FIZZ Options History — August 2017 In August 2017, FIZZ traded between $51.98 and $58.10. ATM implied volatility averaged 44.4%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 8.6% (HV 20d: 35.8%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.08.
Notable Days 2017-08-03 : Highest Volume — 8,696 contracts2017-08-09 : Largest IV spike — 11.0% change2017-08-29 : Highest IV Rank — 52.5%2017-08-29 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $55.84 $51.98 $58.10 $51.98 $58.03 Max Pain $52.28 $50.00 $52.50 $50.00 $52.50 ATM IV 44.4% 37.0% 49.7% 37.0% 47.7% Expected Move 12.9% 10.6% 14.3% 10.6% 13.7% HV 20d 35.8% 23.2% 52.9% 51.9% 23.2% HV 60d 38.1% 37.6% 38.6% 38.0% 37.8% IV Rank 38.1% 18.5% 52.5% 18.5% 46.9% IV Percentile 67.3% 32.5% 86.5% 32.5% 78.2% Term Structure -4.2% -8.7% 2.6% 2.6% -7.3% VWIV 46.2% 39.1% 50.4% 39.5% 49.6% Skew 25d 2.4% 0.5% 4.0% 3.2% 0.9% Skew 10d 3.7% -13.7% 9.4% 9.4% 2.9% Call IV 25d 44.9% 37.7% 49.4% 37.7% 49.4% Put IV 25d 47.3% 39.8% 51.4% 41.0% 50.3% Bid-Ask Spread % 47.10 25.06 62.50 49.83 62.50 Gamma HHI 0.15 0.12 0.25 0.12 0.16 Net GEX 852.9K 509.6K 1.4M 509.6K 817.6K Net DEX -40.8M -54.0M -24.2M -24.2M -44.6M Net VEX -132.2K -152.9K -116.6K -136.4K -116.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.35 1.96 1.03 1.12 Total Volume 3,314.435 2,190 8,696 2,330 2,632 Total OI 28,032.957 24,590 31,866 25,716 26,880
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 2017-08-01 $51.98 $50.00 37.0% 10.6% 51.9% 18.5% 39.5% 3.2% 2.6% 509.6K -24.2M -136.4K 1.03 49.83 N/A N/A 1,150 1,180 12,092 13,624 2017-08-02 $52.41 $50.00 37.0% 10.6% 51.8% 18.5% 39.1% 1.8% 2.5% 589.2K -26.9M -134.8K 0.93 25.06 N/A N/A 1,372 1,274 12,078 13,706 2017-08-03 $54.38 $52.50 38.6% 12.5% 52.9% 22.7% 44.7% 2.8% -1.9% 648.3K -33.2M -136.0K 0.35 45.16 N/A N/A 6,450 2,246 11,938 13,820 2017-08-04 $54.49 $52.50 40.0% 12.8% 52.5% 26.5% 45.7% 3.5% -2.5% 896.9K -39.6M -152.9K 0.94 35.12 N/A N/A 1,722 1,612 14,504 14,464 2017-08-07 $54.41 $52.50 42.7% 12.9% 47.7% 33.6% 47.6% 4.0% -4.5% 978.1K -40.8M -152.1K 1.07 42.87 N/A N/A 1,980 2,120 15,144 14,844 2017-08-08 $55.26 $52.50 40.7% 12.9% 47.9% 28.3% 46.3% 2.7% -3.8% 1.1M -45.8M -149.1K 1.33 35.11 N/A N/A 1,224 1,630 15,206 15,382 2017-08-09 $54.59 $52.50 45.2% 13.0% 47.9% 40.3% 46.9% 2.6% -3.1% 982.1K -41.1M -148.9K 1.24 37.37 N/A N/A 1,068 1,328 15,062 15,564 2017-08-10 $53.63 $52.50 45.5% 13.1% 37.0% 41.2% 45.3% 2.5% -2.7% 871.1K -35.5M -150.7K 0.73 45.34 N/A N/A 1,912 1,390 14,966 15,598 2017-08-11 $54.22 $52.50 45.6% 13.1% 35.1% 41.3% 46.1% 1.2% -4.6% 948.9K -37.8M -141.0K 0.97 45.79 N/A N/A 1,690 1,632 14,398 15,426 2017-08-14 $55.97 $52.50 44.0% 12.6% 35.5% 37.1% 44.6% 2.2% -4.4% 1.2M -45.4M -127.4K 1.17 49.79 N/A N/A 1,462 1,706 14,258 15,494 2017-08-15 $57.28 $52.50 44.2% 12.7% 35.8% 37.6% 45.4% 2.2% -4.3% 1.4M -54.0M -122.4K 1.02 50.01 N/A N/A 2,064 2,112 14,674 15,478 2017-08-16 $57.02 $52.50 44.6% 12.8% 33.2% 38.6% 45.4% 1.9% -3.9% 1.4M -52.1M -122.5K 1.96 57.06 N/A N/A 1,268 2,490 14,820 15,708 2017-08-17 $55.48 $52.50 46.1% 13.2% 32.6% 42.7% 47.1% 0.5% -4.7% 1.3M -42.5M -131.0K 1.82 56.25 N/A N/A 1,170 2,130 14,878 16,704 2017-08-18 $56.63 $52.50 44.3% 12.7% 28.3% 37.8% 44.6% 2.9% -4.2% 562.1K -49.1M -128.2K 0.79 41.76 N/A N/A 2,572 2,028 15,078 16,788 2017-08-21 $57.38 $52.50 45.9% 13.1% 28.0% 42.1% 46.2% 2.9% -6.6% 608.4K -39.4M -122.6K 1.29 37.65 N/A N/A 1,274 1,648 11,584 13,006 2017-08-22 $56.85 $52.50 46.0% 13.2% 26.5% 42.4% 47.0% 2.8% -4.1% 621.2K -38.2M -127.0K 0.92 53.15 N/A N/A 1,500 1,380 11,974 13,140 2017-08-23 $57.44 $52.50 46.3% 13.3% 25.8% 43.2% 47.9% 2.0% -4.6% 691.0K -41.3M -126.7K 1.25 60.23 N/A N/A 1,236 1,548 12,456 13,198 2017-08-24 $57.29 $52.50 45.3% 13.0% 25.8% 40.6% 46.6% 2.2% -4.2% 685.0K -40.6M -127.0K 1.28 52.60 N/A N/A 1,232 1,574 12,530 13,422 2017-08-25 $56.83 $52.50 45.9% 13.2% 26.3% 42.2% 47.2% 3.4% -5.6% 672.8K -38.7M -126.7K 1.24 49.48 N/A N/A 1,228 1,518 12,556 13,464 2017-08-28 $57.35 $52.50 49.1% 14.1% 26.1% 50.7% 48.6% 1.7% -8.2% 690.2K -40.9M -120.4K 0.72 41.38 N/A N/A 1,388 1,006 12,550 13,474 2017-08-29 $57.37 $52.50 49.7% 14.3% 25.8% 52.5% 50.4% 2.6% -8.7% 724.8K -41.5M -121.7K 1.01 55.11 N/A N/A 1,092 1,098 12,784 13,548 2017-08-30 $58.10 $52.50 48.9% 14.0% 26.0% 50.1% 49.7% 3.1% -7.1% 748.4K -44.0M -119.2K 0.75 54.66 N/A N/A 1,652 1,244 12,870 13,626 2017-08-31 $58.03 $52.50 47.7% 13.7% 23.2% 46.9% 49.6% 0.9% -7.3% 817.6K -44.6M -116.6K 1.12 62.50 N/A N/A 1,244 1,388 13,162 13,718
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