FIZZ Options History — June 2007 In June 2007, FIZZ traded between $5.75 and $6.61. ATM implied volatility averaged 68.3%. The 30-day expected move averaged 19.5%. Max pain ranged from $6.25 to $7.50. Net GEX was positive for 7 of 14 trading days. Term structure was in contango for 2 of 14 days. Put/call ratio averaged 2.94.
Notable Days 2007-06-15 : Highest Volume — 330 contracts2007-06-13 : Largest IV drop — 69.1% change2007-06-12 : Largest Expected Move — 45.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.17 $5.75 $6.61 $6.32 $5.75 Max Pain $7.05 $6.25 $7.50 $6.25 $6.25 ATM IV 68.3% 49.4% 159.8% 159.8% 70.2% Expected Move 19.5% 13.2% 45.8% 45.8% 20.1% Term Structure -12.2% -71.7% 4.0% -71.7% -2.7% VWIV 71.1% 49.9% 163.1% 163.1% 52.4% Bid-Ask Spread % 59.62 28.25 183.67 183.67 46.28 Gamma HHI 0.66 0.47 0.95 0.73 0.75 Net GEX -756 -7.5K 3.6K 1.8K 2.6K Net DEX 121.1K -38.5K 216.2K -38.5K 208.6K Net VEX -438 -596 -266 -279 -492 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.94 0.00 15.50 1.00 4.50 Total Volume 96.714 0 330 40 110 Total OI 741.714 266 1,410 266 1,410
Daily Data (14 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 2007-06-12 $6.32 $6.25 159.8% 45.8% 0.0% 0.0% 163.1% 0.0% -71.7% 1.8K -38.5K -279 1.00 183.67 N/A N/A 20 20 166 100 2007-06-13 $6.29 $6.25 49.4% 13.2% 0.0% 0.0% 0.0% 0.0% 2.0% 546 -20.7K -313 0.00 71.25 N/A N/A 0 0 186 120 2007-06-14 $6.42 $6.25 50.5% 14.5% 0.0% 0.0% 0.0% 0.0% -3.4% -1.9K -32.1K -296 0.00 63.79 N/A N/A 0 0 186 120 2007-06-15 $6.51 $6.25 55.9% 16.0% 0.0% 0.0% 70.9% 0.0% 4.0% -1.5K -31.8K -266 15.50 78.68 N/A N/A 20 310 186 120 2007-06-18 $6.61 $7.50 62.6% 18.0% 0.0% 0.0% 49.9% 0.0% -13.3% -3.5K 117.4K -596 1.00 45.79 N/A N/A 20 20 186 430 2007-06-19 $6.54 $7.50 60.2% 17.3% 0.0% 0.0% 0.0% 0.0% -19.3% -7.5K 129.2K -478 0.00 70.29 N/A N/A 0 0 206 450 2007-06-20 $6.33 $7.50 61.7% 17.7% 0.0% 0.0% 62.3% 0.0% -13.2% -3.0K 144.9K -581 0.00 51.17 N/A N/A 30 0 206 450 2007-06-21 $6.00 $7.50 60.5% 17.4% 0.0% 0.0% 61.8% 0.0% -7.5% -3.2K 193.8K -445 0.67 57.48 N/A N/A 30 20 236 450 2007-06-22 $5.86 $7.50 63.9% 18.3% 0.0% 0.0% 70.9% 0.0% -5.6% -1.5K 216.2K -387 1.10 32.55 N/A N/A 144 158 266 470 2007-06-25 $5.96 $7.50 64.2% 18.4% 0.0% 0.0% 61.9% 0.0% -10.5% 333 202.6K -474 0.17 32.94 N/A N/A 60 10 386 624 2007-06-26 $5.98 $7.50 64.2% 18.4% 0.0% 0.0% 67.1% 0.0% -9.7% 1.3K 196.8K -520 0.86 32.02 N/A N/A 14 12 446 634 2007-06-27 $5.93 $7.50 71.0% 20.4% 0.0% 0.0% 61.1% 0.0% -11.8% 1.4K 211.7K -460 0.00 28.25 N/A N/A 186 0 450 634 2007-06-28 $5.88 $7.50 62.1% 17.8% 0.0% 0.0% 61.0% 0.0% -7.6% 3.6K 196.7K -539 7.50 40.57 N/A N/A 20 150 632 634 2007-06-29 $5.75 $6.25 70.2% 20.1% 0.0% 0.0% 52.4% 0.0% -2.7% 2.6K 208.6K -492 4.50 46.28 N/A N/A 20 90 640 770
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