FIZZ Options History — July 2024

In July 2024, FIZZ traded between $48.62 and $53.03. ATM implied volatility averaged 35.2%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 21.7% (HV 20d: 56.9%). Max pain ranged from $46.75 to $51.75. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.99.

Notable Days

  • 2024-07-01: Highest Volume — 345 contracts
  • 2024-07-17: Largest IV spike — 65.6% change
  • 2024-07-31: Highest IV Rank — 85.6%
  • 2024-07-31: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.73$48.62$53.03$52.92$49.36
Max Pain$51.07$46.75$51.75$46.75$51.75
ATM IV35.2%22.0%59.9%31.3%59.9%
Expected Move9.9%6.3%17.2%9.0%17.2%
HV 20d56.9%23.3%66.5%64.1%24.2%
HV 60d40.9%40.3%41.2%40.8%40.4%
IV Rank35.4%8.6%85.6%27.5%85.6%
IV Percentile54.3%2.0%98.8%37.7%98.8%
Term Structure-2.9%-34.6%17.4%0.5%-34.6%
VWIV35.6%20.9%49.5%39.3%45.8%
Skew 25d4.0%-14.0%25.1%1.1%14.6%
Skew 10d3.7%-13.0%19.6%8.1%10.6%
Call IV 25d31.7%21.2%40.5%35.0%33.0%
Put IV 25d35.8%22.5%48.4%36.1%47.5%
Bid-Ask Spread %98.4466.91114.3592.17105.08
Gamma HHI0.270.140.460.360.19
Net GEX-19.0K-154.8K49.8K36.7K46.0K
Net DEX-3.7M-6.8M-924.8K-6.8M-1.5M
Net VEX-13.2K-25.8K-10.0K-10.0K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.0010.003.545.03
Total Volume104.51345345193
Total OI3,509.1821,5306,6273,5852,259

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$52.92$46.7531.3%9.0%64.1%27.5%39.3%1.1%0.5%36.7K-6.8M-10.0K3.5492.17N/AN/A762691,6961,889
2024-07-02$53.03$46.7532.3%9.3%64.1%29.6%32.6%2.1%-0.5%37.1K-6.7M-11.2K0.4494.43N/AN/A84371,8012,141
2024-07-03$51.98$46.7527.7%7.9%64.8%20.1%33.9%0.3%0.1%49.8K-6.3M-11.6K0.4466.91N/AN/A88391,8212,164
2024-07-05$52.60$51.7535.0%9.7%64.8%35.0%28.4%3.3%-4.6%5.0K-6.4M-11.2K5.3483.37N/AN/A351871,7422,187
2024-07-08$52.24$51.7535.3%7.7%64.9%35.7%27.4%-5.3%4.4%-65.9K-5.5M-12.3K0.3885.29N/AN/A155591,7082,465
2024-07-09$50.83$51.7537.0%8.8%65.4%39.2%31.4%-2.0%2.3%-98.8K-4.4M-14.1K2.8697.78N/AN/A14401,8732,519
2024-07-10$49.70$51.7531.0%8.9%65.9%26.9%34.8%-14.0%3.7%-18.2K-5.7M-25.8K10.00103.69N/AN/A2203,3463,281
2024-07-11$49.81$51.7537.7%10.8%65.9%40.5%0.0%8.5%-10.3%-154.8K-3.0M-14.8K1.00107.79N/AN/A551,8732,545
2024-07-12$51.18$51.7527.0%7.7%66.0%18.7%0.0%-1.5%7.5%-114.7K-4.7M-12.9K0.00107.87N/AN/A101,8702,545
2024-07-15$50.53$51.7540.2%11.5%66.2%45.6%28.2%2.7%-8.6%-120.1K-4.0M-12.4K0.21110.78N/AN/A96201,8702,545
2024-07-16$51.61$51.7522.0%6.3%66.5%8.6%40.4%1.6%17.4%-79.7K-5.0M-12.0K6.00111.46N/AN/A2121,8882,555
2024-07-17$51.73$51.7536.5%10.5%66.0%38.0%36.4%-0.2%-3.4%-53.0K-5.4M-11.9K0.19108.08N/AN/A3161,8902,543
2024-07-18$51.47$51.7530.3%8.7%66.1%25.4%40.7%-7.0%-4.8%-76.8K-4.9M-11.8K0.70114.35N/AN/A20141,9112,545
2024-07-19$50.80$51.7541.6%11.9%65.5%48.5%40.1%3.3%-30.7%28.3K-4.0M-11.1K0.26110.02N/AN/A89231,9132,553
2024-07-22$50.21$51.7534.5%9.9%65.7%33.9%36.2%5.2%8.5%25.0K-1.4M-10.6K1.2799.23N/AN/A6380936594
2024-07-23$49.83$51.7537.4%10.7%57.1%39.9%33.2%4.8%4.0%21.8K-1.2M-11.9K1.9597.59N/AN/A41801,001673
2024-07-24$49.08$51.7533.6%9.6%57.6%32.1%20.9%25.1%-1.4%11.9K-963.1K-12.8K1.4696.63N/AN/A13191,061774
2024-07-25$49.58$51.7530.3%8.7%57.1%25.4%35.6%11.2%-1.0%15.8K-1.2M-13.3K0.3885.16N/AN/A110421,099797
2024-07-26$49.97$51.7533.3%9.5%25.3%31.5%40.8%6.2%-4.0%33.4K-1.5M-13.8K0.9098.68N/AN/A40361,209837
2024-07-29$48.94$51.7538.9%11.1%25.6%42.9%49.5%16.2%-4.0%26.6K-986.3K-14.8K0.7099.97N/AN/A37261,276840
2024-07-30$48.62$51.7541.1%11.8%23.3%47.5%45.8%12.4%-3.7%27.9K-924.8K-14.6K0.7389.31N/AN/A52381,301866
2024-07-31$49.36$51.7559.9%17.2%24.2%85.6%0.0%14.6%-34.6%46.0K-1.5M-15.2K5.03105.08N/AN/A321611,355904