FIZZ Options History — August 2018

In August 2018, FIZZ traded between $52.05 and $59.33. ATM implied volatility averaged 40.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 15.7% (HV 20d: 24.8%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.67.

Notable Days

2018-08-28: Highest Volume — 4,694 contracts
2018-08-13: Largest IV spike — 29.9% change
2018-08-30: Highest IV Rank — 43.0%
2018-08-30: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.53	$52.05	$59.33	$52.05	$58.84
Max Pain	$56.41	$52.50	$57.50	$52.50	$57.50
ATM IV	40.5%	30.6%	49.7%	35.9%	48.6%
Expected Move	12.0%	10.1%	14.2%	10.3%	13.9%
HV 20d	24.8%	21.4%	26.2%	25.7%	23.6%
HV 60d	35.6%	35.0%	36.0%	35.3%	35.9%
IV Rank	24.6%	4.6%	43.0%	15.4%	40.8%
IV Percentile	50.1%	2.4%	86.9%	20.2%	84.5%
Term Structure	-3.4%	-9.9%	5.3%	3.7%	-9.8%
VWIV	42.4%	34.0%	49.5%	34.0%	49.5%
Skew 25d	2.3%	0.8%	5.4%	5.4%	2.2%
Skew 10d	4.9%	3.4%	8.1%	5.6%	4.5%
Call IV 25d	41.0%	33.5%	48.6%	35.7%	47.9%
Put IV 25d	43.3%	35.8%	50.4%	41.2%	50.1%
Bid-Ask Spread %	35.29	20.09	74.62	74.62	21.34
Gamma HHI	0.15	0.11	0.23	0.11	0.15
Net GEX	647.6K	260.7K	1.4M	260.7K	688.8K
Net DEX	-21.7M	-33.7M	-8.8M	-8.8M	-27.1M
Net VEX	-133.7K	-153.4K	-125.5K	-135.0K	-153.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.41	1.06	0.51	1.06
Total Volume	3,296.957	2,736	4,694	2,892	3,788
Total OI	20,200.087	17,438	22,476	19,470	22,476

