FIZZ Options History — September 2018

In September 2018, FIZZ traded between $55.10 and $62.54. ATM implied volatility averaged 36.4%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 3.3% (HV 20d: 39.7%). Max pain ranged from $57.50 to $57.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.76.

Notable Days

2018-09-06: Highest Volume — 6,662 contracts
2018-09-06: Largest IV drop — 24.6% change
2018-09-05: Highest IV Rank — 52.6%
2018-09-05: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.44	$55.10	$62.54	$59.33	$58.19
Max Pain	$57.50	$57.50	$57.50	$57.50	$57.50
ATM IV	36.4%	32.4%	54.4%	53.1%	32.8%
Expected Move	10.3%	9.3%	15.6%	15.2%	9.4%
HV 20d	39.7%	22.9%	44.8%	23.6%	44.0%
HV 60d	36.4%	31.7%	39.9%	35.5%	32.3%
IV Rank	16.4%	8.3%	52.6%	49.9%	9.0%
IV Percentile	21.9%	4.0%	91.3%	90.9%	5.6%
Term Structure	-0.1%	-13.9%	3.6%	-11.6%	0.9%
VWIV	36.2%	31.5%	55.1%	54.2%	32.4%
Skew 25d	3.1%	0.9%	4.0%	0.9%	3.1%
Skew 10d	5.9%	-6.3%	9.1%	4.9%	6.8%
Call IV 25d	34.8%	30.5%	54.5%	53.9%	30.5%
Put IV 25d	37.9%	33.6%	56.0%	54.9%	33.6%
Bid-Ask Spread %	53.14	21.35	76.30	51.02	21.35
Gamma HHI	0.21	0.13	0.35	0.16	0.15
Net GEX	405.2K	-407.7K	1.1M	641.8K	792.1K
Net DEX	-23.1M	-43.9M	-10.0M	-28.3M	-24.8M
Net VEX	-146.5K	-164.6K	-124.4K	-152.3K	-131.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.35	1.24	0.50	0.76
Total Volume	3,762.316	2,276	6,662	3,094	2,550
Total OI	25,796.421	20,882	29,810	23,146	21,124

Daily Data (19 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
2018-09-04	$59.33	$57.50	53.1%	15.2%	23.6%	49.9%	54.2%	0.9%	-11.6%	641.8K	-28.3M	-152.3K	0.50	51.02	N/A	N/A	2,068	1,026	13,354	9,792
2018-09-05	$59.59	$57.50	54.4%	15.6%	22.9%	52.6%	55.1%	1.5%	-13.9%	669.6K	-29.4M	-152.2K	0.52	46.59	N/A	N/A	2,220	1,150	13,492	9,916
2018-09-06	$62.54	$57.50	41.0%	10.6%	27.5%	25.7%	39.4%	3.2%	-0.3%	1.1M	-43.9M	-146.5K	1.24	66.31	N/A	N/A	2,980	3,682	13,800	10,082
2018-09-07	$58.13	$57.50	35.0%	10.0%	38.4%	13.6%	34.2%	3.2%	0.7%	186.5K	-19.0M	-158.2K	0.35	32.41	N/A	N/A	3,708	1,290	14,430	12,052
2018-09-10	$59.45	$57.50	36.3%	10.0%	39.0%	16.2%	35.3%	3.2%	1.1%	358.5K	-26.5M	-160.7K	1.00	48.31	N/A	N/A	2,064	2,066	14,830	12,254
2018-09-11	$59.87	$57.50	35.6%	9.8%	39.0%	14.7%	35.7%	3.4%	1.8%	255.9K	-28.6M	-164.6K	0.70	38.39	N/A	N/A	1,678	1,170	15,110	13,140
2018-09-12	$62.10	$57.50	34.1%	9.8%	40.4%	11.7%	36.4%	3.9%	1.5%	788.8K	-42.3M	-159.2K	0.85	28.06	N/A	N/A	2,134	1,804	15,182	13,300
2018-09-13	$61.76	$57.50	33.7%	9.7%	40.4%	10.9%	35.1%	3.0%	1.9%	789.3K	-42.0M	-162.4K	1.00	52.86	N/A	N/A	1,756	1,758	15,532	13,864
2018-09-14	$58.70	$57.50	33.1%	9.5%	44.8%	9.8%	32.8%	3.1%	3.2%	-407.7K	-19.9M	-163.7K	0.95	57.35	N/A	N/A	2,546	2,418	15,830	13,980
2018-09-17	$58.23	$57.50	34.9%	10.0%	43.9%	13.4%	35.0%	2.8%	2.0%	42.8K	-19.7M	-153.9K	0.49	62.31	N/A	N/A	3,110	1,530	16,158	12,548
2018-09-18	$57.22	$57.50	33.7%	9.7%	44.1%	10.9%	33.6%	3.8%	2.6%	-187.6K	-13.8M	-145.2K	1.01	51.95	N/A	N/A	2,464	2,486	16,828	12,488
2018-09-19	$56.90	$57.50	32.9%	9.4%	44.0%	9.3%	33.1%	2.9%	3.2%	154.3K	-14.2M	-144.2K	0.47	54.58	N/A	N/A	2,928	1,366	17,568	11,572
2018-09-20	$57.36	$57.50	32.5%	9.3%	44.0%	8.4%	32.8%	3.1%	3.6%	-128.3K	-17.8M	-142.4K	0.53	61.01	N/A	N/A	2,354	1,238	17,386	11,496
2018-09-21	$56.80	$57.50	32.8%	9.4%	43.9%	9.1%	32.6%	3.4%	3.0%	543.1K	-10.0M	-135.6K	0.89	57.67	N/A	N/A	1,726	1,540	17,314	11,438
2018-09-24	$56.17	$57.50	35.7%	10.2%	43.8%	14.9%	34.4%	3.7%	-1.1%	499.6K	-15.1M	-132.5K	0.87	65.14	N/A	N/A	1,390	1,208	13,670	7,460
2018-09-25	$55.10	$57.50	33.7%	9.7%	44.1%	11.0%	32.6%	4.0%	0.3%	415.1K	-10.0M	-124.4K	1.10	68.23	N/A	N/A	1,606	1,762	13,778	7,558
2018-09-26	$55.78	$57.50	34.2%	9.8%	43.3%	11.9%	31.5%	3.7%	-0.4%	569.5K	-14.4M	-125.9K	0.70	76.30	N/A	N/A	1,342	934	13,718	7,164
2018-09-27	$57.10	$57.50	32.4%	9.3%	44.0%	8.3%	31.6%	3.8%	0.3%	661.0K	-19.5M	-128.2K	0.59	69.81	N/A	N/A	1,530	902	13,756	7,168
2018-09-28	$58.19	$57.50	32.8%	9.4%	44.0%	9.0%	32.4%	3.1%	0.9%	792.1K	-24.8M	-131.2K	0.76	21.35	N/A	N/A	1,452	1,098	13,936	7,188