FIZZ Options History — November 2007 In November 2007, FIZZ traded between $3.57 and $4.04. ATM implied volatility averaged 64.1%. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 37.4% (HV 20d: 26.7%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.17.
Notable Days 2007-11-07 : Highest Volume — 618 contracts2007-11-15 : Largest IV drop — 25.7% change2007-11-12 : Largest Expected Move — 19.6%Monthly Statistics Metric Avg Min Max Open Close Price $3.77 $3.57 $4.04 $4.02 $3.70 Max Pain $3.75 $3.75 $3.75 $3.75 $3.75 ATM IV 64.1% 55.0% 74.7% 56.7% 59.6% Expected Move 17.4% 15.8% 19.6% 16.2% 17.1% HV 20d 26.7% 21.3% 31.6% 31.0% 24.1% HV 60d 39.5% 37.7% 41.2% 40.9% 38.4% Term Structure -5.2% -15.2% 9.2% 8.8% -6.0% VWIV 58.9% 49.9% 64.1% 55.7% 59.6% Skew 25d 0.1% -9.8% 14.3% 7.5% -9.0% Skew 10d 1.3% -15.7% 22.9% 20.2% -14.2% Call IV 25d 52.3% 37.9% 60.3% 50.0% 59.7% Put IV 25d 52.4% 47.7% 61.8% 57.5% 50.7% Bid-Ask Spread % 44.34 23.64 76.08 57.11 34.41 Gamma HHI 0.64 0.46 0.93 0.46 0.71 Net GEX 3.8K -3.6K 19.6K -3.6K 2.4K Net DEX 88.8K -52.0K 177.9K 168.4K 127.2K Net VEX -1.3K -1.5K -1.1K -1.2K -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.17 0.00 10.00 0.01 0.00 Total Volume 96.476 0 618 402 10 Total OI 2,586.381 1,572 3,062 1,572 2,714
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 2007-11-01 $4.02 $3.75 56.7% 16.2% 31.0% 0.0% 55.7% 7.5% 8.8% -3.6K 168.4K -1.2K 0.01 57.11 N/A N/A 400 2 450 1,122 2007-11-02 $4.04 $3.75 55.0% 15.8% 30.6% 0.0% 49.9% 4.3% 9.2% 219 57.8K -1.3K 0.41 58.02 N/A N/A 116 48 840 1,124 2007-11-05 $4.03 $3.75 61.9% 16.7% 30.0% 0.0% 0.0% 3.4% -5.0% 435 65.2K -1.3K 0.00 65.91 N/A N/A 0 0 942 1,148 2007-11-06 $3.98 $3.75 70.2% 17.0% 29.9% 0.0% 55.1% 12.2% -5.9% 839 60.0K -1.3K 0.00 45.18 N/A N/A 200 0 942 1,150 2007-11-07 $3.88 $3.75 73.5% 17.2% 30.1% 0.0% 58.6% 2.9% -4.8% 1.7K 79.7K -1.3K 0.00 46.88 N/A N/A 618 0 1,140 1,150 2007-11-08 $3.81 $3.75 64.7% 17.2% 30.0% 0.0% 0.0% 4.0% -2.9% 7.0K -52.0K -1.5K 0.00 68.26 N/A N/A 0 2 1,758 1,150 2007-11-09 $3.71 $3.75 70.4% 17.2% 29.2% 0.0% 0.0% 14.3% -0.7% 7.2K 17.0K -1.5K 0.30 76.08 N/A N/A 20 6 1,758 1,148 2007-11-12 $3.72 $3.75 74.7% 19.6% 29.5% 0.0% 0.0% 10.9% -15.2% 7.7K 20.6K -1.4K 0.00 50.61 N/A N/A 20 0 1,758 1,154 2007-11-13 $3.73 $3.75 71.7% 18.4% 29.8% 0.0% 64.1% -4.5% -8.4% 9.2K 16.1K -1.4K 10.00 58.52 N/A N/A 10 100 1,758 1,154 2007-11-14 $3.71 $3.75 74.7% 17.2% 29.6% 0.0% 0.0% 7.9% -7.5% 7.4K 68.5K -1.4K 0.00 32.35 N/A N/A 0 20 1,768 1,254 2007-11-15 $3.79 $3.75 55.5% 15.9% 31.6% 0.0% 0.0% -4.1% -2.5% 15.1K 6.6K -1.4K 0.00 27.24 N/A N/A 0 60 1,768 1,254 2007-11-16 $3.75 $3.75 59.5% 17.1% 23.4% 0.0% 0.0% 12.3% -5.8% 19.6K 31.3K -1.4K 0.00 39.00 N/A N/A 80 0 1,768 1,294 2007-11-19 $3.72 $3.75 65.5% 18.8% 23.1% 0.0% 62.9% -5.0% -13.6% 406 120.2K -1.3K 0.00 31.23 N/A N/A 0 60 1,262 1,288 2007-11-20 $3.71 $3.75 65.0% 18.6% 22.7% 0.0% 0.0% -6.6% -11.3% -35 136.2K -1.3K 0.00 31.63 N/A N/A 0 2 1,262 1,340 2007-11-21 $3.65 $3.75 60.6% 17.4% 22.9% 0.0% 0.0% -7.6% -7.4% 130 162.2K -1.2K 0.00 33.19 N/A N/A 0 0 1,262 1,342 2007-11-23 $3.67 $3.75 59.6% 17.1% 22.3% 0.0% 0.0% -9.8% -6.2% 273 175.7K -1.2K 0.00 47.42 N/A N/A 0 0 1,262 1,342 2007-11-26 $3.60 $3.75 62.6% 18.0% 21.3% 0.0% 62.8% -6.4% -5.8% 362 160.4K -1.2K 0.00 34.97 N/A N/A 10 0 1,262 1,342 2007-11-27 $3.57 $3.75 61.7% 17.7% 21.3% 0.0% 0.0% -9.2% -7.7% 430 177.9K -1.1K 3.33 34.95 N/A N/A 6 20 1,272 1,342 2007-11-28 $3.67 $3.75 61.1% 17.5% 24.4% 0.0% 61.2% -9.1% -5.3% 874 170.9K -1.1K 0.00 23.64 N/A N/A 216 0 1,278 1,274 2007-11-29 $3.63 $3.75 61.3% 17.6% 24.3% 0.0% 0.0% -5.9% -4.9% 2.3K 95.5K -1.2K 0.00 34.50 N/A N/A 0 0 1,444 1,274 2007-11-30 $3.70 $3.75 59.6% 17.1% 24.1% 0.0% 59.6% -9.0% -6.0% 2.4K 127.2K -1.2K 0.00 34.41 N/A N/A 10 0 1,440 1,274
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