FIZZ Options History — May 2008 In May 2008, FIZZ traded between $3.53 and $4.07. ATM implied volatility averaged 48.2%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 6.3% (HV 20d: 41.9%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2008-05-19 : Highest Volume — 28 contracts2008-05-12 : Largest IV spike — 122.9% change2008-05-12 : Highest IV Rank — 58.3%2008-05-14 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $3.80 $3.53 $4.07 $4.07 $3.75 Max Pain $3.75 $3.75 $3.75 $3.75 $3.75 ATM IV 48.2% 33.8% 108.2% 48.8% 52.7% Expected Move 12.5% 9.7% 18.3% 14.0% 15.1% HV 20d 41.9% 35.4% 50.3% 49.3% 40.5% HV 60d 42.1% 40.1% 44.3% 40.2% 44.3% IV Rank 10.4% 0.0% 58.3% 10.2% 15.0% IV Percentile 22.1% 0.0% 99.6% 12.9% 36.5% Term Structure 3.5% -35.4% 20.0% 7.1% -17.2% VWIV 48.0% 42.0% 54.1% 42.0% 54.1% Bid-Ask Spread % 128.57 72.47 196.36 91.16 104.32 Gamma HHI 0.53 0.37 0.72 0.65 0.56 Net GEX 559 58 857 703 701 Net DEX -8.6K -34.0K 21.6K -32.7K 1.1K Net VEX -308 -379 -245 -363 -259 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2 0 28 0 0 Total OI 777.333 752 780 776 780
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 2008-05-01 $4.07 $3.75 48.8% 14.0% 49.3% 10.2% 0.0% 0.0% 7.1% 703 -32.7K -363 0.00 91.16 N/A N/A 0 0 366 410 2008-05-02 $4.03 $3.75 42.2% 12.1% 49.5% 4.9% 42.0% 0.0% -2.1% 490 -34.0K -379 0.00 72.47 N/A N/A 2 0 366 410 2008-05-05 $3.90 $3.75 55.5% 11.7% 50.3% 15.6% 0.0% 0.0% 12.2% 552 -15.5K -341 0.00 183.99 N/A N/A 0 0 368 410 2008-05-06 $3.91 $3.75 50.7% 11.5% 48.2% 11.8% 0.0% 0.0% 10.6% 634 -15.0K -334 0.00 116.65 N/A N/A 0 0 368 410 2008-05-07 $3.85 $3.75 56.5% 13.5% 46.0% 16.5% 0.0% 0.0% 5.1% 304 -14.8K -362 0.00 97.60 N/A N/A 0 0 368 410 2008-05-08 $4.01 $3.75 43.4% 15.3% 40.4% 5.9% 0.0% 0.0% -7.4% 517 -22.3K -279 0.00 158.54 N/A N/A 0 0 368 410 2008-05-09 $3.88 $3.75 48.5% 12.8% 39.2% 10.0% 0.0% 0.0% 9.1% 303 -23.1K -355 0.00 107.22 N/A N/A 0 0 368 410 2008-05-12 $3.98 $3.75 108.2% 16.7% 38.4% 58.3% 0.0% 0.0% -15.7% 579 -20.9K -317 0.00 131.91 N/A N/A 0 0 368 410 2008-05-13 $4.02 $3.75 59.9% 10.4% 35.4% 19.3% 0.0% 0.0% -0.8% 837 -26.0K -290 0.00 119.25 N/A N/A 0 0 368 410 2008-05-14 $3.92 $3.75 61.3% 18.3% 36.7% 20.4% 0.0% 0.0% -35.4% 404 -16.1K -272 0.00 152.25 N/A N/A 0 0 368 410 2008-05-15 $3.83 $3.75 44.6% 12.8% 37.3% 6.8% 0.0% 0.0% 6.8% 58 -17.7K -328 0.00 98.67 N/A N/A 0 0 368 410 2008-05-16 $3.65 $3.75 44.4% 12.7% 40.4% 6.7% 54.1% 0.0% -0.3% 165 -8.3K -310 0.00 138.66 N/A N/A 12 0 368 410 2008-05-19 $3.53 $3.75 37.6% 10.8% 41.7% 1.2% 0.0% 0.0% 18.8% 774 -4.9K -291 0.00 139.52 N/A N/A 0 28 370 382 2008-05-20 $3.61 $3.75 37.1% 10.6% 41.5% 0.8% 0.0% 0.0% 17.5% 555 9.7K -315 0.00 129.16 N/A N/A 0 0 370 410 2008-05-21 $3.60 $3.75 33.8% 9.7% 40.7% 0.0% 0.0% 0.0% 20.0% 640 8.3K -313 0.00 113.48 N/A N/A 0 0 370 410 2008-05-22 $3.69 $3.75 36.7% 10.5% 41.5% 2.3% 0.0% 0.0% 15.1% 857 5.6K -289 0.00 128.27 N/A N/A 0 0 370 410 2008-05-23 $3.58 $3.75 38.7% 11.1% 40.3% 3.9% 0.0% 0.0% -0.4% 501 21.6K -245 0.00 196.36 N/A N/A 0 0 370 410 2008-05-27 $3.67 $3.75 37.0% 10.6% 41.6% 2.5% 0.0% 0.0% -1.7% 697 12.9K -248 0.00 195.29 N/A N/A 0 0 370 410 2008-05-28 $3.66 $3.75 37.0% 10.6% 41.2% 2.5% 0.0% 0.0% 15.7% 707 6.4K -292 0.00 112.61 N/A N/A 0 0 370 410 2008-05-29 $3.67 $3.75 37.5% 10.7% 39.5% 2.9% 0.0% 0.0% 15.5% 759 5.6K -281 0.00 112.52 N/A N/A 0 0 370 410 2008-05-30 $3.75 $3.75 52.7% 15.1% 40.5% 15.0% 0.0% 0.0% -17.2% 701 1.1K -259 0.00 104.32 N/A N/A 0 0 370 410
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