FIZZ Options History — June 2008 In June 2008, FIZZ traded between $3.50 and $3.89. ATM implied volatility averaged 55.9%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 15.6% (HV 20d: 40.2%). 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 10 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2008-06-12 : Highest Volume — 144 contracts2008-06-09 : Largest IV spike — 123.3% change2008-06-26 : Highest IV Rank — 55.2%2008-06-26 : Largest Expected Move — 21.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.62 $3.50 $3.89 $3.68 $3.63 Max Pain $3.75 $3.75 $3.75 $3.75 $3.75 ATM IV 55.9% 41.2% 92.2% 62.6% 52.9% Expected Move 15.9% 11.8% 21.5% 18.0% 15.2% HV 20d 40.2% 36.2% 45.8% 40.9% 40.1% HV 60d 43.4% 41.7% 45.1% 43.6% 43.1% IV Rank 25.7% 5.8% 55.2% 22.9% 25.7% IV Percentile 44.3% 4.1% 98.8% 84.1% 41.3% Term Structure -4.4% -23.2% 7.2% -8.3% 7.2% VWIV 52.0% 50.4% 54.4% 54.4% 50.4% Bid-Ask Spread % 115.78 39.36 166.41 166.41 160.66 Gamma HHI 0.58 0.35 0.84 0.38 0.84 Net GEX 942 401 1.5K 570 1.5K Net DEX 6.0K -11.8K 23.4K 764 -5.7K Net VEX -233 -278 -177 -278 -225 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 15.429 0 144 0 36 Total OI 811.524 764 878 780 878
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 2008-06-02 $3.68 $3.75 62.6% 18.0% 40.9% 22.9% 0.0% 0.0% -8.3% 570 764 -278 0.00 166.41 N/A N/A 0 0 370 410 2008-06-03 $3.65 $3.75 41.2% 11.8% 39.5% 5.8% 0.0% 0.0% 4.3% 724 4.5K -255 0.00 103.68 N/A N/A 0 0 370 410 2008-06-04 $3.73 $3.75 44.5% 12.8% 40.3% 8.5% 0.0% 0.0% 5.3% 815 2.7K -261 0.00 88.11 N/A N/A 0 0 370 410 2008-06-05 $3.89 $3.75 47.4% 13.6% 43.0% 10.8% 0.0% 0.0% 6.3% 1.3K -11.8K -266 0.00 112.71 N/A N/A 0 0 370 410 2008-06-06 $3.65 $3.75 41.3% 12.0% 45.8% 5.9% 0.0% 0.0% -6.6% 823 14.0K -230 0.00 156.96 N/A N/A 0 0 370 410 2008-06-09 $3.63 $3.75 92.2% 15.8% 44.6% 46.3% 54.4% 0.0% -0.1% 497 8.3K -247 0.00 147.58 N/A N/A 66 0 370 410 2008-06-10 $3.68 $3.75 43.4% 14.3% 43.8% 7.6% 0.0% 0.0% 1.9% 842 9.1K -232 0.00 102.23 N/A N/A 0 0 364 410 2008-06-11 $3.59 $3.75 49.0% 20.2% 44.0% 12.0% 0.0% 0.0% -17.4% 647 4.5K -258 0.00 118.32 N/A N/A 0 0 364 410 2008-06-12 $3.62 $3.75 51.1% 14.6% 43.5% 23.2% 51.1% 0.0% 2.9% 882 11.8K -220 0.00 91.81 N/A N/A 144 0 364 400 2008-06-13 $3.63 $3.75 54.5% 15.6% 43.2% 27.8% 0.0% 0.0% -2.2% 1.5K -1.6K -261 0.00 95.47 N/A N/A 0 0 438 400 2008-06-16 $3.58 $3.75 52.3% 15.0% 39.8% 24.8% 0.0% 0.0% 0.8% 1.4K 1.8K -239 0.00 94.95 N/A N/A 0 0 438 400 2008-06-17 $3.55 $3.75 51.4% 14.7% 38.1% 23.6% 0.0% 0.0% 0.3% 1.2K 11.8K -223 0.00 96.77 N/A N/A 0 0 438 400 2008-06-18 $3.53 $3.75 50.9% 14.6% 37.2% 22.9% 0.0% 0.0% 1.4% 1.2K 11.0K -216 0.00 95.51 N/A N/A 0 0 438 400 2008-06-19 $3.54 $3.75 73.3% 21.0% 37.3% 53.1% 0.0% 0.0% -20.1% 401 8.5K -226 0.00 159.22 N/A N/A 0 0 438 400 2008-06-20 $3.50 $3.75 71.5% 20.5% 36.2% 50.7% 0.0% 0.0% -23.2% 636 17.6K -199 0.00 134.86 N/A N/A 0 0 438 400 2008-06-23 $3.64 $3.75 53.9% 15.5% 37.3% 27.0% 0.0% 0.0% -17.1% 951 23.4K -177 0.00 120.34 N/A N/A 30 0 400 400 2008-06-24 $3.65 $3.75 49.6% 14.2% 36.3% 21.2% 50.4% 0.0% 0.6% 1.1K 8.6K -215 0.00 99.45 N/A N/A 8 0 430 400 2008-06-25 $3.67 $3.75 50.5% 14.5% 36.3% 22.4% 0.0% 0.0% -2.7% 1.2K -5.6K -230 0.00 39.36 N/A N/A 0 0 438 400 2008-06-26 $3.52 $3.75 74.9% 21.5% 39.6% 55.2% 0.0% 0.0% -12.5% 716 52 -232 0.00 128.54 N/A N/A 40 0 438 400 2008-06-27 $3.51 $3.75 64.7% 18.6% 38.4% 41.5% 0.0% 0.0% -12.2% 905 13.4K -198 0.00 118.53 N/A N/A 0 0 438 400 2008-06-30 $3.63 $3.75 52.9% 15.2% 40.1% 25.7% 0.0% 0.0% 7.2% 1.5K -5.7K -225 0.00 160.66 N/A N/A 36 0 478 400
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