FIZZ Options History — July 2007 In July 2007, FIZZ traded between $4.88 and $6.22. ATM implied volatility averaged 59.8%. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 16.3% (HV 20d: 43.5%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.55.
Notable Days 2007-07-06 : Highest Volume — 348 contracts2007-07-12 : Largest IV drop — 42.8% change2007-07-03 : Largest Expected Move — 21.5%Monthly Statistics Metric Avg Min Max Open Close Price $5.50 $4.88 $6.22 $5.84 $5.00 Max Pain $5.71 $5.00 $6.25 $6.25 $5.00 ATM IV 59.8% 45.3% 92.1% 53.9% 54.9% Expected Move 15.6% 13.0% 21.5% 15.5% 15.7% HV 20d 43.5% 32.4% 52.9% 33.7% 50.8% Term Structure 0.1% -20.2% 8.4% -20.2% -2.7% VWIV 53.0% 30.1% 76.1% 65.3% 65.6% Skew 25d 5.2% 2.7% 6.1% 5.4% 5.8% Skew 10d 22.2% 18.9% 25.7% 25.7% 21.3% Call IV 25d 51.0% 49.5% 52.5% 51.8% 49.5% Put IV 25d 56.2% 55.2% 57.2% 57.2% 55.3% Bid-Ask Spread % 38.52 15.22 71.76 42.99 31.37 Gamma HHI 0.59 0.42 0.80 0.79 0.42 Net GEX 2.9K -4.2K 7.9K 3.8K 5.4K Net DEX 91.7K -195.0K 255.5K 212.2K -195.0K Net VEX -871 -1.3K -432 -543 -1.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.00 1.47 0.25 0.74 Total Volume 105.048 0 348 50 0 Total OI 1,858.571 1,230 2,370 1,520 2,370
Daily Data (21 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 2007-07-02 $5.84 $6.25 53.9% 15.5% 0.0% 0.0% 65.3% 0.0% -20.2% 3.8K 212.2K -543 0.25 42.99 N/A N/A 40 10 660 860 2007-07-03 $5.75 $6.25 74.8% 21.5% 33.7% 0.0% 0.0% 0.0% -12.9% 2.7K 221.6K -478 0.00 35.42 N/A N/A 0 0 700 860 2007-07-05 $5.63 $6.25 61.6% 17.7% 33.1% 0.0% 30.1% 0.0% 3.3% 1.7K 224.7K -432 1.00 26.00 N/A N/A 20 20 700 860 2007-07-06 $5.65 $6.25 84.0% 16.2% 32.4% 0.0% 52.8% 0.0% -2.2% 1.6K 232.5K -436 0.58 35.69 N/A N/A 220 128 700 880 2007-07-09 $5.82 $6.25 82.4% 16.0% 34.2% 0.0% 0.0% 0.0% 8.4% 4.9K 225.6K -681 0.00 34.94 N/A N/A 62 0 890 996 2007-07-10 $5.72 $6.25 92.1% 17.4% 33.5% 0.0% 0.0% 0.0% 5.5% 4.1K 232.7K -639 0.00 45.50 N/A N/A 0 10 950 996 2007-07-11 $6.01 $6.25 87.0% 16.9% 37.8% 0.0% 43.0% 0.0% 5.5% 449 68.6K -1.1K 0.00 37.72 N/A N/A 22 0 950 1,006 2007-07-12 $6.22 $6.25 49.7% 14.3% 40.0% 0.0% 50.4% 0.0% -4.6% 6.9K 16.9K -1.1K 1.47 71.76 N/A N/A 30 44 970 1,006 2007-07-13 $6.17 $6.25 45.3% 13.0% 39.2% 0.0% 46.5% 0.0% -3.4% 7.9K 6.4K -1.1K 0.15 43.25 N/A N/A 80 12 1,000 1,006 2007-07-16 $5.93 $6.25 53.6% 15.4% 40.9% 0.0% 58.1% 0.0% -1.4% 4.3K 38.9K -1.1K 0.65 47.52 N/A N/A 40 26 1,080 1,018 2007-07-17 $6.00 $6.25 61.0% 17.5% 40.6% 0.0% 76.1% 0.0% 1.0% 2.5K 30.7K -1.1K 0.00 31.96 N/A N/A 0 4 1,078 1,044 2007-07-18 $5.42 $6.25 46.1% 13.2% 52.9% 0.0% 44.4% 0.0% 8.2% 16 245.9K -839 1.22 53.62 N/A N/A 36 44 1,078 1,046 2007-07-19 $5.29 $5.00 50.1% 14.4% 52.5% 0.0% 0.0% 0.0% 5.7% -1.9K 246.7K -844 1.00 48.24 N/A N/A 4 4 1,114 1,050 2007-07-20 $5.20 $5.00 50.8% 14.6% 49.9% 0.0% 54.0% 0.0% 3.1% -4.2K 255.5K -793 0.09 34.89 N/A N/A 138 12 1,138 1,054 2007-07-23 $5.05 $5.00 50.1% 14.4% 50.2% 0.0% 0.0% 0.0% 2.5% 1.4K 53.2K -673 1.14 46.50 N/A N/A 58 66 802 428 2007-07-24 $4.99 $5.00 52.5% 15.1% 49.4% 0.0% 53.7% 0.0% 1.0% 1.0K 57.6K -766 0.04 29.11 N/A N/A 272 12 860 482 2007-07-25 $4.99 $5.00 50.9% 14.6% 49.2% 0.0% 50.6% 5.4% 4.0% 3.4K -20.7K -933 0.32 15.22 N/A N/A 154 50 1,120 464 2007-07-26 $4.92 $5.00 51.3% 14.7% 49.2% 0.0% 51.3% 2.7% 3.4% 4.1K -30.0K -1.0K 0.23 35.76 N/A N/A 172 40 1,274 494 2007-07-27 $4.88 $5.00 52.2% 15.0% 49.2% 0.0% 52.2% 6.1% -2.2% 4.6K -62.4K -1.2K 0.39 30.50 N/A N/A 88 34 1,432 534 2007-07-30 $5.05 $5.00 51.4% 14.7% 51.4% 0.0% 65.6% 5.8% 0.7% 5.8K -135.4K -1.2K 0.74 30.99 N/A N/A 146 108 1,520 560 2007-07-31 $5.00 $5.00 54.9% 15.7% 50.8% 0.0% 0.0% 5.8% -2.7% 5.4K -195.0K -1.3K 0.00 31.37 N/A N/A 0 0 1,718 652
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