FIZZ Options History — March 2020 In March 2020, FIZZ traded between $18.61 and $22.54. ATM implied volatility averaged 96.7%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded above realized volatility by 40.9% (HV 20d: 55.8%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.43.
Notable Days 2020-03-02 : Highest Volume — 6,922 contracts2020-03-09 : Largest IV spike — 46.2% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 34.9%Monthly Statistics Metric Avg Min Max Open Close Price $20.62 $18.61 $22.54 $21.66 $20.94 Max Pain $26.82 $22.50 $27.50 $22.50 $27.50 ATM IV 96.7% 77.0% 121.8% 86.0% 79.7% Expected Move 26.9% 21.3% 34.9% 24.7% 22.8% HV 20d 55.8% 33.7% 77.1% 35.2% 77.1% HV 60d 41.3% 31.2% 50.2% 39.9% 50.2% IV Rank 78.1% 51.2% 100.0% 76.3% 51.6% IV Percentile 97.5% 90.9% 100.0% 99.2% 90.9% Term Structure -18.0% -40.7% -5.2% -22.1% -7.1% VWIV 94.2% 74.0% 120.5% 87.3% 78.4% Skew 25d 8.8% 0.0% 26.6% 5.2% 8.1% Skew 10d 15.1% -13.4% 42.8% 5.0% -0.5% Call IV 25d 90.2% 73.9% 111.9% 83.9% 76.6% Put IV 25d 99.0% 75.1% 124.7% 89.1% 84.7% Bid-Ask Spread % 65.07 47.71 81.74 47.71 81.74 Gamma HHI 0.21 0.18 0.26 0.23 0.23 Net GEX -148.2K -342.7K -1.2K -342.7K -248.4K Net DEX 26.4M 17.6M 31.1M 29.9M 30.2M Net VEX -105.4K -144.0K -72.9K -113.4K -81.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.03 4.19 0.03 0.70 Total Volume 1,206.091 198 6,922 6,922 2,072 Total OI 44,857.636 37,744 48,906 38,932 40,138
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 2020-03-02 $21.66 $22.50 86.0% 24.7% 35.2% 76.3% 87.3% 5.2% -22.1% -342.7K 29.9M -113.4K 0.03 47.71 N/A N/A 6,748 174 12,466 26,466 2020-03-03 $21.48 $22.50 88.8% 25.4% 35.2% 80.4% 87.9% 1.1% -21.3% -148.3K 27.1M -115.2K 0.30 54.51 N/A N/A 202 60 18,970 26,494 2020-03-04 $21.41 $22.50 84.5% 24.2% 33.7% 74.1% 85.7% 1.3% -19.4% -152.2K 27.4M -113.2K 0.10 55.20 N/A N/A 2,998 296 19,018 26,538 2020-03-05 $21.20 $27.50 93.1% 21.3% 33.9% 86.8% 77.7% 1.3% -13.1% -93.0K 24.5M -126.8K 0.61 55.42 N/A N/A 594 360 21,038 26,754 2020-03-06 $22.45 $27.50 77.0% 21.4% 39.7% 63.0% 74.0% 1.1% -9.6% -16.4K 17.6M -144.0K 0.09 72.07 N/A N/A 2,906 262 21,334 27,006 2020-03-09 $21.35 $27.50 112.5% 24.4% 43.4% 100.0% 82.9% 0.0% -16.9% -52.3K 22.0M -127.7K 2.22 65.91 N/A N/A 282 626 21,820 27,024 2020-03-10 $22.54 $27.50 92.9% 23.1% 47.5% 74.9% 83.9% 0.9% -9.9% -1.2K 18.9M -137.5K 1.73 62.36 N/A N/A 202 350 21,690 26,876 2020-03-11 $20.93 $27.50 85.0% 24.4% 54.4% 64.7% 86.4% 5.5% -14.2% -74.9K 24.0M -121.4K 1.27 48.02 N/A N/A 110 140 21,742 26,842 2020-03-12 $19.87 $27.50 97.5% 27.9% 57.2% 80.7% 101.4% 0.5% -18.5% -99.8K 25.6M -110.4K 0.96 52.38 N/A N/A 352 338 21,694 26,920 2020-03-13 $20.06 $27.50 108.6% 31.1% 57.4% 95.0% 103.3% 7.1% -36.1% -90.5K 25.4M -113.2K 1.87 66.22 N/A N/A 76 142 21,892 26,952 2020-03-16 $20.00 $27.50 109.0% 31.3% 55.9% 95.5% 112.9% 0.2% -27.1% -113.5K 26.5M -105.9K 3.05 54.28 N/A N/A 80 244 21,874 26,938 2020-03-17 $19.63 $27.50 112.9% 32.4% 55.8% 100.0% 96.4% 11.6% -28.8% -126.9K 27.2M -102.9K 2.09 59.64 N/A N/A 64 134 21,900 26,898 2020-03-18 $20.08 $27.50 121.8% 34.9% 55.4% 100.0% 120.5% 20.0% -40.7% -88.8K 23.8M -108.2K 2.40 74.78 N/A N/A 292 702 21,910 26,924 2020-03-19 $20.77 $27.50 106.8% 30.6% 57.0% 82.8% 111.4% 19.1% -19.1% -116.1K 24.7M -112.2K 1.97 71.68 N/A N/A 140 276 21,886 27,020 2020-03-20 $20.73 $27.50 107.3% 30.8% 56.6% 83.3% 102.7% 14.3% -30.0% -219.7K 28.5M -101.7K 3.14 64.98 N/A N/A 98 308 21,958 26,800 2020-03-23 $18.61 $27.50 115.0% 33.0% 66.7% 92.2% 108.8% 26.6% -11.9% -189.0K 29.6M -79.2K 1.32 71.56 N/A N/A 766 1,010 12,976 24,768 2020-03-24 $20.04 $27.50 93.0% 26.6% 72.1% 66.9% 91.2% 3.9% -11.4% -229.2K 30.7M -80.2K 0.97 73.44 N/A N/A 362 352 13,574 25,412 2020-03-25 $19.45 $27.50 89.3% 25.6% 72.3% 62.7% 102.9% 22.6% -5.9% -204.5K 29.1M -82.1K 1.22 77.44 N/A N/A 108 132 13,790 25,210 2020-03-26 $19.20 $27.50 94.7% 27.1% 72.1% 68.8% 97.6% 11.2% -14.9% -200.1K 31.1M -72.9K 4.19 75.42 N/A N/A 42 176 13,924 25,136 2020-03-27 $19.87 $27.50 93.1% 26.7% 72.2% 67.0% 94.7% 17.5% -12.2% -210.3K 29.9M -78.0K 0.71 72.73 N/A N/A 204 144 13,942 25,146 2020-03-30 $21.43 $27.50 79.3% 22.7% 76.7% 51.2% 84.9% 15.3% -5.2% -242.3K 27.8M -90.9K 0.55 74.09 N/A N/A 1,036 574 14,080 25,128 2020-03-31 $20.94 $27.50 79.7% 22.8% 77.1% 51.6% 78.4% 8.1% -7.1% -248.4K 30.2M -81.9K 0.70 81.74 N/A N/A 1,220 852 14,626 25,512
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