FIZZ Options History — October 2024

In October 2024, FIZZ traded between $44.62 and $47.33. ATM implied volatility averaged 30.1%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 11.0% (HV 20d: 19.0%). Max pain ranged from $45.00 to $46.75. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2024-10-23: Highest Volume — 159 contracts
  • 2024-10-23: Largest IV spike — 55.8% change
  • 2024-10-29: Highest IV Rank — 25.8%
  • 2024-10-29: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.58$44.62$47.33$47.33$45.20
Max Pain$45.15$45.00$46.75$46.75$45.00
ATM IV30.1%19.2%39.2%31.1%25.9%
Expected Move8.7%7.0%11.2%8.9%7.4%
HV 20d19.0%14.7%20.7%18.5%14.7%
HV 60d20.5%17.1%22.2%22.2%17.1%
IV Rank14.8%1.7%25.8%16.0%9.7%
IV Percentile30.8%0.8%76.2%33.3%7.1%
Term Structure-0.3%-13.6%6.0%4.8%4.4%
VWIV33.3%19.6%61.4%34.6%19.6%
Skew 25d9.3%-1.8%47.1%-0.4%8.6%
Skew 10d13.0%-32.4%85.6%7.1%23.3%
Call IV 25d28.4%18.6%42.4%42.4%27.9%
Put IV 25d37.6%21.6%83.1%42.1%36.5%
Bid-Ask Spread %102.6990.30116.90108.21112.47
Gamma HHI0.290.250.340.260.27
Net GEX-37.8K-87.4K11.3K11.3K-33.7K
Net DEX-58.0K-943.8K634.8K-727.2K29.7K
Net VEX-16.9K-18.8K-15.8K-16.6K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.004.000.610.10
Total Volume40.1301594418
Total OI2,895.872,2893,3472,9792,648

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$47.33$46.7531.1%8.9%18.5%16.0%0.0%-0.4%4.8%11.3K-727.2K-16.6K0.00108.21N/AN/A0441,4081,571
2024-10-02$46.17$46.7527.1%7.8%20.7%11.2%34.6%-0.4%-1.4%-24.9K-49.7K-16.2K0.61106.33N/AN/A36221,4081,582
2024-10-03$45.29$45.0019.2%8.4%19.5%1.7%30.5%4.0%2.9%-59.5K634.8K-16.1K0.1295.10N/AN/A1721,4031,603
2024-10-04$45.38$45.0027.3%8.9%19.4%11.5%29.9%11.3%1.1%-62.4K264.1K-15.8K0.2595.43N/AN/A77191,4201,522
2024-10-07$44.80$45.0036.1%9.5%20.0%22.1%0.0%7.5%-0.4%-66.5K441.7K-16.1K0.00107.89N/AN/A031,4911,540
2024-10-08$44.67$45.0033.5%8.8%20.0%19.0%30.8%1.8%0.6%-87.4K557.5K-15.8K0.0993.42N/AN/A4541,4911,542
2024-10-09$44.98$45.0029.9%8.6%20.0%14.6%0.0%2.2%1.2%-66.9K280.0K-16.0K0.0099.91N/AN/A1601,5361,545
2024-10-10$44.62$45.0030.1%8.6%20.2%14.8%0.0%-0.5%0.8%-55.1K458.1K-15.8K0.0095.97N/AN/A201,5991,541
2024-10-11$45.09$45.0030.4%8.7%20.5%15.1%0.0%7.3%-0.9%-57.4K138.5K-16.1K0.0098.76N/AN/A011,6001,541
2024-10-14$45.64$45.0036.1%10.4%20.7%22.1%35.5%18.1%-5.8%-36.3K-210.3K-15.8K3.14107.53N/AN/A14441,6001,541
2024-10-15$45.85$45.0028.9%8.3%18.5%13.4%28.5%11.3%1.7%-34.1K-300.2K-16.0K1.81103.14N/AN/A54981,6121,583
2024-10-16$46.49$45.0028.7%8.2%18.5%13.2%30.6%-1.8%0.5%-9.0K-742.8K-17.0K0.0098.24N/AN/A801,6631,671
2024-10-17$46.76$45.0034.4%9.8%18.4%20.0%35.3%7.1%3.5%-1.6K-943.8K-17.0K0.36101.12N/AN/A1451,6651,671
2024-10-18$45.66$45.0024.8%7.1%20.0%8.5%0.0%6.3%1.7%-36.6K-180.8K-16.6K0.67107.50N/AN/A961,6711,676
2024-10-21$45.95$45.0032.2%9.2%19.5%17.4%30.4%2.3%6.0%-35.4K-156.1K-16.3K0.0190.30N/AN/A13111,0511,238
2024-10-22$45.63$45.0025.1%7.2%19.2%8.8%0.0%16.2%0.4%-33.3K-206.5K-17.3K0.00107.46N/AN/A301,1781,249
2024-10-23$45.52$45.0039.1%11.2%19.2%25.6%0.0%12.7%-13.6%-30.4K-173.3K-17.4K1.48108.42N/AN/A64951,1811,249
2024-10-24$45.66$45.0031.6%9.0%19.0%16.6%40.3%11.1%-4.2%-32.4K-177.9K-18.8K4.00103.23N/AN/A281,2441,344
2024-10-25$45.39$45.0024.3%7.0%18.4%7.8%25.5%47.1%2.8%-33.2K-109.9K-18.5K0.10106.29N/AN/A5251,2451,345
2024-10-28$45.70$45.0032.1%9.2%18.6%17.2%61.4%12.6%0.3%-26.9K-222.8K-18.7K0.0092.34N/AN/A021,2951,350
2024-10-29$45.30$45.0039.2%11.2%18.3%25.8%0.0%14.0%-5.1%-28.5K-21.0K-18.4K0.00105.98N/AN/A021,2951,351
2024-10-30$45.28$45.0024.5%7.0%16.2%8.1%0.0%14.8%-9.2%-29.6K83.4K-18.4K0.00116.90N/AN/A001,2951,351
2024-10-31$45.20$45.0025.9%7.4%14.7%9.7%19.6%8.6%4.4%-33.7K29.7K-18.1K0.00112.47N/AN/A0181,2951,353