FIZZ Options History — November 2023

In November 2023, FIZZ traded between $46.24 and $49.86. ATM implied volatility averaged 37.9%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 13.8% (HV 20d: 24.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 15.47.

Notable Days

  • 2023-11-13: Highest Volume — 1,768 contracts
  • 2023-11-02: Largest IV spike — 53.0% change
  • 2023-11-27: Highest IV Rank — 47.1%
  • 2023-11-27: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.35$46.24$49.86$46.24$47.39
Max Pain$49.05$45.00$50.00$45.00$50.00
ATM IV37.9%29.3%48.8%29.3%48.0%
Expected Move10.5%8.4%14.0%8.4%13.8%
HV 20d24.1%21.0%26.6%22.0%22.6%
HV 60d26.7%22.2%27.7%25.7%22.2%
IV Rank27.5%12.0%47.1%12.0%45.7%
IV Percentile53.1%7.5%86.9%7.5%85.7%
Term Structure-4.6%-15.2%5.6%-6.7%-15.2%
VWIV38.9%31.1%48.2%31.1%48.2%
Skew 25d5.4%-2.0%12.6%9.3%3.1%
Skew 10d4.1%-9.1%16.5%10.0%4.8%
Call IV 25d35.6%19.2%45.7%19.2%45.7%
Put IV 25d41.0%28.5%48.8%28.5%48.8%
Bid-Ask Spread %83.3158.8996.9188.8258.89
Gamma HHI0.530.180.830.340.83
Net GEX-198.8K-617.0K-4.5K-43.7K-617.0K
Net DEX2.1M-125.5K6.3M1.2M6.3M
Net VEX-15.0K-20.5K-10.6K-11.1K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.470.00135.000.001.92
Total Volume209.90521,768835
Total OI3,299.4762,0115,6512,0115,651

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$46.24$45.0029.3%8.4%22.0%12.0%0.0%9.3%-6.7%-43.7K1.2M-11.1K0.0088.82N/AN/A089661,045
2023-11-02$47.88$45.0044.9%12.9%24.8%40.1%31.1%12.6%-11.2%-28.9K851.9K-11.1K0.0088.20N/AN/A7309661,053
2023-11-03$49.16$45.0042.3%11.3%26.0%35.4%38.0%8.5%-8.1%-24.4K-80.8K-11.9K0.0090.81N/AN/A201,0391,053
2023-11-06$49.62$45.0045.3%9.6%25.9%40.8%33.3%8.6%-6.0%-13.0K-71.4K-12.4K0.5076.35N/AN/A1681,0411,053
2023-11-07$49.86$50.0044.2%10.0%25.9%38.9%34.5%6.6%-6.3%-8.1K-125.5K-12.0K6.0072.18N/AN/A3181,0571,061
2023-11-08$48.91$50.0035.1%10.1%26.6%22.4%0.0%12.3%-4.3%-9.5K142.3K-12.1K0.0087.86N/AN/A701,0601,076
2023-11-09$48.16$50.0029.7%8.5%25.1%12.6%33.1%-2.0%5.6%-17.6K532.3K-10.6K18.6792.47N/AN/A3561,0541,076
2023-11-10$48.52$50.0034.8%10.0%25.1%21.9%36.1%3.0%-7.9%-21.4K391.3K-10.9K0.4388.81N/AN/A1461,0571,114
2023-11-13$48.84$50.0034.2%9.8%24.7%20.8%41.7%8.6%1.5%-4.5K261.1K-10.6K135.0075.63N/AN/A131,7551,0701,118
2023-11-14$48.78$50.0035.4%10.2%24.4%23.0%37.9%3.1%-6.4%-245.9K2.1M-18.0K47.5083.09N/AN/A62851,0832,871
2023-11-15$48.56$50.0033.0%9.5%24.3%18.6%39.7%3.4%-0.3%-278.5K2.7M-19.5K0.0083.06N/AN/A061,0893,131
2023-11-16$47.62$50.0031.3%9.0%24.3%15.6%33.3%1.4%1.9%-363.1K3.7M-19.4K2.0096.91N/AN/A481,0893,132
2023-11-17$47.85$50.0034.1%9.8%24.3%20.6%39.1%5.4%-3.2%-314.5K3.3M-18.0K0.1086.14N/AN/A1011,0933,136
2023-11-20$48.02$50.0034.3%9.8%24.3%21.0%38.5%7.5%5.1%-315.9K3.7M-17.1K1.0387.72N/AN/A76789442,888
2023-11-21$48.50$50.0034.1%9.8%23.6%20.6%41.3%4.7%3.2%-292.5K3.0M-17.1K7.0085.31N/AN/A7499972,911
2023-11-22$48.83$50.0037.4%10.7%23.6%26.7%42.6%6.1%-8.6%-270.0K3.0M-16.8K0.0086.28N/AN/A0831,0042,951
2023-11-24$48.63$50.0036.0%10.3%23.4%24.0%40.3%2.6%-7.8%-285.8K2.5M-18.0K1.1084.77N/AN/A10111,0043,036
2023-11-27$48.32$50.0048.8%14.0%21.8%47.1%45.2%2.6%-12.7%-324.9K3.9M-15.6K0.4980.42N/AN/A86421,0143,055
2023-11-28$48.32$50.0037.1%10.6%21.0%26.1%39.0%4.5%5.2%-323.9K3.1M-15.9K0.1381.24N/AN/A1621,0143,109
2023-11-29$47.25$50.0046.8%13.4%22.6%43.7%46.5%2.4%-14.9%-371.9K4.7M-16.0K56.5474.60N/AN/A281,5831,0183,110
2023-11-30$47.39$50.0048.0%13.8%22.6%45.7%48.2%3.1%-15.2%-617.0K6.3M-20.5K1.9258.89N/AN/A12231,0434,608