FIZZ Options History — October 2017

In October 2017, FIZZ traded between $46.78 and $58.90. ATM implied volatility averaged 41.0%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 2.6% (HV 20d: 43.6%). Max pain ranged from $50.00 to $57.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.02.

Notable Days

2017-10-17: Highest Volume — 8,044 contracts
2017-10-27: Largest IV spike — 4.9% change
2017-10-23: Highest IV Rank — 36.4%
2017-10-23: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.54	$46.78	$58.90	$58.90	$48.95
Max Pain	$53.86	$50.00	$57.50	$50.00	$50.00
ATM IV	41.0%	38.3%	43.8%	38.3%	41.5%
Expected Move	11.7%	11.0%	12.5%	11.0%	11.9%
HV 20d	43.6%	34.5%	51.1%	34.5%	40.7%
HV 60d	35.9%	32.3%	38.5%	38.2%	36.1%
IV Rank	29.0%	22.0%	36.4%	22.0%	30.4%
IV Percentile	59.4%	43.7%	74.2%	43.7%	64.7%
Term Structure	0.6%	-2.4%	3.9%	-2.1%	3.9%
VWIV	42.1%	39.4%	44.7%	40.1%	41.9%
Skew 25d	2.1%	0.5%	3.5%	3.2%	2.5%
Skew 10d	4.6%	1.2%	9.3%	6.5%	3.1%
Call IV 25d	41.0%	38.1%	43.3%	38.1%	40.3%
Put IV 25d	43.2%	40.3%	45.9%	41.3%	42.8%
Bid-Ask Spread %	57.04	46.94	71.05	56.19	71.05
Gamma HHI	0.11	0.07	0.19	0.14	0.10
Net GEX	136.4K	-353.3K	718.0K	588.0K	-99.2K
Net DEX	-9.1M	-39.4M	12.0M	-39.4M	3.5M
Net VEX	-140.9K	-146.1K	-127.9K	-138.2K	-144.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.70	1.36	1.16	0.93
Total Volume	4,773.545	3,442	8,044	5,598	5,016
Total OI	31,901.818	21,602	41,132	30,400	24,432

