FIZZ Options History — November 2024

In November 2024, FIZZ traded between $45.55 and $49.97. ATM implied volatility averaged 46.4%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 24.7% (HV 20d: 21.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2024-11-25: Highest Volume — 1,038 contracts
  • 2024-11-11: Largest IV spike — 141.4% change
  • 2024-11-11: Highest IV Rank — 100.0%
  • 2024-11-27: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.48$45.55$49.97$45.55$49.80
Max Pain$45.50$45.00$50.00$45.00$45.00
ATM IV46.4%26.5%101.3%45.4%42.3%
Expected Move11.1%7.6%16.7%13.0%12.1%
HV 20d21.8%14.9%24.9%14.9%24.8%
HV 60d19.5%17.2%20.9%17.2%20.0%
IV Rank34.3%10.4%100.0%33.3%29.4%
IV Percentile72.1%8.7%100.0%86.5%81.7%
Term Structure-8.4%-24.9%13.4%-14.4%-10.0%
VWIV36.7%26.8%46.2%46.2%41.2%
Skew 25d6.0%-10.3%19.8%19.8%11.7%
Skew 10d6.0%-26.2%29.2%28.1%12.4%
Call IV 25d33.7%25.9%52.7%26.9%41.6%
Put IV 25d39.7%33.4%53.2%46.7%53.2%
Bid-Ask Spread %107.4994.68119.19106.80106.32
Gamma HHI0.240.210.300.270.30
Net GEX32.0K-30.2K166.0K-30.2K166.0K
Net DEX-1.9M-4.1M-95.1K-95.1K-3.6M
Net VEX-17.6K-19.9K-15.2K-18.4K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.008.508.500.00
Total Volume62.901,03808
Total OI2,804.452,5173,6202,6663,620

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$45.55$45.0045.4%13.0%14.9%33.3%0.0%19.8%-14.4%-30.2K-95.1K-18.4K0.00106.80N/AN/A001,2951,371
2024-11-04$47.57$45.0038.9%11.9%20.7%25.4%46.2%12.5%-9.9%-2.0K-1.2M-18.4K8.50101.25N/AN/A6511,2951,371
2024-11-05$47.70$45.0037.8%11.9%20.5%24.1%0.0%16.8%-8.8%-5.8K-1.3M-18.7K0.00107.63N/AN/A601,2981,422
2024-11-06$48.75$45.0061.8%11.2%21.5%53.0%0.0%-0.6%-23.1%10.0K-2.0M-18.1K0.00107.52N/AN/A701,3031,422
2024-11-07$48.70$45.0042.0%8.4%21.2%29.2%0.0%1.4%-3.9%17.3K-2.0M-17.8K0.00107.22N/AN/A601,3071,422
2024-11-08$49.12$45.0041.9%10.2%21.1%29.1%0.0%3.9%-1.4%21.4K-2.3M-17.2K0.00119.19N/AN/A011,3071,422
2024-11-11$49.45$45.00101.3%9.1%20.9%100.0%26.8%7.6%-14.5%18.9K-2.2M-17.7K0.00112.38N/AN/A1001,3071,421
2024-11-12$49.97$45.0089.9%10.8%21.1%86.4%0.0%1.6%-6.6%27.9K-2.6M-16.7K1.00116.84N/AN/A221,3141,421
2024-11-13$49.78$45.0026.5%7.6%20.9%10.4%35.9%2.6%13.4%25.9K-2.2M-17.2K0.17110.30N/AN/A1221,3161,419
2024-11-14$48.66$50.0026.6%7.6%22.9%10.5%39.2%3.4%2.8%14.9K-1.7M-17.0K0.00115.49N/AN/A301,3261,421
2024-11-15$48.39$50.0032.3%9.3%21.0%17.4%32.8%10.6%1.9%10.2K-1.6M-17.5K0.09110.53N/AN/A1111,3281,420
2024-11-18$47.64$45.0036.4%10.4%21.9%22.3%31.6%11.1%-0.4%-237-1.2M-16.9K0.07101.42N/AN/A3021,2861,231
2024-11-19$47.32$45.0042.2%12.1%21.9%29.2%35.0%5.3%-14.8%8.3K-1.1M-16.9K0.14102.91N/AN/A711,3161,232
2024-11-20$47.34$45.0045.8%13.1%21.9%33.6%41.2%-10.3%-18.1%7.8K-1.2M-16.8K0.14104.61N/AN/A711,3231,233
2024-11-21$47.48$45.0045.9%13.2%21.9%33.7%33.5%7.6%-16.8%8.3K-1.2M-16.6K0.00100.05N/AN/A401,3301,234
2024-11-22$47.95$45.0032.5%9.3%21.8%17.6%37.7%13.3%1.9%17.2K-1.4M-16.4K1.00106.80N/AN/A441,3341,234
2024-11-25$49.66$45.0036.5%10.5%24.6%22.4%36.9%-1.3%-4.5%41.9K-2.7M-15.2K0.0194.68N/AN/A1,02991,3341,236
2024-11-26$49.08$45.0044.1%12.6%24.9%31.5%33.7%4.6%-16.1%139.1K-2.9M-19.0K0.04109.57N/AN/A2512,3571,242
2024-11-27$49.62$45.0058.3%16.7%24.9%48.5%41.7%-1.8%-24.9%143.0K-4.1M-19.9K2.00108.20N/AN/A242,3761,243
2024-11-29$49.80$45.0042.3%12.1%24.8%29.4%41.2%11.7%-10.0%166.0K-3.6M-18.7K0.00106.32N/AN/A802,3781,242