FIZZ Options History — July 2020 In July 2020, FIZZ traded between $31.64 and $35.20. ATM implied volatility averaged 48.4%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 9.6% (HV 20d: 38.8%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.80.
Notable Days 2020-07-06 : Highest Volume — 13,836 contracts2020-07-02 : Largest IV drop — 33.3% change2020-07-01 : Highest IV Rank — 37.1%2020-07-01 : Largest Expected Move — 19.7%Monthly Statistics Metric Avg Min Max Open Close Price $33.40 $31.64 $35.20 $31.64 $32.09 Max Pain $30.80 $30.00 $32.50 $30.00 $32.50 ATM IV 48.4% 40.6% 68.8% 68.8% 49.5% Expected Move 13.6% 11.6% 19.7% 19.7% 14.2% HV 20d 38.8% 29.0% 48.2% 45.4% 39.4% HV 60d 40.6% 38.7% 44.9% 44.9% 42.4% IV Rank 12.9% 3.6% 37.1% 37.1% 14.1% IV Percentile 33.9% 8.3% 82.9% 82.9% 40.1% Term Structure 3.1% -12.8% 8.9% -12.8% 2.4% VWIV 47.6% 40.9% 69.4% 69.4% 50.1% Skew 25d 3.5% 0.8% 8.3% 4.5% 4.7% Skew 10d 7.5% 1.6% 13.4% 9.9% 9.4% Call IV 25d 46.4% 40.6% 69.3% 69.3% 48.0% Put IV 25d 49.9% 42.7% 73.8% 73.8% 52.7% Bid-Ask Spread % 52.59 35.01 80.29 52.65 80.29 Gamma HHI 0.36 0.17 0.50 0.17 0.44 Net GEX -168.1K -635.0K 390.1K -89.8K -595.6K Net DEX -1.8M -24.1M 18.4M -10.4M 18.4M Net VEX -116.3K -143.1K -78.3K -98.4K -113.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.80 0.03 12.30 0.16 10.95 Total Volume 2,350.727 210 13,836 5,284 8,626 Total OI 36,060.273 22,168 49,638 36,548 24,846
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 2020-07-01 $31.64 $30.00 68.8% 19.7% 45.4% 37.1% 69.4% 4.5% -12.8% -89.8K -10.4M -98.4K 0.16 52.65 N/A N/A 4,544 740 15,494 21,054 2020-07-02 $32.67 $30.00 45.9% 13.2% 45.8% 9.8% 49.7% 8.3% 3.0% 356.6K -23.8M -90.2K 0.42 37.34 N/A N/A 3,496 1,454 19,068 21,522 2020-07-06 $32.60 $30.00 46.8% 13.7% 45.5% 10.9% 47.6% 4.2% 2.1% 387.1K -24.1M -78.3K 12.30 50.39 N/A N/A 1,040 12,796 19,184 21,466 2020-07-07 $33.05 $30.00 47.3% 14.0% 45.3% 11.6% 48.8% 6.0% 1.8% 346.2K -17.0M -115.0K 1.96 56.61 N/A N/A 1,486 2,916 19,114 25,710 2020-07-08 $33.95 $30.00 48.5% 13.8% 45.4% 12.9% 48.7% 5.1% 2.0% 353.5K -16.1M -140.8K 0.17 47.57 N/A N/A 1,468 248 19,576 29,820 2020-07-09 $32.66 $30.00 53.4% 14.5% 48.2% 18.8% 50.4% 4.3% -0.0% 147.1K -5.7M -143.1K 0.11 46.52 N/A N/A 1,514 170 19,492 29,900 2020-07-10 $33.59 $30.00 51.9% 14.3% 45.2% 17.0% 49.4% 2.6% 1.7% 316.0K -13.3M -137.0K 0.58 52.51 N/A N/A 482 280 19,442 30,002 2020-07-13 $33.15 $30.00 63.2% 14.7% 45.8% 30.4% 50.6% 3.1% 1.7% 229.8K -10.3M -131.5K 0.03 48.43 N/A N/A 1,050 34 19,514 30,124 2020-07-14 $33.61 $30.00 57.3% 14.3% 45.5% 23.4% 49.3% 2.5% 0.3% 379.2K -14.4M -126.4K 0.09 57.11 N/A N/A 854 80 19,210 30,114 2020-07-15 $33.70 $30.00 48.6% 13.9% 45.5% 13.1% 48.2% 3.7% 1.5% 390.1K -13.3M -120.3K 0.76 56.37 N/A N/A 920 702 18,628 30,114 2020-07-16 $33.40 $30.00 48.1% 13.8% 36.5% 12.5% 47.0% 3.2% 3.2% 73.6K -10.9M -118.1K 0.21 57.98 N/A N/A 708 148 18,706 30,184 2020-07-17 $33.75 $30.00 46.9% 13.4% 36.0% 11.0% 46.6% 3.2% 3.3% -552.7K -12.1M -117.5K 0.46 60.93 N/A N/A 620 288 18,582 30,158 2020-07-20 $33.25 $30.00 45.3% 13.0% 36.0% 9.2% 45.5% 0.8% 6.4% -542.9K 14.2M -113.1K 1.09 64.78 N/A N/A 350 380 5,652 16,516 2020-07-21 $32.97 $30.00 45.0% 12.9% 35.8% 8.8% 45.1% 1.9% 5.5% -586.6K 15.3M -112.7K 3.05 54.37 N/A N/A 74 226 5,676 16,808 2020-07-22 $33.23 $30.00 44.5% 12.8% 35.3% 8.2% 44.5% 1.0% 5.8% -624.2K 14.6M -109.2K 3.90 52.51 N/A N/A 58 226 5,728 16,926 2020-07-23 $33.62 $32.50 44.8% 12.8% 29.0% 8.6% 44.8% 3.0% 4.6% -607.8K 13.7M -115.0K 0.69 42.46 N/A N/A 186 128 5,730 17,136 2020-07-24 $33.55 $32.50 43.2% 12.4% 29.1% 6.6% 43.1% 2.7% 5.6% -628.8K 14.2M -114.7K 0.50 47.76 N/A N/A 1,276 640 5,812 17,226 2020-07-27 $34.36 $32.50 41.7% 12.0% 29.9% 4.9% 43.2% 3.8% 7.9% -615.4K 11.4M -117.9K 0.43 35.01 N/A N/A 314 134 6,836 17,788 2020-07-28 $34.21 $32.50 41.2% 11.8% 29.5% 4.3% 40.9% 3.1% 7.5% -635.0K 11.8M -115.0K 0.67 53.54 N/A N/A 170 114 7,010 17,860 2020-07-29 $35.20 $32.50 40.6% 11.6% 30.5% 3.6% 41.5% 2.1% 8.9% -590.0K 8.4M -115.8K 0.10 49.35 N/A N/A 514 52 7,006 17,870 2020-07-30 $34.62 $32.50 43.2% 12.4% 29.5% 6.6% 43.1% 3.2% 6.5% -608.4K 10.3M -116.2K 0.88 52.40 N/A N/A 112 98 6,830 17,892 2020-07-31 $32.09 $32.50 49.5% 14.2% 39.4% 14.1% 50.1% 4.7% 2.4% -595.6K 18.4M -113.0K 10.95 80.29 N/A N/A 722 7,904 6,858 17,988
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