FIZZ Options History — October 2019 In October 2019, FIZZ traded between $21.64 and $25.25. ATM implied volatility averaged 48.8%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 9.2% (HV 20d: 39.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.78.
Notable Days 2019-10-04 : Highest Volume — 35,246 contracts2019-10-07 : Largest IV spike — 14.4% change2019-10-29 : Highest IV Rank — 35.0%2019-10-29 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $23.81 $21.64 $25.25 $22.85 $21.97 Max Pain $24.24 $22.50 $25.00 $25.00 $25.00 ATM IV 48.8% 44.5% 56.6% 49.3% 50.4% Expected Move 13.9% 12.7% 16.2% 14.1% 14.5% HV 20d 39.7% 33.2% 65.5% 40.1% 65.2% HV 60d 41.0% 37.5% 48.9% 39.7% 48.6% IV Rank 23.9% 17.6% 35.0% 24.5% 26.1% IV Percentile 66.1% 42.1% 88.1% 72.6% 73.4% Term Structure 5.3% -1.3% 9.7% -1.1% 5.9% VWIV 51.0% 45.5% 72.1% 49.5% 64.9% Skew 25d 2.3% -7.2% 8.3% 4.6% -7.2% Skew 10d 3.7% -21.6% 15.1% 10.2% -14.5% Call IV 25d 49.5% 44.9% 61.2% 49.2% 59.1% Put IV 25d 51.8% 47.1% 56.9% 53.9% 51.9% Bid-Ask Spread % 60.38 43.22 70.99 64.39 68.51 Gamma HHI 0.54 0.33 0.83 0.51 0.33 Net GEX -1.1M -2.3M -53.6K -1.1M -979.5K Net DEX 36.0M 12.5M 58.0M 35.4M 50.4M Net VEX -203.3K -243.3K -138.9K -138.9K -197.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.78 0.01 50.99 0.22 0.27 Total Volume 5,088.696 338 35,246 338 2,518 Total OI 67,369.391 49,462 81,196 49,462 77,102
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 2019-10-01 $22.85 $25.00 49.3% 14.1% 40.1% 24.5% 49.5% 4.6% -1.1% -1.1M 35.4M -138.9K 0.22 64.39 N/A N/A 278 60 11,136 38,326 2019-10-02 $23.05 $25.00 51.1% 14.7% 39.0% 27.1% 51.4% 4.1% -1.3% -1.2M 33.2M -140.9K 1.21 70.00 N/A N/A 300 364 11,266 38,314 2019-10-03 $23.41 $22.50 51.1% 14.3% 39.1% 27.2% 49.5% 5.2% 3.5% -1.3M 31.2M -141.3K 1.04 47.33 N/A N/A 386 400 11,384 38,532 2019-10-04 $24.37 $22.50 46.8% 13.4% 40.6% 21.0% 47.0% 5.8% 5.8% -1.5M 23.3M -144.0K 50.99 54.92 N/A N/A 678 34,568 11,512 38,558 2019-10-07 $23.64 $22.50 53.5% 14.3% 33.8% 30.6% 48.8% 6.0% 3.6% -1.7M 45.0M -196.6K 1.29 58.91 N/A N/A 232 300 11,862 50,726 2019-10-08 $22.93 $22.50 50.9% 14.6% 34.1% 26.8% 53.4% 4.8% 4.4% -1.7M 58.0M -188.4K 1.09 55.26 N/A N/A 496 542 11,908 54,008 2019-10-09 $23.27 $22.50 49.3% 14.1% 33.2% 24.5% 48.3% 6.2% 5.7% -1.5M 48.8M -191.3K 1.02 56.59 N/A N/A 784 798 12,236 50,816 2019-10-10 $24.01 $22.50 47.8% 13.7% 34.8% 22.4% 50.5% 8.3% 7.1% -1.8M 42.2M -204.9K 0.17 54.66 N/A N/A 4,030 680 12,886 51,468 2019-10-11 $24.62 $22.50 51.0% 14.6% 35.1% 27.0% 52.1% -0.4% 3.0% -1.6M 32.7M -212.4K 0.84 58.68 N/A N/A 4,342 3,644 15,788 51,700 2019-10-14 $23.91 $25.00 50.7% 14.5% 36.3% 26.5% 51.3% 3.5% 4.8% -1.4M 43.6M -219.6K 0.13 53.87 N/A N/A 1,756 222 19,864 55,030 2019-10-15 $24.45 $25.00 45.5% 13.0% 36.7% 19.1% 46.3% 3.8% 8.6% -1.6M 37.1M -220.7K 0.11 55.97 N/A N/A 6,052 674 21,246 55,018 2019-10-16 $24.26 $25.00 45.9% 13.2% 36.7% 19.7% 46.8% 4.6% 9.4% -1.7M 40.8M -218.8K 0.07 63.30 N/A N/A 2,106 146 22,686 55,154 2019-10-17 $24.55 $25.00 44.6% 12.8% 36.6% 17.8% 46.6% 0.5% 6.8% -2.3M 37.9M -222.1K 0.01 65.22 N/A N/A 6,708 70 23,326 55,212 2019-10-18 $24.23 $25.00 44.8% 12.9% 35.2% 18.1% 48.4% 0.7% 9.7% -771.0K 46.3M -222.3K 0.15 69.35 N/A N/A 4,352 642 26,040 55,156 2019-10-21 $24.00 $25.00 44.5% 12.7% 35.3% 17.6% 48.3% 1.2% 6.7% -747.0K 30.4M -225.2K 0.38 58.30 N/A N/A 3,716 1,400 22,302 39,918 2019-10-22 $24.66 $25.00 45.5% 13.0% 34.5% 19.0% 47.5% 2.1% 7.5% -433.3K 21.9M -240.5K 1.70 68.02 N/A N/A 526 896 25,842 41,220 2019-10-23 $24.89 $25.00 46.9% 13.5% 34.4% 21.1% 47.6% 0.6% 5.7% -364.0K 19.5M -243.1K 0.27 43.22 N/A N/A 1,290 354 25,998 41,882 2019-10-24 $24.78 $25.00 45.0% 12.9% 34.0% 18.3% 45.5% 4.0% 6.9% -367.7K 20.6M -240.8K 0.53 66.21 N/A N/A 380 200 27,204 42,084 2019-10-25 $24.95 $25.00 48.3% 13.9% 33.8% 23.1% 48.6% 0.2% 6.3% -296.1K 17.4M -242.8K 0.11 70.99 N/A N/A 2,888 310 27,428 42,192 2019-10-28 $25.25 $25.00 49.8% 14.3% 33.4% 25.2% 52.7% 0.6% 4.0% -53.6K 12.5M -243.3K 1.37 47.82 N/A N/A 2,588 3,556 29,884 42,320 2019-10-29 $21.64 $25.00 56.6% 16.2% 65.4% 35.0% 72.1% -4.3% 5.0% -860.0K 50.6M -183.2K 0.21 68.99 N/A N/A 16,360 3,404 32,214 43,994 2019-10-30 $21.89 $25.00 53.7% 15.4% 65.5% 30.9% 55.1% -2.8% 4.4% -942.1K 49.9M -197.5K 0.76 68.16 N/A N/A 592 452 30,500 46,254 2019-10-31 $21.97 $25.00 50.4% 14.5% 65.2% 26.1% 64.9% -7.2% 5.9% -979.5K 50.4M -197.0K 0.27 68.51 N/A N/A 1,986 532 30,576 46,526
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