.8%-407.3K8.1M-22.3K0.2575.61N/AN/A127321,2143,100
2023-09-07$47.92$55.0053.8%9.6%31.7%56.3%36.6%3.3%-0.0%-402.7K7.8M-22.1K0.1979.00N/AN/A171321,3863,108
2023-09-08$47.04$55.0038.1%8.5%31.4%27.9%30.0%2.8%2.2%-375.5K10.2M-17.8K4.7556.47N/AN/A8381,4563,130
2023-09-11$48.55$55.0031.8%7.7%33.9%16.4%26.9%2.7%3.1%-668.2K8.8M-19.7K2.8648.76N/AN/A7201,4583,140
2023-09-12$48.00$55.0030.9%8.0%34.0%14.9%0.0%2.5%4.3%-517.1K9.6M-18.0K0.0050.33N/AN/A011,4613,128
2023-09-13$48.46$55.0028.2%8.1%34.4%9.9%27.8%2.8%3.9%-490.1K10.0M-17.2K0.0053.51N/AN/A601,4613,096
2023-09-14$48.41$55.0025.9%7.4%34.4%5.9%25.9%1.5%2.3%-448.9K10.1M-16.8K0.0064.26N/AN/A3601,4613,096
2023-09-15$46.59$55.0035.5%10.2%35.9%23.2%33.4%7.0%-3.6%-136.1K10.9M-14.4K12.6785.47N/AN/A3381,4943,096
2023-09-18$47.29$55.0029.6%8.5%36.7%12.5%28.6%2.7%-2.5%-162.3K3.8M-14.3K0.2886.41N/AN/A60171,0541,555
2023-09-19$46.88$55.0030.5%8.7%36.2%14.1%27.8%3.9%2.1%-151.1K3.9M-14.7K0.2979.49N/AN/A721,0951,571
2023-09-20$46.45$55.0029.8%8.6%36.2%12.9%0.0%3.8%-0.1%-140.8K4.2M-13.7K0.0080.98N/AN/A701,1001,571
2023-09-21$46.39$55.0032.9%9.4%36.0%18.5%31.3%5.1%-1.5%-132.7K4.1M-13.8K0.1780.52N/AN/A611,1141,559
2023-09-22$46.62$55.0032.0%9.2%35.5%16.8%29.0%4.0%-1.5%-140.2K3.9M-14.3K0.0078.16N/AN/A501,1201,560
2023-09-25$46.20$55.0031.7%9.1%35.5%16.3%0.0%3.2%-1.4%-129.9K4.2M-13.0K0.0078.10N/AN/A001,1211,565
2023-09-26$45.77$55.0029.8%8.5%35.4%12.8%20.6%2.0%0.9%-125.3K4.3M-12.4K1.0080.67N/AN/A221,1211,565
2023-09-27$46.12$55.0041.0%11.7%35.6%33.0%33.3%7.2%-14.6%-124.9K4.1M-12.8K0.0987.74N/AN/A2221,1231,565
2023-09-28$46.77$55.0033.5%9.6%35.9%19.6%32.8%1.5%-1.9%-145.5K4.0M-13.5K0.1995.95N/AN/A3261,1321,565
2023-09-29$47.08$50.0034.0%9.7%36.1%20.4%28.7%3.0%-2.4%-151.2K3.8M-13.8K3.5090.50N/AN/A4141,1501,570