FIZZ Options History — September 2024

In September 2024, FIZZ traded between $44.24 and $46.88. ATM implied volatility averaged 33.0%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 15.8% (HV 20d: 17.1%). Max pain ranged from $46.75 to $51.75. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 3.66.

Notable Days

  • 2024-09-16: Highest Volume — 414 contracts
  • 2024-09-10: Largest IV drop — 41.8% change
  • 2024-09-05: Highest IV Rank — 36.9%
  • 2024-09-04: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.54$44.24$46.88$46.01$46.86
Max Pain$48.74$46.75$51.75$50.00$46.75
ATM IV33.0%23.4%48.4%42.9%32.2%
Expected Move9.2%6.7%12.4%12.3%9.2%
HV 20d17.1%14.5%19.1%15.0%19.1%
HV 60d35.3%22.1%42.1%42.0%22.1%
IV Rank18.3%6.8%36.9%30.2%17.4%
IV Percentile37.3%2.4%89.3%83.7%38.9%
Term Structure2.7%-8.9%13.7%0.5%-1.0%
VWIV31.0%25.4%47.4%47.4%27.6%
Skew 25d2.6%-12.7%31.6%-5.5%-0.4%
Skew 10d9.0%-8.1%46.2%12.9%16.2%
Call IV 25d30.7%21.8%53.7%53.7%25.0%
Put IV 25d33.3%18.7%56.2%48.2%24.7%
Bid-Ask Spread %100.8495.38110.0196.76110.01
Gamma HHI0.250.170.340.170.24
Net GEX-28.5K-61.9K11.1K-3.8K-13.1K
Net DEX271.0K-661.4K1.2M397.9K-439.0K
Net VEX-12.8K-17.3K-9.0K-10.7K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.660.0033.501.411.32
Total Volume96.434141544
Total OI2,6262,2512,9762,2512,976

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$46.01$50.0042.9%12.3%15.0%30.2%47.4%-5.5%0.5%-3.8K397.9K-10.7K1.4196.76N/AN/A64901,2221,029
2024-09-04$45.99$50.0043.2%12.4%14.8%30.6%25.4%31.6%-6.0%-9.3K435.8K-11.5K0.05105.92N/AN/A4221,2771,116
2024-09-05$44.76$51.7548.4%9.3%17.5%36.9%38.1%3.4%-0.3%-23.7K893.6K-11.0K0.4097.90N/AN/A2081,2801,118
2024-09-06$44.94$51.7536.5%9.7%17.6%22.6%31.7%7.4%9.4%-23.5K604.7K-11.3K2.5395.38N/AN/A15381,2931,122
2024-09-09$44.79$51.7547.4%9.5%17.6%35.6%27.9%-0.0%8.4%-25.5K892.8K-10.5K6.00101.50N/AN/A2121,3021,142
2024-09-10$44.70$51.7527.6%11.4%15.5%11.8%29.8%5.7%4.0%-45.8K1.2M-9.0K0.00102.00N/AN/A1801,3021,152
2024-09-11$44.47$51.7530.0%8.6%15.5%14.7%31.2%0.2%-0.2%-54.3K1.1M-9.7K0.37101.96N/AN/A86321,3241,152
2024-09-12$44.33$51.7531.1%8.9%15.3%16.0%27.3%9.4%-5.7%-38.4K1.1M-9.7K0.13102.22N/AN/A1521,4061,183
2024-09-13$44.51$50.0037.4%10.7%14.6%23.7%37.8%10.6%-8.9%-22.0K13.9K-9.4K0.54102.68N/AN/A110591,418907
2024-09-16$44.24$46.7529.3%8.4%14.5%13.9%31.6%-12.7%0.9%-49.8K181.3K-9.6K33.50105.89N/AN/A124021,498959
2024-09-17$45.44$46.7529.5%8.5%17.5%14.1%34.6%9.0%9.2%-61.9K86.1K-14.1K0.10101.36N/AN/A2021,4981,359
2024-09-18$46.09$46.7531.5%9.0%18.1%16.5%30.6%3.4%-0.8%-40.5K-295.5K-14.6K2.2899.67N/AN/A29661,4921,359
2024-09-19$46.48$46.7526.1%7.5%18.3%10.0%28.3%1.8%5.1%-28.1K-410.8K-14.7K0.00100.68N/AN/A301,5131,405
2024-09-20$46.88$46.7529.1%8.4%17.8%13.7%28.4%2.3%7.2%11.1K-661.4K-14.4K0.0899.37N/AN/A2521,5151,405
2024-09-23$46.20$46.7529.3%8.4%18.4%13.9%26.2%-7.1%2.4%-4.5K-229.3K-13.8K2.3297.62N/AN/A751741,2671,200
2024-09-24$45.68$46.7523.4%6.7%18.9%6.8%27.8%-5.0%4.9%-33.9K386.3K-15.0K18.2596.92N/AN/A122191,3001,370
2024-09-25$45.68$46.7526.9%7.7%18.7%11.0%26.8%6.0%13.7%-48.8K441.1K-15.7K0.2795.84N/AN/A167451,3091,494
2024-09-26$46.09$46.7529.7%8.5%19.0%14.4%0.0%-0.1%0.6%-43.3K-46.2K-16.7K0.00101.32N/AN/A1201,3791,543
2024-09-27$46.66$46.7528.1%8.1%19.1%12.5%27.6%-8.1%11.1%-9.8K-310.1K-17.3K1.32101.85N/AN/A19251,3911,543
2024-09-30$46.86$46.7532.2%9.2%19.1%17.4%0.0%-0.4%-1.0%-13.1K-439.0K-16.8K0.00110.01N/AN/A041,4081,568