FIZZ Options History — May 2017

In May 2017, FIZZ traded between $41.56 and $47.88. ATM implied volatility averaged 35.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 5.5% (HV 20d: 40.6%). Max pain ranged from $26.75 to $42.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.76.

Notable Days

2017-05-04: Highest Volume — 9,682 contracts
2017-05-04: Largest IV spike — 13.6% change
2017-05-04: Highest IV Rank — 23.0%
2017-05-04: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.06	$41.56	$47.88	$44.91	$47.88
Max Pain	$28.90	$26.75	$42.50	$42.50	$26.75
ATM IV	35.2%	32.7%	37.6%	32.7%	36.4%
Expected Move	10.0%	9.4%	10.5%	9.4%	10.4%
HV 20d	40.6%	29.9%	45.4%	29.9%	39.7%
HV 60d	36.6%	31.5%	38.2%	31.8%	37.7%
IV Rank	16.7%	10.5%	23.0%	10.5%	19.8%
IV Percentile	20.3%	7.5%	36.1%	7.5%	31.3%
Term Structure	1.1%	-1.5%	2.9%	0.4%	1.8%
VWIV	36.9%	33.5%	41.1%	35.3%	36.9%
Skew 25d	3.4%	1.9%	5.1%	2.3%	4.1%
Skew 10d	9.7%	5.5%	20.8%	10.3%	14.7%
Call IV 25d	34.7%	32.8%	36.2%	33.9%	36.0%
Put IV 25d	38.1%	36.0%	40.9%	36.2%	40.1%
Bid-Ask Spread %	48.92	22.45	80.53	58.66	47.37
Gamma HHI	0.22	0.18	0.28	0.26	0.21
Net GEX	169.1K	-164.4K	555.3K	357.3K	555.3K
Net DEX	-48.4M	-61.5M	-38.4M	-55.8M	-61.5M
Net VEX	-103.7K	-114.8K	-79.1K	-80.5K	-114.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.40	1.87	0.75	0.40
Total Volume	5,051.636	3,670	9,682	3,914	5,330
Total OI	39,457.636	34,908	42,610	34,908	39,854

