FIZZ Options History — July 2008

In July 2008, FIZZ traded between $3.43 and $3.93. ATM implied volatility averaged 62.3%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 10.0% (HV 20d: 52.3%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.42.

Notable Days

2008-07-03: Highest Volume — 100 contracts
2008-07-18: Largest IV spike — 57.6% change
2008-07-09: Highest IV Rank — 76.4%
2008-07-18: Largest Expected Move — 25.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.69	$3.43	$3.93	$3.52	$3.90
Max Pain	$3.75	$3.75	$3.75	$3.75	$3.75
ATM IV	62.3%	36.4%	90.6%	56.0%	56.0%
Expected Move	17.2%	10.4%	25.4%	16.1%	16.1%
HV 20d	52.3%	30.9%	66.4%	41.5%	62.3%
HV 60d	44.7%	39.0%	49.1%	43.3%	48.4%
IV Rank	38.3%	3.5%	76.4%	29.9%	29.9%
IV Percentile	66.5%	0.8%	98.4%	58.7%	55.2%
Term Structure	-1.0%	-27.1%	31.1%	-5.1%	-22.2%
VWIV	60.4%	45.9%	74.1%	64.9%	45.9%
Bid-Ask Spread %	132.71	59.61	186.38	139.35	157.09
Gamma HHI	0.74	0.44	0.92	0.80	0.58
Net GEX	1.6K	373	5.6K	1.7K	657
Net DEX	-28.8K	-107.0K	54.5K	-29.3K	-86.0K
Net VEX	-166	-242	-106	-239	-106
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	2.50	2.13	0.00
Total Volume	20.909	0	100	0	0
Total OI	685.636	226	962	914	380

Daily Data (22 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
2008-07-01	$3.52	$3.75	56.0%	16.1%	41.5%	29.9%	0.0%	0.0%	-5.1%	1.7K	-29.3K	-239	0.00	139.35	N/A	N/A	0	0	514	400
2008-07-02	$3.52	$3.75	79.7%	22.9%	40.7%	61.8%	0.0%	0.0%	-20.5%	1.4K	-15.1K	-242	0.00	163.99	N/A	N/A	0	0	514	400
2008-07-03	$3.49	$3.75	64.9%	18.6%	37.1%	41.8%	64.9%	0.0%	-16.4%	1.4K	7.6K	-203	2.13	96.54	N/A	N/A	32	68	514	400
2008-07-07	$3.43	$3.75	71.9%	16.2%	30.9%	51.2%	0.0%	0.0%	-2.8%	1.0K	11.0K	-203	0.00	86.15	N/A	N/A	0	20	514	440
2008-07-08	$3.67	$3.75	59.9%	14.7%	40.1%	35.1%	0.0%	0.0%	3.1%	1.5K	83	-217	0.00	59.61	N/A	N/A	6	0	514	440
2008-07-09	$3.54	$3.75	90.6%	18.3%	41.8%	76.4%	0.0%	0.0%	2.4%	1.1K	-23.2K	-230	0.00	118.13	N/A	N/A	0	0	520	440
2008-07-10	$3.63	$3.75	60.4%	17.3%	41.9%	35.8%	0.0%	0.0%	-5.3%	1.3K	-13.0K	-217	0.00	85.72	N/A	N/A	0	0	520	440
2008-07-11	$3.71	$3.75	68.5%	19.6%	42.6%	46.6%	0.0%	0.0%	-7.9%	1.3K	-25.2K	-217	0.00	180.67	N/A	N/A	60	0	520	440
2008-07-14	$3.54	$3.75	65.5%	18.8%	46.0%	42.7%	0.0%	0.0%	16.7%	1.1K	1.8K	-183	0.00	178.86	N/A	N/A	0	0	520	440
2008-07-15	$3.67	$3.75	63.9%	18.3%	47.5%	40.5%	0.0%	0.0%	7.7%	3.0K	22.9K	-164	0.00	148.06	N/A	N/A	0	0	520	440
2008-07-16	$3.81	$3.75	56.6%	16.2%	49.1%	30.7%	56.7%	0.0%	-22.3%	654	-107.0K	-106	2.50	101.54	N/A	N/A	8	20	520	440
2008-07-17	$3.87	$3.75	56.3%	16.1%	49.1%	30.2%	0.0%	0.0%	22.5%	2.2K	-102.3K	-132	0.00	186.38	N/A	N/A	52	0	520	440
2008-07-18	$3.47	$3.75	88.6%	25.4%	63.6%	73.7%	74.1%	0.0%	-3.3%	433	54.5K	-106	0.00	146.47	N/A	N/A	26	0	522	440
2008-07-21	$3.55	$3.75	82.6%	23.7%	64.0%	65.7%	0.0%	0.0%	-27.1%	517	-13.0K	-113	0.00	142.96	N/A	N/A	0	0	158	68
2008-07-22	$3.76	$3.75	52.1%	15.0%	65.9%	24.7%	0.0%	0.0%	3.7%	1.4K	-16.2K	-111	0.00	142.32	N/A	N/A	34	0	158	68
2008-07-23	$3.76	$3.75	66.6%	19.1%	65.9%	44.1%	60.6%	0.0%	-3.7%	823	-24.1K	-145	0.00	117.84	N/A	N/A	46	0	184	68
2008-07-24	$3.86	$3.75	50.4%	14.5%	66.4%	22.3%	45.9%	0.0%	-5.6%	1.5K	-35.1K	-146	0.00	137.84	N/A	N/A	40	0	224	68
2008-07-25	$3.90	$3.75	36.4%	10.4%	64.1%	3.5%	0.0%	0.0%	15.9%	5.6K	-56.7K	-143	0.00	119.15	N/A	N/A	0	0	264	68
2008-07-28	$3.86	$3.75	43.7%	12.5%	64.3%	13.3%	0.0%	0.0%	8.3%	3.4K	-46.5K	-152	0.00	131.16	N/A	N/A	24	0	264	68
2008-07-29	$3.88	$3.75	41.7%	11.9%	63.3%	10.6%	0.0%	0.0%	31.1%	3.6K	-55.3K	-165	0.00	98.33	N/A	N/A	0	0	288	68
2008-07-30	$3.93	$3.75	58.3%	16.7%	62.1%	32.9%	0.0%	0.0%	9.0%	373	-84.2K	-113	0.00	181.44	N/A	N/A	24	0	288	68
2008-07-31	$3.90	$3.75	56.0%	16.1%	62.3%	29.9%	0.0%	0.0%	-22.2%	657	-86.0K	-106	0.00	157.09	N/A	N/A	0	0	312	68