FIZZ Options History — December 2023

In December 2023, FIZZ traded between $46.97 and $51.73. ATM implied volatility averaged 35.7%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.8% (HV 20d: 27.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 28.41.

Notable Days

  • 2023-12-05: Highest Volume — 2,066 contracts
  • 2023-12-08: Largest IV drop — 36.7% change
  • 2023-12-07: Highest IV Rank — 67.8%
  • 2023-12-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.57$46.97$51.73$47.91$49.84
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV35.7%20.6%60.2%49.5%28.3%
Expected Move8.7%5.9%14.2%14.2%8.1%
HV 20d27.9%15.8%33.1%19.2%31.8%
HV 60d24.3%21.0%25.7%22.3%25.5%
IV Rank24.6%0.0%67.8%48.4%13.3%
IV Percentile34.3%0.0%96.4%88.5%9.1%
Term Structure-0.2%-15.6%8.2%-15.6%-3.8%
VWIV31.2%26.0%38.7%38.7%32.9%
Skew 25d2.0%-12.5%5.4%2.5%3.8%
Skew 10d5.8%0.6%16.6%7.4%6.2%
Call IV 25d30.9%26.5%49.3%49.3%28.0%
Put IV 25d32.9%29.0%51.8%51.8%31.8%
Bid-Ask Spread %76.4544.2193.6371.7474.81
Gamma HHI0.570.410.840.810.49
Net GEX-185.2K-1.0M1.3M-575.9K-389.7K
Net DEX1.3M-6.8M6.2M5.8M1.8M
Net VEX-21.7K-25.0K-12.6K-20.9K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.410.02250.001.7518.08
Total Volume488.45112,06611496
Total OI7,651.655,31012,4995,7716,335

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$47.91$50.0049.5%14.2%19.2%48.4%38.7%2.5%-15.6%-575.9K5.8M-20.9K1.7571.74N/AN/A471,0464,725
2023-12-04$48.52$50.0055.9%9.9%17.2%60.0%34.5%3.0%6.9%-521.8K4.8M-18.8K12.3774.39N/AN/A821,0141,0514,748
2023-12-05$48.80$50.0054.9%10.0%17.0%58.2%35.5%3.0%-2.4%-649.5K5.0M-19.8K0.0273.74N/AN/A2,016501,1265,755
2023-12-06$48.86$50.0058.5%9.9%16.9%64.7%32.5%1.2%-2.0%-472.4K3.6M-21.9K3.0055.68N/AN/A21632,2105,805
2023-12-07$49.31$50.0060.2%10.1%15.8%67.8%31.3%2.7%-3.2%-415.9K2.9M-21.1K1.1761.92N/AN/A46542,2515,860
2023-12-08$46.97$50.0038.1%8.9%23.0%27.9%28.6%1.5%3.7%-1.0M6.2M-17.2K14.4191.80N/AN/A344903,1775,913
2023-12-11$49.18$50.0032.4%7.4%28.4%17.5%26.0%1.8%8.2%347.4K-227.7K-12.6K0.4689.24N/AN/A7653513,1896,264
2023-12-12$51.11$50.0035.1%8.1%31.3%22.5%31.0%-12.5%2.8%619.4K-6.8M-17.1K106.4488.75N/AN/A181,9163,9516,514
2023-12-13$51.73$50.0027.2%7.8%31.5%8.2%28.3%5.4%1.9%304.8K-6.0M-23.5K0.1589.80N/AN/A5483,9548,312
2023-12-14$51.14$50.0026.9%7.7%31.8%7.6%34.4%5.1%-7.7%443.6K-5.5M-23.1K250.0074.79N/AN/A12503,9868,306
2023-12-15$49.80$50.0026.6%7.6%32.5%7.1%29.4%2.3%3.5%1.3M-689.8K-24.1K0.9188.68N/AN/A2232023,9878,512
2023-12-18$49.74$50.0028.6%8.2%32.6%10.6%29.7%1.9%-0.2%-316.6K1.9M-23.6K2.0490.10N/AN/A1292631,5933,717
2023-12-19$50.31$50.0027.6%7.9%32.7%8.8%28.4%2.1%-0.9%-254.0K566.8K-23.2K2.4769.37N/AN/A431061,7393,752
2023-12-20$50.00$50.0027.3%7.8%32.7%8.4%30.2%2.3%1.6%-282.1K1.1M-23.4K106.6772.58N/AN/A33201,7743,858
2023-12-21$49.33$50.0020.6%5.9%33.1%0.0%30.3%5.2%4.4%-323.9K2.2M-24.8K3.5193.63N/AN/A351231,7773,891
2023-12-22$49.40$50.0028.2%8.1%33.0%13.1%29.7%2.6%0.7%-366.9K2.4M-25.0K20.8391.46N/AN/A61251,8084,010
2023-12-26$49.80$50.0029.8%8.5%33.0%15.9%29.5%3.8%-0.1%-351.4K1.9M-23.1K14.0082.33N/AN/A5701,8134,113
2023-12-27$49.84$50.0029.7%8.5%33.0%15.8%32.5%2.1%-0.9%-356.5K2.0M-22.9K5.5349.98N/AN/A382101,8144,182
2023-12-28$49.72$50.0029.7%8.5%31.8%15.7%31.5%0.8%-0.9%-422.1K2.8M-24.4K4.3344.21N/AN/A241041,8254,390
2023-12-29$49.84$50.0028.3%8.1%31.8%13.3%32.9%3.8%-3.8%-389.7K1.8M-22.6K18.0874.81N/AN/A264701,8424,493