FIZZ Options History — September 2007 In September 2007, FIZZ traded between $4.05 and $5.20. ATM implied volatility averaged 56.4%. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 11.8% (HV 20d: 44.6%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.73.
Notable Days 2007-09-10 : Highest Volume — 286 contracts2007-09-10 : Largest IV spike — 21.8% change2007-09-13 : Largest Expected Move — 18.2%Monthly Statistics Metric Avg Min Max Open Close Price $4.39 $4.05 $5.20 $5.14 $4.24 Max Pain $3.75 $3.75 $3.75 $3.75 $3.75 ATM IV 56.4% 47.7% 63.6% 56.0% 55.4% Expected Move 16.4% 14.2% 18.2% 16.1% 15.9% HV 20d 44.6% 32.2% 51.1% 32.8% 44.1% HV 60d 45.2% 42.1% 46.7% 42.6% 45.7% Term Structure 1.4% -6.2% 18.2% -0.1% 13.3% VWIV 49.1% 46.3% 53.7% 53.7% 46.3% Skew 25d 11.9% -0.8% 22.7% 1.1% 20.2% Skew 10d 13.7% -9.3% 25.0% 4.4% 17.8% Call IV 25d 46.8% 39.5% 54.1% 49.3% 41.6% Put IV 25d 58.7% 50.4% 62.8% 50.4% 61.8% Bid-Ask Spread % 50.16 30.17 61.36 41.23 60.64 Gamma HHI 0.41 0.34 0.50 0.45 0.45 Net GEX 2.4K 397 5.1K 5.0K 1.7K Net DEX -52.9K -329.0K 57.1K -305.8K -10.3K Net VEX -1.0K -1.2K -939 -1.1K -1.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.73 0.00 30.50 0.00 0.00 Total Volume 52.632 0 286 0 8 Total OI 2,049.684 1,776 2,324 1,800 2,006
Daily Data (19 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 2007-09-04 $5.14 $3.75 56.0% 16.1% 32.8% 0.0% 0.0% 1.1% -0.1% 5.0K -305.8K -1.1K 0.00 41.23 N/A N/A 0 0 1,312 488 2007-09-05 $5.20 $3.75 50.5% 14.5% 32.2% 0.0% 0.0% 1.9% 4.7% 5.1K -329.0K -1.0K 0.00 37.62 N/A N/A 14 0 1,312 488 2007-09-06 $5.11 $3.75 49.6% 14.2% 33.0% 0.0% 0.0% -0.8% 3.5% 5.1K -312.7K -1.0K 7.50 30.17 N/A N/A 8 60 1,326 488 2007-09-07 $4.62 $3.75 47.7% 15.8% 49.0% 0.0% 0.0% 14.6% -0.7% 3.8K -121.7K -942 0.38 60.15 N/A N/A 52 20 1,326 548 2007-09-10 $4.47 $3.75 58.2% 16.8% 50.1% 0.0% 0.0% 6.7% -4.2% 3.6K -84.6K -939 1.47 58.22 N/A N/A 116 170 1,354 568 2007-09-11 $4.33 $3.75 59.8% 17.9% 51.0% 0.0% 53.7% 6.3% -6.2% 3.0K -27.7K -1.1K 30.50 41.63 N/A N/A 4 122 1,454 738 2007-09-12 $4.33 $3.75 56.2% 17.8% 51.0% 0.0% 0.0% 8.0% -5.9% 2.2K -6.0K -1.2K 0.00 38.25 N/A N/A 10 0 1,454 858 2007-09-13 $4.34 $3.75 63.6% 18.2% 51.1% 0.0% 0.0% 8.9% -4.9% 2.3K -7.4K -1.2K 0.00 38.69 N/A N/A 0 0 1,464 858 2007-09-14 $4.35 $3.75 62.5% 17.9% 50.5% 0.0% 0.0% 9.3% -5.9% 2.2K -5.7K -1.2K 0.00 52.25 N/A N/A 2 0 1,464 858 2007-09-17 $4.22 $3.75 50.9% 14.6% 50.1% 0.0% 0.0% 9.8% 18.2% 2.6K -2.0K -1.1K 0.00 43.11 N/A N/A 0 30 1,466 858 2007-09-18 $4.14 $3.75 61.9% 17.8% 49.9% 0.0% 47.3% 22.7% -4.9% 2.5K 442 -1.1K 0.00 57.99 N/A N/A 60 0 1,466 824 2007-09-19 $4.13 $3.75 57.6% 16.5% 49.9% 0.0% 0.0% 17.0% -2.8% 2.0K 8.5K -997 0.00 51.24 N/A N/A 32 0 1,466 776 2007-09-20 $4.12 $3.75 54.5% 15.6% 41.5% 0.0% 0.0% 15.8% 4.8% 2.4K -1.7K -989 0.00 55.55 N/A N/A 0 30 1,454 776 2007-09-21 $4.16 $3.75 58.5% 16.8% 42.2% 0.0% 0.0% 18.8% -1.0% 502 -8.1K -974 0.00 56.73 N/A N/A 12 0 1,454 776 2007-09-24 $4.12 $3.75 62.6% 18.0% 41.6% 0.0% 0.0% 18.6% -4.3% 464 48.4K -960 0.83 53.05 N/A N/A 24 20 1,062 714 2007-09-25 $4.11 $3.75 59.6% 17.1% 41.6% 0.0% 0.0% 15.6% -1.1% 407 57.1K -967 0.00 56.85 N/A N/A 32 0 1,086 734 2007-09-26 $4.05 $3.75 52.7% 15.1% 41.6% 0.0% 0.0% 15.2% 12.2% 397 56.8K -961 0.00 58.33 N/A N/A 4 0 1,098 734 2007-09-27 $4.21 $3.75 53.1% 15.2% 43.7% 0.0% 46.3% 16.6% 12.7% 587 46.1K -1.0K 0.21 61.36 N/A N/A 140 30 1,102 734 2007-09-28 $4.24 $3.75 55.4% 15.9% 44.1% 0.0% 0.0% 20.2% 13.3% 1.7K -10.3K -1.1K 0.00 60.64 N/A N/A 8 0 1,242 764
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