FIZZ Options History — October 2018

In October 2018, FIZZ traded between $46.27 and $56.49. ATM implied volatility averaged 40.7%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.6% (HV 20d: 33.2%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.06.

Notable Days

2018-10-01: Highest Volume — 5,410 contracts
2018-10-08: Largest IV spike — 11.7% change
2018-10-30: Highest IV Rank — 40.0%
2018-10-30: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.73	$46.27	$56.49	$56.49	$46.27
Max Pain	$54.57	$52.50	$57.50	$57.50	$52.50
ATM IV	40.7%	34.5%	48.1%	38.2%	45.9%
Expected Move	11.6%	10.2%	13.8%	11.0%	13.2%
HV 20d	33.2%	28.2%	45.5%	44.9%	32.1%
HV 60d	33.9%	32.5%	35.4%	32.6%	35.4%
IV Rank	25.1%	12.6%	40.0%	20.0%	35.4%
IV Percentile	57.0%	15.1%	83.7%	42.9%	77.4%
Term Structure	0.8%	-2.9%	3.2%	-2.8%	-0.8%
VWIV	40.2%	34.8%	48.6%	46.5%	48.6%
Skew 25d	5.8%	3.4%	8.4%	4.5%	7.1%
Skew 10d	10.6%	2.4%	17.6%	17.6%	13.1%
Call IV 25d	38.4%	33.6%	47.0%	40.6%	44.7%
Put IV 25d	44.2%	38.5%	51.7%	45.1%	51.7%
Bid-Ask Spread %	59.90	14.77	88.09	88.09	73.18
Gamma HHI	0.15	0.10	0.23	0.14	0.20
Net GEX	12.5K	-229.8K	611.3K	611.3K	-120.0K
Net DEX	5.4M	-16.3M	17.3M	-16.3M	9.4M
Net VEX	-92.7K	-135.7K	-72.3K	-131.5K	-81.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.54	3.06	3.06	0.74
Total Volume	2,796.087	1,764	5,410	5,410	2,572
Total OI	21,884.957	15,498	25,174	21,360	19,370

