FIZZ Options History — October 2023

In October 2023, FIZZ traded between $44.16 and $47.35. ATM implied volatility averaged 33.5%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 13.1% (HV 20d: 20.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 5.70.

Notable Days

  • 2023-10-24: Highest Volume — 228 contracts
  • 2023-10-04: Largest IV drop — 31.1% change
  • 2023-10-26: Highest IV Rank — 34.6%
  • 2023-10-26: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.74$44.16$47.35$47.34$46.26
Max Pain$45.68$45.00$50.00$50.00$45.00
ATM IV33.5%26.5%41.8%32.7%31.1%
Expected Move9.5%7.6%12.0%9.4%8.9%
HV 20d20.4%17.0%32.1%32.1%22.0%
HV 60d25.6%25.3%26.6%26.6%25.7%
IV Rank19.6%6.9%34.6%18.1%15.2%
IV Percentile31.4%2.8%71.4%25.8%17.5%
Term Structure2.4%-9.8%14.2%0.0%10.8%
VWIV32.5%28.7%37.3%30.7%28.7%
Skew 25d4.1%-8.1%17.9%2.4%-5.6%
Skew 10d11.9%-0.9%25.3%12.8%2.2%
Call IV 25d31.7%21.3%42.5%30.8%40.0%
Put IV 25d35.8%30.1%41.3%33.1%34.3%
Bid-Ask Spread %87.3367.8298.5583.0390.55
Gamma HHI0.410.220.650.650.33
Net GEX-83.2K-163.8K-26.5K-163.8K-43.8K
Net DEX3.4M1.3M4.9M3.8M1.3M
Net VEX-11.1K-13.8K-8.5K-13.5K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.700.0034.000.130.00
Total Volume30.0450228352
Total OI2,523.3641,5882,8612,7212,011

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$47.34$50.0032.7%9.4%32.1%18.1%30.7%2.4%0.0%-163.8K3.8M-13.5K0.1383.03N/AN/A3141,1511,570
2023-10-03$47.22$50.0038.5%11.0%24.9%28.6%0.0%8.0%-4.1%-150.4K3.9M-13.5K0.5789.20N/AN/A42241,1701,575
2023-10-04$47.35$50.0026.5%7.6%22.9%6.9%31.1%2.0%14.2%-157.3K3.8M-13.8K0.1787.37N/AN/A5491,2121,585
2023-10-05$46.64$45.0033.7%9.3%23.4%19.9%0.0%4.3%1.0%-136.5K4.1M-13.0K0.0073.27N/AN/A001,2501,594
2023-10-06$46.23$45.0033.0%9.4%22.7%18.6%30.2%4.5%0.6%-120.8K4.3M-12.3K7.0076.11N/AN/A171,2501,594
2023-10-09$46.74$45.0038.6%9.5%19.8%28.8%0.0%3.7%0.3%-145.2K4.0M-12.8K0.0067.82N/AN/A2201,2511,588
2023-10-10$46.68$45.0031.3%9.3%19.5%15.5%0.0%4.5%0.7%-121.0K4.3M-12.1K0.0079.48N/AN/A001,2731,588
2023-10-11$46.16$45.0033.1%9.5%19.4%18.9%32.1%4.4%-1.0%-100.5K4.5M-11.4K0.0083.98N/AN/A021,2731,588
2023-10-12$44.91$45.0030.3%8.7%21.3%13.8%30.3%3.9%2.7%-57.7K4.5M-9.9K5.0986.82N/AN/A11561,2731,514
2023-10-13$44.99$45.0030.2%8.7%17.0%13.5%31.4%-1.1%-0.6%-71.6K4.5M-10.0K18.0098.55N/AN/A1181,2781,535
2023-10-16$45.72$45.0032.1%9.2%17.1%17.0%34.7%-8.1%-1.1%-122.1K4.0M-11.1K0.0097.28N/AN/A021,2791,553
2023-10-17$45.36$45.0033.2%9.5%17.1%19.0%0.0%2.6%-9.8%-65.7K4.5M-10.7K0.0093.93N/AN/A011,2791,554
2023-10-18$45.02$45.0036.0%10.3%17.0%24.1%0.0%-0.6%-1.8%-71.9K4.6M-9.7K0.0094.53N/AN/A001,2791,553
2023-10-19$44.16$45.0031.4%9.0%18.1%15.7%0.0%0.2%5.8%-53.0K4.7M-9.3K0.0087.57N/AN/A001,2791,551
2023-10-20$44.20$45.0034.9%10.0%18.0%22.2%35.2%0.7%-2.4%-26.5K4.9M-8.5K34.0085.97N/AN/A1341,2791,551
2023-10-23$44.29$45.0035.9%10.3%17.9%23.8%37.3%3.3%3.6%-28.2K1.7M-8.9K0.0580.15N/AN/A794737851
2023-10-24$45.23$45.0032.4%9.3%19.4%17.6%32.4%13.5%6.2%-28.6K1.6M-9.3K8.5090.87N/AN/A24204815855
2023-10-25$45.25$45.0032.2%9.2%19.2%17.3%0.0%16.0%9.4%-39.9K1.4M-11.7K0.0098.14N/AN/A009471,045
2023-10-26$45.88$45.0041.8%12.0%19.2%34.6%35.6%17.9%8.8%-39.8K1.6M-11.1K0.0096.41N/AN/A509471,045
2023-10-27$44.89$45.0037.8%10.8%20.3%27.3%0.0%2.5%1.1%-39.7K1.8M-11.0K0.0094.55N/AN/A009511,045
2023-10-30$45.78$45.0030.8%8.8%21.6%14.6%28.7%10.4%8.9%-46.8K1.4M-10.7K0.5385.71N/AN/A1589511,045
2023-10-31$46.26$45.0031.1%8.9%22.0%15.2%0.0%-5.6%10.8%-43.8K1.3M-10.7K0.0090.55N/AN/A209661,045