FIZZ Options History — March 2008

In March 2008, FIZZ traded between $3.53 and $4.06. ATM implied volatility averaged 57.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 23.2% (HV 20d: 33.8%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.31.

Notable Days

2008-03-20: Highest Volume — 62 contracts
2008-03-10: Largest IV spike — 50.0% change
2008-03-11: Highest IV Rank — 46.3%
2008-03-11: Largest Expected Move — 19.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.74	$3.53	$4.06	$3.63	$3.83
Max Pain	$4.75	$3.75	$5.00	$3.75	$5.00
ATM IV	57.0%	45.9%	93.4%	60.2%	46.1%
Expected Move	15.5%	13.2%	19.4%	17.3%	13.2%
HV 20d	33.8%	25.2%	42.2%	36.4%	42.2%
HV 60d	51.3%	47.3%	59.9%	59.9%	49.6%
IV Rank	16.9%	7.9%	46.3%	19.5%	8.0%
IV Percentile	42.4%	3.1%	99.5%	69.8%	4.0%
Term Structure	1.5%	-6.3%	6.7%	-4.0%	3.9%
VWIV	53.9%	46.4%	60.5%	60.5%	46.4%
Bid-Ask Spread %	100.64	36.06	144.76	36.06	74.88
Gamma HHI	0.52	0.34	0.78	0.52	0.75
Net GEX	-1.2K	-3.7K	781	-1.0K	-3.5K
Net DEX	141.5K	54.4K	165.1K	142.2K	147.2K
Net VEX	-705	-880	-322	-880	-548
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	1.25	0.00	0.00
Total Volume	8.9	0	62	30	0
Total OI	1,928.5	1,728	2,038	1,978	1,730

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
2008-03-03	$3.63	$3.75	60.2%	17.3%	36.4%	19.5%	60.5%	0.0%	-4.0%	-1.0K	142.2K	-880	0.00	36.06	N/A	N/A	30	0	798	1,180
2008-03-04	$3.63	$3.75	58.8%	16.9%	31.0%	18.4%	0.0%	0.0%	-3.4%	-667	153.5K	-856	0.00	50.48	N/A	N/A	0	0	828	1,180
2008-03-05	$3.69	$3.75	59.9%	17.2%	25.2%	19.2%	0.0%	0.0%	-6.0%	-693	142.9K	-856	0.00	103.08	N/A	N/A	0	0	828	1,180
2008-03-06	$3.54	$3.75	49.4%	14.2%	29.3%	10.8%	0.0%	0.0%	-1.1%	-539	150.1K	-823	0.00	85.52	N/A	N/A	0	0	828	1,180
2008-03-07	$3.54	$5.00	51.4%	15.2%	25.5%	12.3%	0.0%	0.0%	4.1%	-517	161.1K	-781	0.00	98.87	N/A	N/A	0	0	828	1,180
2008-03-10	$3.53	$5.00	77.0%	13.3%	25.4%	33.1%	0.0%	0.0%	5.3%	-768	143.8K	-757	0.00	114.57	N/A	N/A	0	0	828	1,180
2008-03-11	$3.73	$5.00	93.4%	19.4%	31.8%	46.3%	0.0%	0.0%	-1.4%	-756	138.6K	-846	0.00	137.29	N/A	N/A	0	0	828	1,180
2008-03-12	$3.63	$5.00	58.1%	15.3%	32.6%	17.8%	0.0%	0.0%	2.5%	-315	147.3K	-774	0.00	94.73	N/A	N/A	0	0	828	1,180
2008-03-13	$3.69	$5.00	67.3%	19.3%	33.3%	25.2%	0.0%	0.0%	-6.3%	-624	143.9K	-788	0.00	137.65	N/A	N/A	0	0	828	1,180
2008-03-14	$3.67	$5.00	49.4%	14.2%	32.8%	10.7%	49.3%	0.0%	6.2%	-3	160.8K	-739	0.00	102.19	N/A	N/A	0	30	828	1,180
2008-03-17	$3.67	$5.00	60.0%	17.2%	32.4%	19.3%	0.0%	0.0%	0.5%	-931	165.1K	-702	0.00	110.03	N/A	N/A	0	0	828	1,210
2008-03-18	$3.72	$5.00	45.9%	13.2%	31.1%	7.9%	0.0%	0.0%	5.8%	-1.4K	162.3K	-626	0.00	144.76	N/A	N/A	0	0	828	1,208
2008-03-19	$3.69	$5.00	54.5%	15.6%	30.9%	14.9%	0.0%	0.0%	2.6%	781	148.7K	-698	0.00	95.61	N/A	N/A	0	0	828	1,208
2008-03-20	$3.77	$5.00	50.6%	14.5%	31.5%	11.7%	59.5%	0.0%	5.3%	585	148.3K	-660	0.00	93.66	N/A	N/A	62	0	828	1,208
2008-03-24	$4.06	$5.00	55.6%	16.0%	40.2%	15.8%	0.0%	0.0%	-5.1%	-488	54.4K	-322	0.00	105.88	N/A	N/A	0	0	620	1,108
2008-03-25	$3.98	$5.00	53.1%	15.2%	41.1%	13.8%	46.4%	0.0%	3.9%	-2.8K	121.2K	-641	1.25	109.11	N/A	N/A	24	30	620	1,108
2008-03-26	$4.01	$5.00	48.9%	14.0%	40.5%	10.3%	0.0%	0.0%	3.2%	-3.7K	125.6K	-584	0.00	111.68	N/A	N/A	2	0	600	1,128
2008-03-27	$3.92	$5.00	50.5%	14.5%	41.7%	11.6%	0.0%	0.0%	6.7%	-3.0K	130.9K	-617	0.00	105.05	N/A	N/A	0	0	602	1,128
2008-03-28	$3.90	$5.00	50.0%	14.3%	41.8%	11.2%	0.0%	0.0%	6.6%	-3.1K	142.1K	-604	0.00	101.69	N/A	N/A	0	0	602	1,128
2008-03-31	$3.83	$5.00	46.1%	13.2%	42.2%	8.0%	0.0%	0.0%	3.9%	-3.5K	147.2K	-548	0.00	74.88	N/A	N/A	0	0	602	1,128