FIZZ Options History — March 2017 In March 2017, FIZZ traded between $29.79 and $42.27. ATM implied volatility averaged 35.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.5% (HV 20d: 35.8%). Max pain ranged from $26.75 to $40.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.94.
Notable Days 2017-03-30 : Highest Volume — 8,276 contracts2017-03-09 : Largest IV drop — 28.0% change2017-03-08 : Highest IV Rank — 47.3%2017-03-03 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $36.72 $29.79 $42.27 $30.09 $42.27 Max Pain $31.85 $26.75 $40.00 $27.50 $40.00 ATM IV 35.3% 30.1% 48.8% 39.8% 35.2% Expected Move 9.5% 8.6% 11.8% 11.4% 10.1% HV 20d 35.8% 15.9% 43.2% 20.9% 40.0% HV 60d 31.0% 24.5% 33.9% 28.5% 32.1% IV Rank 15.9% 3.8% 47.3% 20.9% 16.8% IV Percentile 18.4% 1.6% 79.4% 34.9% 13.5% Term Structure -0.6% -6.0% 1.0% -4.5% -1.2% VWIV 34.1% 28.9% 43.3% 42.2% 37.8% Skew 25d 2.2% 0.5% 4.4% 1.0% 4.4% Skew 10d 5.2% -10.4% 10.8% -10.4% 10.8% Call IV 25d 33.2% 29.8% 42.9% 41.5% 34.5% Put IV 25d 35.4% 31.6% 47.0% 42.5% 38.8% Bid-Ask Spread % 73.24 54.44 84.56 84.56 79.14 Gamma HHI 0.13 0.10 0.20 0.16 0.20 Net GEX 324.9K -115.0K 508.0K 333.1K -115.0K Net DEX -44.3M -62.0M -20.1M -20.8M -55.1M Net VEX -85.6K -111.7K -62.4K -111.0K -98.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.35 3.17 3.17 1.07 Total Volume 4,746.348 2,436 8,276 3,736 6,178 Total OI 31,823.217 27,466 38,890 27,466 38,890
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-03-01 $30.09 $27.50 39.8% 11.4% 20.9% 20.9% 42.2% 1.0% -4.5% 333.1K -20.8M -111.0K 3.17 84.56 N/A N/A 896 2,840 13,884 13,582 2017-03-02 $29.79 $27.50 39.9% 11.4% 21.1% 26.4% 41.9% 3.0% -5.6% 336.6K -20.1M -111.6K 2.55 54.44 N/A N/A 1,282 3,270 13,964 13,704 2017-03-03 $30.23 $29.25 41.3% 11.8% 19.7% 29.6% 43.3% 4.1% -6.0% 312.5K -21.1M -111.7K 0.88 67.41 N/A N/A 1,302 1,144 14,100 14,186 2017-03-06 $30.04 $26.75 45.6% 10.2% 18.4% 39.9% 36.4% 1.9% -1.0% 304.7K -21.1M -107.8K 0.89 56.12 N/A N/A 1,286 1,150 14,134 14,252 2017-03-07 $30.26 $26.75 45.1% 10.2% 18.4% 38.6% 36.4% 0.8% -0.9% 346.4K -22.6M -107.0K 1.32 65.37 N/A N/A 1,066 1,406 14,362 14,302 2017-03-08 $30.13 $26.75 48.8% 9.9% 15.9% 47.3% 36.5% 2.1% -1.5% 326.7K -22.1M -105.3K 1.10 65.66 N/A N/A 1,184 1,298 14,420 14,624 2017-03-09 $33.44 $27.50 35.1% 8.7% 38.9% 16.7% 31.4% 1.8% 0.5% 279.5K -37.1M -75.0K 0.35 67.51 N/A N/A 4,120 1,442 14,466 14,716 2017-03-10 $35.50 $29.25 32.8% 8.7% 42.9% 10.6% 30.7% 1.9% -0.8% 386.8K -48.4M -78.5K 0.38 65.74 N/A N/A 5,802 2,178 16,592 15,100 2017-03-13 $36.43 $30.00 34.2% 8.6% 43.2% 14.1% 28.9% 2.5% 0.3% 508.0K -55.1M -83.8K 0.56 76.18 N/A N/A 3,728 2,100 18,640 16,318 2017-03-14 $36.80 $30.00 37.4% 8.9% 43.0% 22.5% 31.5% 2.7% 0.0% 397.5K -54.5M -80.9K 0.53 76.00 N/A N/A 2,952 1,564 18,258 16,770 2017-03-15 $37.85 $30.00 31.5% 9.0% 42.8% 7.4% 31.6% 0.8% 0.3% 479.6K -58.5M -79.9K 0.50 79.86 N/A N/A 3,892 1,936 18,692 16,770 2017-03-16 $38.06 $31.75 30.8% 8.8% 42.5% 5.5% 31.4% 1.5% 0.4% 429.3K -58.5M -81.3K 0.69 73.93 N/A N/A 2,438 1,672 19,068 17,356 2017-03-17 $38.76 $31.75 31.0% 8.9% 42.5% 6.0% 31.4% 0.8% 0.8% 388.9K -62.0M -69.9K 0.68 78.72 N/A N/A 3,286 2,218 19,076 17,518 2017-03-20 $39.24 $34.25 30.1% 8.6% 42.3% 3.8% 30.5% 1.7% 1.0% 397.4K -46.8M -75.4K 0.48 78.70 N/A N/A 3,274 1,570 15,366 13,946 2017-03-21 $39.33 $34.25 31.2% 8.9% 42.6% 6.5% 31.5% 0.5% 0.3% 360.1K -48.5M -62.4K 0.54 77.78 N/A N/A 2,846 1,550 15,490 14,158 2017-03-22 $39.77 $35.00 30.7% 8.8% 42.5% 5.2% 32.1% 3.3% 0.0% 395.3K -48.6M -74.0K 0.63 71.20 N/A N/A 2,902 1,830 15,848 14,550 2017-03-23 $39.83 $35.00 30.8% 8.8% 42.2% 5.6% 31.4% 1.3% 0.9% 322.4K -49.2M -69.7K 0.56 74.13 N/A N/A 2,892 1,626 15,896 15,104 2017-03-24 $40.24 $35.00 31.0% 8.9% 41.5% 6.1% 32.0% 1.9% 0.6% 341.2K -49.8M -79.5K 0.69 70.45 N/A N/A 2,252 1,544 16,154 15,374 2017-03-27 $40.85 $35.00 32.3% 9.3% 41.1% 9.3% 32.9% 2.9% 0.1% 308.0K -51.2M -82.8K 0.67 82.52 N/A N/A 2,252 1,512 16,268 15,608 2017-03-28 $41.55 $35.00 31.2% 9.0% 40.5% 6.6% 33.3% 2.4% 0.3% 280.3K -54.9M -71.7K 0.98 82.46 N/A N/A 2,510 2,450 16,402 15,630 2017-03-29 $42.13 $36.75 31.6% 9.1% 40.3% 7.5% 34.1% 3.2% 0.1% 256.8K -57.2M -69.0K 1.12 77.45 N/A N/A 2,942 3,308 16,678 16,408 2017-03-30 $41.97 $37.50 33.8% 9.7% 39.8% 13.1% 36.4% 3.6% 0.9% 95.5K -55.6M -80.6K 1.31 79.14 N/A N/A 3,586 4,690 17,232 18,078 2017-03-31 $42.27 $40.00 35.2% 10.1% 40.0% 16.8% 37.8% 4.4% -1.2% -115.0K -55.1M -98.9K 1.07 79.14 N/A N/A 2,990 3,188 18,346 20,544
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