FIZZ Options History — January 2024

In January 2024, FIZZ traded between $46.19 and $53.05. ATM implied volatility averaged 33.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 2.7% (HV 20d: 36.3%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.67.

Notable Days

  • 2024-01-16: Highest Volume — 2,382 contracts
  • 2024-01-30: Largest IV spike — 32.8% change
  • 2024-01-30: Highest IV Rank — 44.8%
  • 2024-01-30: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.93$46.19$53.05$52.87$46.19
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV33.6%26.1%46.4%31.3%42.8%
Expected Move9.5%7.5%13.3%9.0%12.3%
HV 20d36.3%28.5%39.4%37.6%30.6%
HV 60d30.0%27.9%31.9%28.0%30.6%
IV Rank22.6%9.4%44.8%18.5%38.6%
IV Percentile38.1%2.4%85.3%22.6%80.2%
Term Structure-1.1%-21.7%9.9%-2.4%-9.3%
VWIV30.1%27.9%34.4%31.7%34.4%
Skew 25d5.2%-1.9%17.2%4.9%17.2%
Skew 10d4.5%-13.9%18.6%-9.3%-13.9%
Call IV 25d27.9%17.1%33.6%28.0%23.3%
Put IV 25d33.1%29.3%40.4%32.9%40.4%
Bid-Ask Spread %91.4478.26101.7295.29101.72
Gamma HHI0.650.270.940.390.79
Net GEX-732.9K-7.1M32.5K-130.2K-220.1K
Net DEX1.5M-4.8M10.8M-3.1M1.4M
Net VEX-12.0K-17.6K-8.5K-16.6K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.670.0073.800.0411.00
Total Volume211.52422,38215760
Total OI5,087.9051,7947,2416,8242,295

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$52.87$50.0031.3%9.0%37.6%18.5%31.7%4.9%-2.4%-130.2K-3.1M-16.6K0.0495.29N/AN/A15161,8684,956
2024-01-03$53.05$50.0030.3%8.7%37.5%16.9%30.5%-1.9%1.2%32.5K-4.8M-12.7K0.5595.89N/AN/A22121,9174,961
2024-01-04$52.59$50.0029.5%8.2%37.8%15.4%28.6%8.6%1.3%-59.5K-3.5M-14.3K0.0087.56N/AN/A1101,9334,966
2024-01-05$51.16$50.0029.4%9.1%39.4%15.2%0.0%4.2%0.1%-235.8K-973.6K-17.1K15.8378.26N/AN/A6951,9404,966
2024-01-08$51.17$50.0032.3%9.2%39.3%20.4%0.0%6.6%0.5%-227.1K-947.4K-15.7K0.0084.00N/AN/A05001,9405,006
2024-01-09$50.22$50.0039.8%8.7%35.4%33.4%29.6%3.3%-4.2%-462.1K1.6M-17.6K0.0090.54N/AN/A201,9405,235
2024-01-10$50.27$50.0028.3%8.1%31.7%13.4%28.3%14.5%2.1%-353.1K-143.8K-13.8K0.0594.61N/AN/A2111,9425,098
2024-01-11$49.70$50.0028.3%8.1%28.6%13.4%28.3%3.5%2.5%-542.6K2.5M-17.2K2.5087.63N/AN/A251,9535,099
2024-01-12$50.17$50.0026.1%7.5%28.5%9.4%0.0%2.8%9.9%-397.5K-39.4K-13.4K0.0094.73N/AN/A2601,9545,072
2024-01-16$46.89$50.0032.8%9.4%36.8%21.3%32.7%0.4%2.4%-2.0M10.7M-10.2K12.3895.44N/AN/A1782,2041,9825,072
2024-01-17$47.98$50.0028.6%8.2%37.1%13.9%28.8%3.1%3.8%-1.4M5.1M-11.6K28.0091.12N/AN/A92522,1165,125
2024-01-18$48.06$50.0031.1%8.9%37.1%18.2%31.5%4.8%-1.5%-1.1M4.2M-9.7K0.2589.26N/AN/A822,1174,875
2024-01-19$46.89$50.0031.4%9.0%37.6%18.7%32.0%2.7%8.1%-7.1M10.8M-9.6K73.8094.69N/AN/A53692,1214,875
2024-01-22$47.74$50.0029.3%8.4%38.3%15.1%29.8%4.5%2.6%-162.5K1.2M-8.5K0.1086.85N/AN/A109114451,349
2024-01-23$47.37$50.0037.5%10.7%38.2%29.3%29.2%4.6%-4.5%-159.9K1.2M-9.2K0.0690.79N/AN/A5435391,358
2024-01-24$46.83$50.0040.3%11.5%38.3%34.2%28.3%5.8%-11.5%-161.0K1.5M-9.4K0.0087.95N/AN/A205821,360
2024-01-25$46.99$50.0034.1%9.8%38.2%23.4%0.0%4.0%-0.1%-174.7K1.5M-9.1K1.0092.23N/AN/A21215831,360
2024-01-26$47.24$50.0041.4%11.9%38.3%36.2%27.9%4.8%-7.4%-160.3K1.3M-9.3K0.0094.04N/AN/A1805891,378
2024-01-29$47.24$50.0034.9%10.0%38.3%24.9%0.0%5.4%4.5%-177.6K1.3M-8.6K0.0893.57N/AN/A2426001,378
2024-01-30$46.95$50.0046.4%13.3%38.2%44.8%34.4%5.1%-21.7%-161.3K1.4M-9.2K0.0094.02N/AN/A02306211,380
2024-01-31$46.19$50.0042.8%12.3%30.6%38.6%0.0%17.2%-9.3%-220.1K1.4M-9.2K11.00101.72N/AN/A5556211,674