FIZZ Options History — June 2020 In June 2020, FIZZ traded between $27.94 and $32.13. ATM implied volatility averaged 58.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 15.9% (HV 20d: 42.3%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.36.
Notable Days 2020-06-11 : Highest Volume — 3,546 contracts2020-06-10 : Largest IV spike — 27.2% change2020-06-30 : Highest IV Rank — 35.8%2020-06-30 : Largest Expected Move — 19.4%Monthly Statistics Metric Avg Min Max Open Close Price $29.89 $27.94 $32.13 $29.09 $30.50 Max Pain $29.66 $27.50 $30.00 $27.50 $30.00 ATM IV 58.2% 40.4% 67.8% 49.9% 67.8% Expected Move 17.3% 14.3% 19.4% 14.3% 19.4% HV 20d 42.3% 34.1% 47.3% 41.0% 44.0% HV 60d 50.5% 45.3% 58.0% 58.0% 45.3% IV Rank 24.4% 3.4% 35.8% 14.6% 35.8% IV Percentile 63.7% 7.1% 82.1% 44.4% 82.1% Term Structure -4.3% -12.4% 8.1% 8.1% -12.4% VWIV 60.4% 50.4% 70.0% 50.4% 67.2% Skew 25d 7.7% 3.9% 14.0% 6.2% 6.5% Skew 10d 15.8% 9.7% 21.9% 12.7% 14.2% Call IV 25d 57.8% 49.3% 66.0% 49.8% 66.0% Put IV 25d 65.6% 56.1% 74.5% 56.1% 72.5% Bid-Ask Spread % 55.87 45.80 66.21 51.29 66.21 Gamma HHI 0.25 0.19 0.45 0.23 0.19 Net GEX -25.6K -297.8K 610.4K -247.9K -275.8K Net DEX -2.1M -24.0M 10.4M 4.6M -2.2M Net VEX -119.0K -139.8K -97.1K -139.2K -97.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.36 0.04 6.95 0.09 0.11 Total Volume 1,817.818 320 3,546 1,526 3,350 Total OI 36,984.455 32,064 40,856 35,604 34,982
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 2020-06-01 $29.09 $27.50 49.9% 14.3% 41.0% 14.6% 50.4% 6.2% 8.1% -247.9K 4.6M -139.2K 0.09 51.29 N/A N/A 1,402 124 12,920 22,684 2020-06-02 $28.25 $27.50 52.8% 15.1% 42.9% 18.0% 52.6% 6.6% 6.5% -251.8K 8.6M -136.7K 0.66 56.58 N/A N/A 256 168 13,518 22,700 2020-06-03 $28.69 $27.50 52.4% 15.0% 43.0% 17.6% 51.1% 7.7% 7.0% -215.1K 6.5M -137.4K 6.60 64.86 N/A N/A 244 1,610 13,612 22,822 2020-06-04 $28.30 $30.00 50.2% 16.9% 42.9% 15.0% 58.8% 7.1% -2.3% -297.4K 10.1M -139.1K 5.55 45.80 N/A N/A 428 2,376 13,698 24,270 2020-06-05 $28.98 $30.00 40.4% 15.5% 41.1% 3.4% 57.3% 7.3% -1.5% -235.4K 5.7M -138.5K 0.07 52.41 N/A N/A 2,518 170 13,764 24,270 2020-06-08 $29.59 $30.00 46.1% 16.6% 39.9% 10.1% 57.5% 8.8% -3.5% 100.3K -568.0K -139.8K 0.05 45.93 N/A N/A 1,204 56 16,070 24,272 2020-06-09 $29.25 $30.00 47.2% 16.7% 40.4% 11.4% 58.7% 11.2% -3.8% 138.1K 1.3M -137.9K 0.04 51.14 N/A N/A 1,538 66 16,574 24,282 2020-06-10 $29.16 $30.00 60.0% 17.2% 39.3% 26.7% 59.5% 10.3% -6.3% 183.0K 2.7M -137.0K 0.09 56.68 N/A N/A 450 42 16,574 24,250 2020-06-11 $27.94 $30.00 65.4% 18.8% 42.1% 33.1% 63.2% 4.9% -7.3% -57.0K 10.4M -131.0K 6.95 65.33 N/A N/A 446 3,100 16,536 24,248 2020-06-12 $28.44 $30.00 63.0% 18.1% 41.9% 30.2% 60.6% 7.3% -6.2% 123.6K 6.0M -123.8K 3.92 56.75 N/A N/A 554 2,170 16,534 22,680 2020-06-15 $29.09 $30.00 60.6% 17.4% 35.0% 27.3% 60.9% 6.3% -5.7% 430.4K -937.2K -117.1K 0.62 53.20 N/A N/A 1,746 1,088 16,694 21,794 2020-06-16 $29.25 $30.00 60.7% 17.4% 34.1% 27.4% 60.0% 10.5% -4.8% 605.2K -2.7M -116.2K 0.13 58.59 N/A N/A 282 38 17,348 21,288 2020-06-17 $31.70 $30.00 59.5% 17.1% 43.4% 26.0% 59.3% 7.6% -4.0% 551.8K -23.2M -109.0K 0.16 49.41 N/A N/A 2,918 470 17,466 21,290 2020-06-18 $31.21 $30.00 63.3% 18.1% 43.4% 30.5% 62.2% 7.1% -6.4% 610.4K -18.6M -108.6K 0.39 51.61 N/A N/A 892 348 17,134 21,444 2020-06-19 $31.87 $30.00 60.7% 17.4% 43.7% 27.4% 62.2% 5.7% -6.3% -208.0K -24.0M -103.1K 0.25 55.83 N/A N/A 868 216 17,482 21,522 2020-06-22 $31.50 $30.00 61.9% 17.8% 44.1% 28.9% 62.7% 6.8% -8.3% -222.6K -7.3M -102.7K 0.26 57.30 N/A N/A 474 122 11,984 20,080 2020-06-23 $32.13 $30.00 58.7% 16.8% 43.4% 25.0% 62.1% 3.9% -3.5% -202.8K -10.0M -99.7K 0.71 51.47 N/A N/A 1,076 762 12,032 20,120 2020-06-24 $30.49 $30.00 65.0% 18.6% 47.3% 32.6% 70.0% 7.3% -6.2% -275.3K -2.1M -103.0K 1.64 59.07 N/A N/A 890 1,462 12,430 20,278 2020-06-25 $30.71 $30.00 63.4% 18.2% 45.8% 30.7% 61.4% 7.5% -8.8% -273.9K -3.8M -102.2K 0.35 60.57 N/A N/A 1,426 500 12,804 20,596 2020-06-26 $30.84 $30.00 63.5% 18.2% 45.8% 30.8% 63.2% 9.7% -8.3% -244.3K -4.1M -102.2K 0.56 58.69 N/A N/A 846 470 13,228 20,644 2020-06-29 $30.50 $30.00 66.8% 19.2% 45.5% 34.7% 67.4% 14.0% -11.3% -297.8K -1.9M -97.5K 0.62 60.32 N/A N/A 510 316 13,724 21,016 2020-06-30 $30.50 $30.00 67.8% 19.4% 44.0% 35.8% 67.2% 6.5% -12.4% -275.8K -2.2M -97.1K 0.11 66.21 N/A N/A 3,024 326 13,992 20,990
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