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
2018-08-01	$52.05	$52.50	35.9%	10.3%	25.7%	15.4%	34.0%	5.4%	3.7%	260.7K	-8.8M	-135.0K	0.51	74.62	N/A	N/A	1,910	982	12,270	7,200
2018-08-02	$52.79	$52.50	35.3%	10.1%	26.2%	14.1%	34.6%	2.2%	5.3%	345.7K	-11.7M	-129.8K	0.51	66.40	N/A	N/A	1,888	954	12,284	7,344
2018-08-03	$53.55	$52.50	35.1%	10.1%	25.9%	13.8%	35.7%	2.3%	4.8%	424.8K	-14.0M	-131.1K	0.48	33.80	N/A	N/A	1,850	886	12,268	7,416
2018-08-06	$53.95	$55.00	35.8%	11.5%	25.7%	15.2%	40.6%	2.6%	-1.8%	500.3K	-15.8M	-128.6K	0.41	23.74	N/A	N/A	2,144	872	12,260	7,466
2018-08-07	$53.34	$55.00	41.1%	11.6%	25.9%	25.8%	42.0%	2.8%	-1.7%	428.4K	-13.4M	-126.3K	0.59	26.09	N/A	N/A	1,758	1,044	12,414	7,498
2018-08-08	$53.70	$55.00	34.6%	11.6%	23.8%	12.8%	41.0%	2.4%	-2.0%	447.8K	-14.5M	-125.5K	0.58	28.82	N/A	N/A	1,774	1,028	12,436	7,654
2018-08-09	$55.41	$55.00	33.9%	11.6%	25.8%	11.4%	42.5%	3.6%	-2.9%	817.6K	-21.3M	-127.7K	0.79	47.92	N/A	N/A	2,092	1,650	12,438	7,780
2018-08-10	$55.64	$57.50	30.6%	11.7%	25.2%	4.6%	42.7%	2.9%	-2.6%	924.8K	-22.5M	-132.5K	0.81	31.17	N/A	N/A	1,838	1,486	12,694	8,306
2018-08-13	$55.73	$57.50	39.7%	11.8%	24.3%	23.0%	42.9%	2.0%	-3.1%	947.1K	-22.7M	-128.6K	0.81	32.85	N/A	N/A	1,748	1,408	12,786	8,590
2018-08-14	$56.84	$57.50	36.4%	11.5%	24.8%	16.3%	41.3%	2.1%	-2.3%	1.2M	-27.7M	-125.8K	0.75	27.64	N/A	N/A	1,954	1,458	12,726	8,474
2018-08-15	$56.41	$57.50	40.9%	11.7%	24.7%	25.5%	41.8%	2.3%	-3.0%	1.2M	-24.3M	-127.6K	0.73	24.25	N/A	N/A	1,704	1,240	12,700	8,852
2018-08-16	$56.94	$57.50	41.6%	11.9%	24.8%	26.8%	42.1%	1.8%	-3.8%	1.4M	-26.5M	-126.9K	0.81	25.26	N/A	N/A	1,732	1,404	12,700	8,890
2018-08-17	$58.49	$57.50	41.1%	11.8%	26.1%	25.7%	40.9%	1.4%	-3.9%	498.0K	-33.7M	-126.8K	0.63	56.31	N/A	N/A	2,490	1,578	12,780	9,308
2018-08-20	$59.11	$57.50	42.2%	12.1%	26.1%	28.1%	42.0%	0.8%	-4.8%	491.0K	-25.0M	-127.9K	0.60	47.71	N/A	N/A	2,490	1,490	10,230	7,208
2018-08-21	$58.56	$57.50	41.6%	11.9%	25.4%	26.9%	42.1%	2.1%	-4.4%	509.3K	-23.8M	-134.0K	0.72	20.95	N/A	N/A	1,788	1,288	10,662	7,316
2018-08-22	$59.17	$57.50	41.9%	12.0%	25.5%	27.5%	41.8%	1.7%	-4.2%	506.9K	-25.4M	-136.0K	0.60	55.06	N/A	N/A	2,024	1,224	10,700	7,480
2018-08-23	$58.55	$57.50	42.5%	12.2%	25.6%	28.5%	42.0%	2.8%	-5.0%	548.0K	-24.1M	-134.5K	0.63	24.69	N/A	N/A	1,756	1,100	11,024	7,580
2018-08-24	$59.20	$57.50	41.7%	12.0%	23.5%	27.0%	42.4%	2.6%	-4.2%	583.4K	-26.1M	-135.7K	0.78	42.34	N/A	N/A	1,880	1,470	11,154	7,652
2018-08-27	$59.33	$57.50	44.4%	12.7%	21.4%	32.4%	45.8%	1.6%	-5.7%	623.3K	-27.2M	-138.8K	0.68	20.09	N/A	N/A	1,926	1,304	11,700	7,930
2018-08-28	$57.56	$57.50	48.6%	13.9%	23.4%	40.9%	48.9%	1.5%	-8.9%	477.7K	-20.1M	-142.3K	0.72	35.33	N/A	N/A	2,722	1,972	11,842	8,210
2018-08-29	$56.90	$57.50	48.1%	13.8%	23.3%	39.8%	48.4%	2.3%	-8.6%	488.5K	-18.6M	-147.4K	0.63	21.70	N/A	N/A	2,104	1,334	12,770	8,864
2018-08-30	$58.05	$57.50	49.7%	14.2%	23.7%	43.0%	49.2%	1.7%	-9.9%	602.7K	-23.7M	-152.4K	0.67	23.59	N/A	N/A	1,980	1,318	13,154	9,116
2018-08-31	$58.84	$57.50	48.6%	13.9%	23.6%	40.8%	49.5%	2.2%	-9.8%	688.8K	-27.1M	-153.4K	1.06	21.34	N/A	N/A	1,842	1,946	13,300	9,176