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
2017-10-02	$58.90	$50.00	38.3%	11.0%	34.5%	22.0%	40.1%	3.2%	-2.1%	588.0K	-39.4M	-138.2K	1.16	56.19	N/A	N/A	2,592	3,006	14,552	15,848
2017-10-03	$55.18	$50.00	39.4%	11.3%	40.6%	24.9%	40.9%	1.2%	-2.4%	312.8K	-24.0M	-134.0K	1.03	51.89	N/A	N/A	2,820	2,904	14,986	15,996
2017-10-04	$55.39	$50.00	40.8%	11.7%	40.6%	28.5%	41.6%	1.6%	-1.3%	372.6K	-26.0M	-142.6K	0.70	49.70	N/A	N/A	2,910	2,034	15,858	16,550
2017-10-05	$55.16	$57.50	39.8%	11.2%	39.8%	25.8%	41.8%	1.0%	0.2%	533.1K	-27.4M	-145.5K	0.77	46.94	N/A	N/A	3,006	2,318	16,876	16,646
2017-10-06	$54.61	$57.50	39.1%	11.0%	39.8%	24.0%	40.5%	1.0%	0.9%	489.2K	-24.5M	-146.1K	1.05	47.78	N/A	N/A	1,680	1,762	17,152	17,550
2017-10-09	$55.20	$57.50	40.9%	11.4%	37.5%	28.7%	41.1%	1.0%	-1.3%	580.1K	-27.8M	-142.9K	0.88	50.06	N/A	N/A	1,878	1,650	17,226	17,674
2017-10-10	$56.08	$57.50	39.7%	11.1%	36.7%	25.5%	39.4%	0.5%	0.6%	718.0K	-33.0M	-141.8K	0.93	47.99	N/A	N/A	1,860	1,730	17,350	17,878
2017-10-11	$56.07	$57.50	38.5%	11.0%	36.7%	22.4%	40.0%	1.3%	0.8%	693.0K	-32.8M	-140.4K	0.83	51.75	N/A	N/A	2,024	1,684	17,590	18,004
2017-10-12	$53.06	$57.50	39.1%	11.2%	40.9%	24.1%	40.0%	1.5%	0.6%	272.9K	-15.3M	-137.0K	0.81	49.48	N/A	N/A	3,252	2,650	18,066	18,160
2017-10-13	$52.41	$55.00	39.1%	11.2%	40.9%	24.1%	41.4%	1.5%	0.7%	189.6K	-12.8M	-142.5K	0.83	53.51	N/A	N/A	2,146	1,774	18,976	18,910
2017-10-16	$53.34	$55.00	40.4%	11.6%	41.8%	27.4%	42.3%	1.4%	-0.2%	360.1K	-19.5M	-138.2K	0.93	57.33	N/A	N/A	2,070	1,926	19,128	18,986
2017-10-17	$48.80	$55.00	41.7%	11.9%	51.0%	30.9%	43.1%	2.5%	1.0%	-63.4K	5.7M	-127.9K	1.36	57.64	N/A	N/A	3,404	4,640	19,454	19,020
2017-10-18	$48.93	$55.00	42.3%	12.1%	51.1%	32.4%	44.7%	2.3%	0.2%	-267.4K	5.4M	-142.4K	1.11	60.71	N/A	N/A	2,290	2,534	19,514	20,284
2017-10-19	$48.83	$55.00	42.4%	12.2%	50.9%	32.9%	43.6%	3.4%	-0.7%	-353.3K	5.2M	-139.6K	1.27	59.00	N/A	N/A	2,300	2,924	19,370	20,466
2017-10-20	$48.13	$52.50	42.4%	12.1%	50.5%	32.7%	40.7%	3.5%	-1.5%	-125.8K	7.3M	-140.5K	1.16	62.79	N/A	N/A	2,428	2,806	19,740	21,392
2017-10-23	$47.67	$52.50	43.8%	12.5%	50.3%	36.4%	43.5%	3.0%	2.0%	-148.6K	8.5M	-139.4K	0.91	57.23	N/A	N/A	2,982	2,710	10,444	11,158
2017-10-24	$47.51	$52.50	43.0%	12.3%	49.6%	34.4%	43.4%	3.3%	2.0%	-192.3K	9.4M	-143.3K	0.98	62.47	N/A	N/A	2,696	2,654	10,636	11,954
2017-10-25	$46.78	$52.50	43.0%	12.3%	48.9%	34.3%	44.1%	3.0%	2.7%	-262.6K	12.0M	-141.3K	1.33	60.41	N/A	N/A	1,934	2,566	10,826	12,368
2017-10-26	$47.47	$52.50	41.1%	11.8%	46.3%	29.4%	43.5%	3.3%	2.8%	-221.8K	9.0M	-143.4K	1.25	65.06	N/A	N/A	1,544	1,928	10,958	12,286
2017-10-27	$47.57	$52.50	43.1%	12.4%	46.1%	34.7%	44.6%	2.4%	2.7%	-212.1K	8.3M	-144.7K	0.94	66.35	N/A	N/A	2,070	1,948	11,074	12,340
2017-10-30	$47.90	$50.00	42.4%	12.2%	44.3%	32.9%	44.3%	2.0%	2.6%	-162.2K	7.4M	-142.2K	1.23	69.55	N/A	N/A	1,782	2,186	11,744	12,418
2017-10-31	$48.95	$50.00	41.5%	11.9%	40.7%	30.4%	41.9%	2.5%	3.9%	-99.2K	3.5M	-144.9K	0.93	71.05	N/A	N/A	2,594	2,422	11,842	12,590