FIZZ Options History — December 2007

In December 2007, FIZZ traded between $3.62 and $4.30. ATM implied volatility averaged 53.0%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 6.2% (HV 20d: 59.1%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.47.

Notable Days

2007-12-07: Highest Volume — 426 contracts
2007-12-13: Largest IV drop — 33.6% change
2007-12-12: Highest IV Rank — 27.9%
2007-12-04: Largest Expected Move — 19.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.05	$3.62	$4.30	$3.65	$4.02
Max Pain	$4.75	$3.75	$5.00	$3.75	$5.00
ATM IV	53.0%	43.8%	70.6%	62.2%	56.9%
Expected Move	14.6%	12.6%	19.4%	17.8%	16.3%
HV 20d	59.1%	23.9%	72.5%	23.9%	72.5%
HV 60d	44.7%	32.4%	50.4%	32.9%	47.4%
IV Rank	12.6%	6.2%	27.9%	8.3%	16.8%
IV Percentile	28.5%	2.2%	91.4%	6.3%	59.3%
Term Structure	5.8%	-17.8%	17.2%	-10.7%	3.5%
VWIV	44.9%	39.6%	53.7%	42.2%	53.7%
Skew 25d	6.8%	-8.8%	22.6%	-7.9%	20.4%
Skew 10d	12.7%	-13.6%	42.9%	-12.2%	42.9%
Call IV 25d	44.9%	31.5%	59.2%	59.2%	39.6%
Put IV 25d	51.7%	40.0%	60.0%	51.2%	60.0%
Bid-Ask Spread %	61.53	33.11	96.82	41.61	96.82
Gamma HHI	0.65	0.49	0.81	0.70	0.76
Net GEX	-503	-5.3K	7.6K	2.3K	-5.2K
Net DEX	-7.8K	-198.4K	176.4K	123.3K	176.4K
Net VEX	-1.1K	-1.2K	-898	-1.1K	-923
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.00	10.00	0.00	0.00
Total Volume	44	0	426	0	0
Total OI	2,648.9	1,914	3,018	2,714	1,926

Daily Data (20 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
2007-12-03	$3.65	$3.75	62.2%	17.8%	23.9%	0.0%	0.0%	-7.9%	-10.7%	2.3K	123.3K	-1.1K	0.00	41.61	N/A	N/A	0	0	1,440	1,274
2007-12-04	$3.62	$3.75	67.5%	19.4%	24.0%	0.0%	0.0%	-8.8%	-17.8%	1.9K	130.9K	-1.1K	0.00	33.11	N/A	N/A	0	20	1,440	1,274
2007-12-05	$3.81	$3.75	54.9%	15.7%	31.4%	0.0%	0.0%	-6.6%	7.6%	3.7K	95.7K	-1.1K	0.00	45.94	N/A	N/A	0	0	1,440	1,274
2007-12-06	$4.05	$3.75	49.2%	14.1%	37.2%	0.0%	42.2%	-1.2%	7.0%	2.5K	-32.7K	-1.2K	0.00	79.66	N/A	N/A	134	0	1,440	1,274
2007-12-07	$3.77	$5.00	50.2%	14.0%	45.0%	0.0%	49.2%	-7.0%	2.8%	5.3K	28.1K	-1.1K	1.01	44.71	N/A	N/A	212	214	1,562	1,274
2007-12-10	$4.15	$5.00	46.4%	12.7%	55.3%	8.3%	0.0%	-1.2%	16.5%	676	-125.3K	-1.1K	0.90	48.45	N/A	N/A	20	18	1,546	1,370
2007-12-11	$3.90	$5.00	55.8%	12.7%	60.5%	15.9%	44.7%	7.9%	10.6%	4.0K	-29.0K	-1.2K	0.00	52.58	N/A	N/A	20	0	1,566	1,388
2007-12-12	$4.14	$5.00	70.6%	13.7%	64.1%	27.9%	0.0%	18.0%	14.7%	1.8K	-99.9K	-1.2K	0.00	64.44	N/A	N/A	0	0	1,550	1,388
2007-12-13	$4.20	$5.00	46.9%	13.4%	64.0%	8.7%	0.0%	19.3%	15.2%	-353	-145.2K	-1.1K	0.00	55.79	N/A	N/A	40	0	1,550	1,388
2007-12-14	$4.17	$5.00	51.1%	14.7%	63.9%	12.1%	40.3%	16.2%	2.7%	-298	-148.7K	-1.1K	2.75	51.85	N/A	N/A	8	22	1,550	1,388
2007-12-17	$3.90	$5.00	55.7%	16.0%	68.4%	15.8%	39.6%	16.2%	0.1%	7.6K	-23.9K	-1.1K	0.04	65.28	N/A	N/A	50	2	1,558	1,410
2007-12-18	$4.16	$5.00	49.2%	14.1%	71.4%	10.6%	0.0%	15.7%	14.8%	-4.4K	-167.6K	-898	10.00	33.77	N/A	N/A	2	20	1,590	1,408
2007-12-19	$4.13	$5.00	48.8%	14.0%	71.5%	10.2%	0.0%	-2.6%	11.5%	-198	-122.8K	-1.1K	0.00	47.32	N/A	N/A	0	0	1,590	1,428
2007-12-20	$4.16	$5.00	47.9%	13.7%	71.0%	9.5%	0.0%	0.2%	17.2%	-5.3K	-151.5K	-1.0K	0.00	57.09	N/A	N/A	0	0	1,590	1,428
2007-12-21	$4.29	$5.00	47.1%	13.5%	71.6%	8.9%	0.0%	22.6%	17.2%	-5.0K	-198.4K	-1.1K	0.00	47.97	N/A	N/A	68	0	1,590	1,428
2007-12-24	$4.30	$5.00	46.9%	13.5%	70.9%	8.8%	0.0%	6.6%	4.5%	-4.5K	110.2K	-1.0K	0.00	96.04	N/A	N/A	0	0	638	1,276
2007-12-26	$4.29	$5.00	43.8%	12.6%	70.7%	6.2%	0.0%	3.9%	-6.3%	-4.4K	111.6K	-968	0.00	80.82	N/A	N/A	0	0	638	1,276
2007-12-27	$4.13	$5.00	53.8%	15.4%	72.4%	14.3%	0.0%	14.6%	4.0%	-4.9K	146.8K	-973	0.00	91.56	N/A	N/A	0	0	638	1,276
2007-12-28	$4.07	$5.00	54.2%	15.5%	72.5%	14.6%	53.7%	10.4%	1.7%	-5.1K	165.2K	-970	0.00	95.88	N/A	N/A	30	0	638	1,276
2007-12-31	$4.02	$5.00	56.9%	16.3%	72.5%	16.8%	0.0%	20.4%	3.5%	-5.2K	176.4K	-923	0.00	96.82	N/A	N/A	0	0	650	1,276