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
2018-10-01	$56.49	$57.50	38.2%	11.0%	44.9%	20.0%	46.5%	4.5%	-2.8%	611.3K	-16.3M	-131.5K	3.06	88.09	N/A	N/A	1,332	4,078	13,978	7,382
2018-10-02	$55.02	$57.50	37.1%	10.7%	45.5%	17.9%	37.1%	7.3%	-1.3%	-221.6K	-4.3M	-135.7K	1.28	75.22	N/A	N/A	1,672	2,146	14,112	10,292
2018-10-03	$54.45	$57.50	36.2%	10.4%	45.4%	16.0%	35.9%	5.9%	-1.2%	-229.8K	-2.0M	-126.5K	0.99	35.04	N/A	N/A	1,474	1,460	14,152	10,038
2018-10-04	$54.20	$57.50	34.5%	10.2%	40.9%	12.6%	34.8%	5.1%	3.2%	-208.7K	-619.3K	-121.4K	0.94	48.13	N/A	N/A	1,766	1,658	14,276	9,808
2018-10-05	$53.01	$57.50	36.9%	10.3%	33.3%	17.4%	35.3%	4.8%	3.0%	-171.5K	3.7M	-112.1K	1.52	30.51	N/A	N/A	1,360	2,066	14,412	9,644
2018-10-08	$52.45	$55.00	41.2%	10.5%	31.8%	26.1%	37.2%	5.0%	2.9%	-164.0K	6.2M	-105.8K	0.94	58.82	N/A	N/A	1,410	1,322	14,490	9,932
2018-10-09	$50.16	$55.00	41.6%	11.0%	34.1%	26.8%	36.9%	5.1%	2.6%	-138.5K	15.1M	-87.9K	1.23	14.77	N/A	N/A	1,480	1,818	14,432	10,086
2018-10-10	$50.31	$55.00	39.8%	11.4%	30.0%	23.3%	38.9%	4.7%	1.7%	-91.2K	14.0M	-91.6K	1.36	53.74	N/A	N/A	1,172	1,594	14,854	10,134
2018-10-11	$49.12	$55.00	42.4%	12.1%	30.3%	28.3%	42.7%	6.5%	1.0%	-77.4K	17.2M	-86.7K	0.98	56.25	N/A	N/A	1,360	1,330	14,936	10,170
2018-10-12	$49.98	$55.00	41.5%	11.9%	28.2%	26.6%	39.7%	6.8%	1.1%	-109.9K	14.3M	-88.4K	0.54	56.15	N/A	N/A	1,486	808	14,972	10,186
2018-10-15	$49.11	$55.00	41.0%	11.8%	28.4%	25.7%	41.4%	6.6%	1.4%	-131.6K	17.3M	-79.3K	0.97	56.75	N/A	N/A	1,324	1,284	14,940	10,234
2018-10-16	$49.88	$52.50	39.8%	11.4%	29.4%	23.2%	39.9%	5.7%	1.4%	-57.0K	14.6M	-80.5K	1.02	57.08	N/A	N/A	1,292	1,314	14,994	10,044
2018-10-17	$51.15	$52.50	39.0%	11.2%	31.6%	21.6%	36.4%	4.9%	2.8%	25.0K	8.2M	-85.9K	1.28	68.91	N/A	N/A	1,202	1,540	14,978	9,676
2018-10-18	$50.20	$55.00	39.4%	11.3%	31.5%	22.5%	38.6%	5.4%	2.5%	-10.2K	11.8M	-80.0K	0.91	72.25	N/A	N/A	1,176	1,072	14,942	9,676
2018-10-19	$49.13	$55.00	39.9%	11.5%	31.9%	23.5%	39.3%	6.3%	1.2%	180.8K	15.6M	-72.3K	0.92	38.11	N/A	N/A	1,366	1,260	14,952	9,664
2018-10-22	$49.17	$55.00	41.1%	11.8%	32.0%	25.7%	41.1%	6.8%	0.7%	181.5K	221.2K	-72.5K	0.64	66.98	N/A	N/A	1,074	690	11,198	4,300
2018-10-23	$49.30	$52.50	42.0%	12.1%	31.8%	27.7%	39.1%	6.5%	1.8%	198.4K	-374.7K	-74.0K	0.59	55.63	N/A	N/A	1,160	684	11,334	4,368
2018-10-24	$50.07	$52.50	43.3%	12.4%	32.1%	30.3%	42.2%	8.4%	0.1%	255.8K	-2.3M	-79.5K	0.59	71.26	N/A	N/A	1,220	716	11,548	4,372
2018-10-25	$49.70	$52.50	40.1%	11.5%	30.2%	23.8%	38.9%	5.4%	1.6%	246.4K	-1.4M	-75.4K	1.01	74.38	N/A	N/A	1,454	1,462	11,766	4,370
2018-10-26	$49.43	$52.50	42.9%	12.3%	28.7%	29.4%	42.5%	7.0%	0.1%	177.9K	-3.4K	-83.6K	1.25	78.02	N/A	N/A	1,484	1,856	11,826	5,348
2018-10-29	$50.04	$52.50	44.7%	12.8%	28.4%	33.1%	43.3%	4.5%	-1.1%	127.2K	-209.4K	-92.9K	0.66	76.75	N/A	N/A	1,208	798	11,966	6,530
2018-10-30	$48.05	$52.50	48.1%	13.8%	30.1%	40.0%	48.6%	3.4%	-2.9%	14.7K	4.2M	-86.8K	1.03	71.67	N/A	N/A	1,138	1,172	11,980	6,692
2018-10-31	$46.27	$52.50	45.9%	13.2%	32.1%	35.4%	48.6%	7.1%	-0.8%	-120.0K	9.4M	-81.9K	0.74	73.18	N/A	N/A	1,476	1,096	12,170	7,200