FIZZ Options History — December 2020

In December 2020, FIZZ traded between $40.70 and $49.41. ATM implied volatility averaged 55.7%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 11.9% (HV 20d: 43.8%). Max pain ranged from $42.50 to $47.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2020-12-01: Highest Volume — 10,452 contracts
2020-12-09: Largest IV drop — 20.3% change
2020-12-02: Highest IV Rank — 44.5%
2020-12-02: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.18	$40.70	$49.41	$49.41	$42.46
Max Pain	$44.57	$42.50	$47.50	$42.50	$44.50
ATM IV	55.7%	45.3%	75.0%	69.8%	45.3%
Expected Move	15.3%	13.0%	21.5%	20.0%	13.0%
HV 20d	43.8%	38.8%	50.1%	38.8%	41.2%
HV 60d	43.2%	41.2%	47.0%	47.0%	41.7%
IV Rank	21.2%	8.2%	44.5%	38.2%	8.2%
IV Percentile	42.9%	13.1%	85.3%	82.1%	13.1%
Term Structure	-0.0%	-15.9%	5.4%	-12.8%	2.2%
VWIV	54.5%	45.5%	76.9%	70.4%	45.5%
Skew 25d	-0.2%	-2.4%	2.5%	0.4%	1.1%
Skew 10d	-0.5%	-10.5%	4.9%	4.9%	2.7%
Call IV 25d	54.9%	45.5%	78.0%	71.7%	45.5%
Put IV 25d	54.7%	46.6%	77.4%	72.1%	46.6%
Bid-Ask Spread %	59.76	38.31	81.01	54.78	81.01
Gamma HHI	0.21	0.09	0.50	0.18	0.23
Net GEX	-2.9M	-7.6M	0	-1.7M	-2.6M
Net DEX	93.2M	0	125.6M	61.2M	112.7M
Net VEX	-631.0K	-1.5M	0	-793.3K	-556.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.11	2.83	0.27	0.99
Total Volume	3,628.091	524	10,452	10,452	3,146
Total OI	89,985.545	0	193,026	100,642	69,962

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
2020-12-01	$49.41	$42.50	69.8%	20.0%	38.8%	38.2%	70.4%	0.4%	-12.8%	-1.7M	61.2M	-793.3K	0.27	54.78	N/A	N/A	8,250	2,202	28,020	72,622
2020-12-02	$49.22	$45.00	75.0%	21.5%	39.0%	44.5%	76.9%	-0.6%	-15.9%	-2.2M	68.8M	-783.4K	0.20	49.49	N/A	N/A	7,650	1,568	24,682	73,076
2020-12-03	$46.74	$0.00	69.2%	16.3%	44.7%	37.5%	58.2%	2.5%	-0.7%	0	0	0	0.14	62.57	N/A	N/A	6,626	908	0	0
2020-12-04	$48.31	$47.50	67.2%	16.1%	45.3%	35.2%	57.4%	1.5%	0.7%	-4.1M	120.1M	-1.5M	0.15	38.31	N/A	N/A	2,160	328	47,736	145,290
2020-12-07	$47.37	$44.50	73.0%	16.9%	45.8%	42.0%	60.9%	0.5%	-2.1%	-1.8M	51.9M	-702.6K	0.48	40.58	N/A	N/A	4,510	2,162	23,972	72,934
2020-12-08	$46.89	$44.50	74.1%	16.7%	46.2%	43.4%	59.9%	-0.1%	-0.5%	-1.7M	52.6M	-700.1K	0.76	39.61	N/A	N/A	1,448	1,104	26,838	74,614
2020-12-09	$44.55	$44.50	59.1%	16.9%	49.5%	25.5%	60.8%	1.0%	-1.2%	-2.3M	82.0M	-669.0K	0.90	43.25	N/A	N/A	3,396	3,048	26,704	74,690
2020-12-10	$44.28	$44.50	57.5%	16.5%	44.3%	23.7%	57.4%	0.1%	0.0%	-2.6M	87.9M	-664.5K	1.64	54.92	N/A	N/A	1,706	2,792	26,908	76,448
2020-12-11	$41.51	$44.50	51.5%	14.8%	50.1%	16.5%	52.8%	0.7%	5.4%	-3.6M	115.3M	-580.6K	0.38	60.67	N/A	N/A	2,298	874	27,598	75,120
2020-12-14	$40.70	$44.50	51.1%	14.6%	46.4%	16.0%	52.4%	-0.6%	4.4%	-3.8M	125.6M	-546.7K	1.47	61.71	N/A	N/A	1,438	2,112	28,424	75,350
2020-12-15	$41.15	$44.50	50.2%	14.4%	43.1%	14.9%	51.5%	-1.1%	4.3%	-4.2M	122.6M	-560.0K	0.79	63.15	N/A	N/A	914	718	29,104	76,800
2020-12-16	$42.51	$44.50	51.2%	14.7%	44.2%	16.2%	51.7%	-1.5%	4.0%	-3.9M	104.3M	-587.4K	0.17	56.55	N/A	N/A	3,324	568	29,400	76,824
2020-12-17	$42.49	$44.50	48.4%	13.9%	43.6%	12.9%	49.9%	-2.4%	1.6%	-4.0M	101.9M	-593.7K	0.35	61.05	N/A	N/A	1,524	540	30,984	77,010
2020-12-18	$41.95	$44.50	48.0%	13.8%	43.3%	12.3%	49.0%	-1.5%	2.1%	-7.6M	110.5M	-572.1K	0.59	63.28	N/A	N/A	1,178	692	31,676	77,286
2020-12-21	$42.72	$44.50	49.1%	14.1%	43.8%	13.7%	49.7%	-1.3%	0.8%	-2.4M	106.5M	-585.3K	1.38	65.32	N/A	N/A	1,182	1,628	11,784	54,744
2020-12-22	$42.83	$44.50	48.3%	13.8%	42.3%	12.7%	50.0%	-1.2%	1.2%	-2.5M	106.4M	-593.9K	0.23	64.60	N/A	N/A	1,128	264	12,306	56,018
2020-12-23	$43.44	$44.50	46.9%	13.4%	42.9%	10.2%	48.4%	-0.0%	2.3%	-2.5M	103.1M	-597.4K	0.33	67.09	N/A	N/A	422	138	12,796	56,154
2020-12-24	$43.99	$44.50	46.7%	13.4%	43.2%	9.9%	50.5%	0.5%	1.8%	-2.5M	98.7M	-600.5K	2.83	71.83	N/A	N/A	746	2,112	12,862	56,218
2020-12-28	$43.38	$44.50	48.8%	14.0%	43.3%	12.4%	49.9%	-0.3%	-0.0%	-2.6M	104.2M	-583.1K	0.47	69.40	N/A	N/A	624	296	13,004	55,858
2020-12-29	$43.12	$44.50	47.4%	13.6%	41.5%	10.8%	47.9%	-0.7%	0.4%	-2.6M	105.8M	-578.3K	0.26	72.03	N/A	N/A	416	108	13,048	55,880
2020-12-30	$42.95	$44.50	47.0%	13.5%	41.2%	10.4%	47.8%	-1.1%	1.2%	-2.6M	109.1M	-561.3K	0.11	73.45	N/A	N/A	1,410	160	12,976	55,962
2020-12-31	$42.46	$44.50	45.3%	13.0%	41.2%	8.2%	45.5%	1.1%	2.2%	-2.6M	112.7M	-556.6K	0.99	81.01	N/A	N/A	1,584	1,562	13,958	56,004