FIZZ Options History — November 2020 In November 2020, FIZZ traded between $39.76 and $49.05. ATM implied volatility averaged 59.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 14.1% (HV 20d: 45.0%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.07.
Notable Days 2020-11-25 : Highest Volume — 16,138 contracts2020-11-09 : Largest IV spike — 14.3% change2020-11-30 : Highest IV Rank — 45.8%2020-11-30 : Largest Expected Move — 21.8%Monthly Statistics Metric Avg Min Max Open Close Price $44.65 $39.76 $49.05 $39.76 $49.05 Max Pain $42.13 $40.00 $42.50 $40.00 $42.50 ATM IV 59.1% 49.5% 76.2% 59.3% 76.2% Expected Move 17.2% 15.4% 21.8% 17.0% 21.8% HV 20d 45.0% 38.9% 51.1% 44.1% 38.9% HV 60d 47.2% 46.1% 49.4% 46.7% 47.2% IV Rank 25.6% 14.1% 45.8% 25.7% 45.8% IV Percentile 59.0% 28.6% 86.5% 63.1% 86.5% Term Structure -3.3% -14.1% 6.8% 5.9% -14.1% VWIV 61.4% 54.6% 77.4% 59.9% 77.4% Skew 25d 1.7% -4.2% 7.2% 7.2% -0.2% Skew 10d 3.9% -8.1% 14.4% 13.4% -1.8% Call IV 25d 60.5% 52.4% 79.3% 57.7% 79.3% Put IV 25d 62.1% 55.8% 79.2% 64.9% 79.2% Bid-Ask Spread % 54.66 43.70 62.14 53.31 50.01 Gamma HHI 0.26 0.19 0.45 0.26 0.21 Net GEX -1.8M -3.0M 147.6K -1.8M -2.0M Net DEX 75.8M 25.3M 98.5M 98.2M 66.8M Net VEX -579.2K -779.2K -446.1K -458.1K -779.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.07 3.74 0.29 0.28 Total Volume 5,717 284 16,138 284 12,040 Total OI 78,105.5 66,422 94,922 66,422 94,922
Daily Data (20 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 2020-11-02 $39.76 $40.00 59.3% 17.0% 44.1% 25.7% 59.9% 7.2% 5.9% -1.8M 98.2M -458.1K 0.29 53.31 N/A N/A 220 64 13,020 53,402 2020-11-03 $40.45 $40.00 57.6% 16.5% 42.2% 23.7% 58.8% 4.2% 5.8% -1.8M 96.2M -472.7K 0.47 57.22 N/A N/A 260 122 13,020 53,402 2020-11-04 $40.52 $40.00 53.6% 15.4% 40.6% 19.0% 54.6% 5.1% 6.8% -1.9M 98.5M -462.1K 1.32 60.54 N/A N/A 124 164 13,130 53,504 2020-11-05 $41.44 $42.50 49.5% 16.2% 41.1% 14.2% 57.1% 4.6% -1.5% -2.0M 93.8M -471.4K 1.94 60.85 N/A N/A 542 1,054 13,120 53,540 2020-11-06 $40.89 $42.50 49.5% 16.6% 40.6% 14.1% 58.6% 4.5% -2.9% -2.0M 97.6M -449.2K 3.38 60.20 N/A N/A 170 574 13,176 53,832 2020-11-09 $41.08 $42.50 56.6% 16.2% 40.1% 22.5% 56.9% 1.7% -3.4% -2.1M 97.1M -446.1K 0.07 57.48 N/A N/A 12,222 838 13,228 54,136 2020-11-10 $40.13 $42.50 59.0% 16.8% 39.4% 25.4% 58.7% 0.6% -3.2% -1.3M 96.8M -451.7K 0.07 53.13 N/A N/A 13,664 1,010 20,574 54,674 2020-11-11 $42.83 $42.50 56.3% 16.1% 45.9% 22.2% 56.4% 0.5% -3.5% 147.6K 68.0M -494.5K 0.40 49.53 N/A N/A 10,516 4,180 25,506 55,006 2020-11-12 $43.19 $42.50 54.1% 15.5% 45.8% 19.6% 55.7% 1.8% -3.7% -797.1K 72.6M -476.7K 0.61 62.14 N/A N/A 2,476 1,522 21,024 55,314 2020-11-13 $45.42 $42.50 54.5% 15.6% 48.9% 20.1% 54.6% 3.4% -4.1% -579.6K 48.9M -515.0K 0.16 53.71 N/A N/A 4,738 778 20,732 56,290 2020-11-16 $47.45 $42.50 55.8% 16.0% 50.9% 21.6% 57.7% 1.8% -4.3% -1.2M 31.0M -513.0K 0.34 43.70 N/A N/A 2,206 748 19,844 56,322 2020-11-17 $48.48 $42.50 62.2% 17.8% 49.8% 29.2% 63.7% -0.5% -3.5% -1.2M 25.3M -521.5K 3.42 57.38 N/A N/A 2,078 7,116 19,356 56,546 2020-11-18 $47.19 $42.50 61.3% 17.6% 51.0% 28.2% 63.3% -1.5% -2.5% -1.2M 49.7M -633.1K 3.74 54.24 N/A N/A 1,586 5,938 19,924 63,088 2020-11-19 $47.63 $42.50 61.0% 17.5% 51.0% 27.8% 62.6% 1.0% -4.5% -1.7M 57.3M -712.6K 0.73 54.44 N/A N/A 886 650 20,040 68,342 2020-11-20 $46.66 $42.50 61.2% 17.5% 51.1% 28.0% 63.5% 1.2% -5.7% -2.9M 75.2M -731.7K 1.91 61.98 N/A N/A 1,496 2,862 20,150 71,458 2020-11-23 $47.94 $42.50 59.4% 17.0% 47.3% 25.9% 61.8% 1.4% -3.4% -3.0M 87.6M -741.3K 0.57 54.10 N/A N/A 660 378 13,574 69,108 2020-11-24 $47.53 $42.50 62.5% 17.9% 47.0% 29.6% 65.1% 4.6% -6.7% -2.9M 89.8M -742.9K 1.39 53.74 N/A N/A 294 410 14,024 69,186 2020-11-25 $47.70 $42.50 65.3% 18.7% 42.1% 32.9% 68.7% -4.0% -8.3% -2.8M 87.3M -739.2K 0.10 50.39 N/A N/A 14,714 1,424 14,052 69,276 2020-11-27 $47.66 $42.50 67.6% 19.4% 42.1% 35.6% 72.3% -4.2% -9.5% -2.2M 78.1M -771.9K 0.12 45.08 N/A N/A 3,240 376 23,086 70,182 2020-11-30 $49.05 $42.50 76.2% 21.8% 38.9% 45.8% 77.4% -0.2% -14.1% -2.0M 66.8M -779.2K 0.28 50.01 N/A N/A 9,386 2,654 24,564 70,358
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