Daily Data (22 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
2017-05-01	$44.91	$42.50	32.7%	9.4%	29.9%	10.5%	35.3%	2.3%	0.4%	357.3K	-55.8M	-80.5K	0.75	58.66	N/A	N/A	2,236	1,678	16,926	17,982
2017-05-02	$45.77	$42.50	33.7%	9.7%	30.4%	12.9%	33.5%	4.1%	-1.2%	421.4K	-59.2M	-81.9K	0.52	74.35	N/A	N/A	2,474	1,298	17,000	18,184
2017-05-03	$45.42	$42.50	33.1%	9.5%	30.6%	11.4%	34.3%	2.9%	-0.1%	486.7K	-58.6M	-79.1K	0.57	77.38	N/A	N/A	2,476	1,410	17,296	18,298
2017-05-04	$41.88	$26.75	37.6%	10.5%	42.8%	23.0%	37.3%	2.5%	-1.5%	69.4K	-42.0M	-91.7K	1.36	68.39	N/A	N/A	4,098	5,584	17,596	18,360
2017-05-05	$41.56	$26.75	37.1%	9.8%	42.7%	21.7%	40.6%	3.3%	0.8%	-85.1K	-38.9M	-95.2K	1.87	80.53	N/A	N/A	2,712	5,066	18,480	20,530
2017-05-08	$41.85	$26.75	35.7%	9.9%	42.8%	18.2%	34.2%	3.7%	1.3%	-164.4K	-38.9M	-104.5K	1.10	45.96	N/A	N/A	2,786	3,054	18,578	22,090
2017-05-09	$41.73	$26.75	36.8%	9.8%	42.7%	20.8%	38.8%	5.1%	0.4%	-119.4K	-38.8M	-102.7K	1.02	32.42	N/A	N/A	2,410	2,456	18,814	21,962
2017-05-10	$42.82	$26.75	34.5%	9.9%	43.7%	15.1%	37.4%	3.5%	0.8%	65.3K	-44.0M	-101.2K	0.82	31.54	N/A	N/A	2,432	1,986	18,926	21,984
2017-05-11	$41.90	$26.75	34.8%	10.0%	44.4%	15.8%	41.1%	4.2%	1.8%	-49.6K	-40.3M	-103.3K	1.43	36.06	N/A	N/A	2,190	3,136	19,022	22,044
2017-05-12	$41.93	$26.75	35.0%	10.0%	44.4%	16.2%	36.8%	3.0%	2.1%	-157.5K	-38.4M	-114.8K	0.90	34.57	N/A	N/A	2,216	1,996	19,118	23,178
2017-05-15	$43.03	$26.75	36.0%	10.3%	45.4%	18.9%	36.3%	1.9%	-0.2%	148.2K	-45.2M	-110.8K	0.55	33.58	N/A	N/A	2,508	1,370	19,116	23,182
2017-05-16	$43.28	$26.75	35.5%	10.2%	43.3%	17.5%	36.8%	3.7%	0.6%	128.3K	-45.4M	-109.5K	0.62	48.03	N/A	N/A	2,310	1,432	19,152	23,282
2017-05-17	$42.10	$26.75	36.5%	10.5%	43.2%	20.1%	40.6%	2.7%	0.7%	-78.5K	-39.9M	-110.8K	0.62	59.83	N/A	N/A	2,320	1,432	19,194	23,386
2017-05-18	$42.51	$26.75	36.1%	10.3%	43.4%	19.1%	37.7%	3.9%	1.5%	21.3K	-41.2M	-106.2K	0.64	38.14	N/A	N/A	2,236	1,434	19,200	23,410
2017-05-19	$43.74	$26.75	35.4%	10.2%	40.7%	17.3%	35.5%	3.4%	2.3%	46.1K	-49.4M	-104.9K	0.45	22.45	N/A	N/A	4,068	1,828	19,172	23,408
2017-05-22	$44.30	$26.75	34.4%	9.9%	40.3%	14.7%	35.5%	3.7%	1.7%	116.7K	-46.6M	-109.9K	0.48	37.20	N/A	N/A	3,656	1,740	16,132	20,648
2017-05-23	$45.24	$26.75	34.5%	9.9%	40.9%	15.1%	37.3%	2.3%	1.9%	189.7K	-50.4M	-111.9K	0.48	40.98	N/A	N/A	4,010	1,932	16,296	20,874
2017-05-24	$46.48	$26.75	33.8%	9.7%	41.3%	13.2%	36.2%	3.0%	2.9%	394.2K	-55.9M	-108.8K	0.63	61.65	N/A	N/A	3,134	1,970	17,122	21,080
2017-05-25	$46.56	$26.75	34.0%	9.7%	41.2%	13.7%	35.3%	3.2%	2.7%	404.2K	-56.1M	-112.9K	0.53	64.11	N/A	N/A	3,186	1,684	17,348	21,338
2017-05-26	$47.20	$26.75	34.0%	9.7%	40.1%	13.6%	37.0%	2.9%	2.8%	489.2K	-59.3M	-113.2K	0.57	49.17	N/A	N/A	3,146	1,800	17,690	21,416
2017-05-30	$47.26	$26.75	36.3%	10.4%	40.0%	19.7%	37.9%	5.0%	1.2%	481.9K	-59.8M	-113.1K	0.46	33.90	N/A	N/A	3,362	1,554	17,796	21,604
2017-05-31	$47.88	$26.75	36.4%	10.4%	39.7%	19.8%	36.9%	4.1%	1.8%	555.3K	-61.5M	-114.5K	0.40	47.37	N/A	N/A	3,796	1,534	18,068	21,786