FIZZ Options History — August 2008

In August 2008, FIZZ traded between $4.03 and $4.67. ATM implied volatility averaged 62.6%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 11.1% (HV 20d: 51.5%). 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 15 of 21 days. Put/call ratio averaged 2.05.

Notable Days

2008-08-18: Highest Volume — 210 contracts
2008-08-05: Largest IV spike — 126.6% change
2008-08-13: Highest IV Rank — 100.0%
2008-08-05: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.40	$4.03	$4.67	$4.04	$4.56
Max Pain	$3.75	$3.75	$3.75	$3.75	$3.75
ATM IV	62.6%	39.2%	119.3%	54.3%	41.3%
Expected Move	14.7%	11.2%	21.2%	15.6%	11.9%
HV 20d	51.5%	40.1%	62.9%	62.9%	49.4%
HV 60d	49.3%	47.7%	51.6%	48.8%	50.9%
IV Rank	36.4%	6.3%	100.0%	27.6%	8.8%
IV Percentile	50.9%	4.0%	100.0%	45.2%	5.6%
Term Structure	4.1%	-16.9%	32.9%	32.9%	13.2%
VWIV	49.8%	36.3%	79.1%	36.3%	52.5%
Bid-Ask Spread %	145.41	112.21	174.47	155.76	116.24
Gamma HHI	0.58	0.45	0.83	0.81	0.53
Net GEX	1.7K	1.1K	2.8K	2.2K	1.1K
Net DEX	-102.7K	-163.1K	-68.0K	-80.6K	-88.2K
Net VEX	-218	-328	-136	-173	-328
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.00	20.00	0.00	1.00
Total Volume	39.429	0	210	34	40
Total OI	469.143	364	740	380	540

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
2008-08-01	$4.04	$3.75	54.3%	15.6%	62.9%	27.6%	36.3%	0.0%	32.9%	2.2K	-80.6K	-173	0.00	155.76	N/A	N/A	34	0	312	68
2008-08-04	$4.03	$3.75	44.5%	15.4%	62.3%	14.3%	0.0%	0.0%	3.6%	2.7K	-88.4K	-163	0.00	131.75	N/A	N/A	0	0	336	68
2008-08-05	$4.08	$3.75	100.7%	21.2%	58.1%	90.0%	79.1%	0.0%	5.6%	1.9K	-82.8K	-167	0.00	144.30	N/A	N/A	16	0	336	68
2008-08-06	$4.20	$3.75	65.0%	12.8%	56.5%	41.9%	0.0%	0.0%	4.6%	2.8K	-110.2K	-139	0.00	112.97	N/A	N/A	0	0	352	68
2008-08-07	$4.22	$3.75	78.3%	13.8%	56.2%	59.9%	42.8%	0.0%	-3.8%	2.1K	-108.2K	-158	0.00	164.75	N/A	N/A	22	0	352	68
2008-08-08	$4.43	$3.75	60.3%	16.0%	57.8%	35.6%	0.0%	0.0%	10.3%	1.7K	-134.1K	-136	0.00	160.37	N/A	N/A	42	0	374	68
2008-08-11	$4.67	$3.75	106.5%	14.7%	55.5%	97.8%	53.2%	0.0%	-0.6%	1.6K	-159.0K	-169	0.50	142.17	N/A	N/A	40	20	416	68
2008-08-12	$4.58	$3.75	90.2%	13.9%	56.1%	75.8%	0.0%	0.0%	6.7%	1.4K	-157.1K	-226	0.00	153.01	N/A	N/A	2	0	450	88
2008-08-13	$4.67	$3.75	119.3%	14.4%	55.4%	100.0%	0.0%	0.0%	9.1%	1.1K	-163.1K	-221	0.00	163.33	N/A	N/A	0	0	452	88
2008-08-14	$4.59	$3.75	49.7%	14.3%	56.2%	18.6%	0.0%	0.0%	5.6%	1.4K	-156.0K	-183	0.00	160.35	N/A	N/A	0	200	452	88
2008-08-15	$4.37	$3.75	68.8%	19.7%	42.1%	40.9%	0.0%	0.0%	-16.9%	1.3K	-139.0K	-235	0.00	167.29	N/A	N/A	0	0	452	288
2008-08-18	$4.54	$3.75	53.5%	15.3%	43.2%	23.0%	38.3%	0.0%	13.9%	1.2K	-77.4K	-219	20.00	174.47	N/A	N/A	10	200	286	268
2008-08-19	$4.51	$3.75	55.5%	15.9%	40.2%	25.3%	0.0%	0.0%	0.3%	1.4K	-77.3K	-209	0.00	163.67	N/A	N/A	8	0	296	68
2008-08-20	$4.54	$3.75	47.9%	13.7%	40.1%	16.5%	0.0%	0.0%	12.1%	1.4K	-79.5K	-197	0.00	168.64	N/A	N/A	0	0	304	68
2008-08-21	$4.33	$3.75	49.5%	14.2%	44.3%	18.3%	0.0%	0.0%	-11.6%	1.6K	-68.0K	-204	0.00	150.09	N/A	N/A	94	0	304	68
2008-08-22	$4.46	$3.75	43.9%	12.6%	45.2%	11.7%	0.0%	0.0%	1.9%	1.9K	-88.3K	-283	0.00	129.07	N/A	N/A	0	0	378	68
2008-08-25	$4.24	$3.75	60.7%	17.4%	49.6%	31.4%	0.0%	0.0%	-13.4%	2.1K	-70.6K	-277	0.00	152.88	N/A	N/A	0	0	378	68
2008-08-26	$4.33	$3.75	43.6%	12.5%	50.0%	11.5%	44.9%	0.0%	-6.5%	1.9K	-79.4K	-262	0.00	114.34	N/A	N/A	0	60	378	68
2008-08-27	$4.46	$3.75	39.2%	11.2%	50.7%	6.3%	0.0%	0.0%	10.3%	1.3K	-73.1K	-313	0.00	112.21	N/A	N/A	0	0	378	122
2008-08-28	$4.50	$3.75	42.4%	12.2%	50.4%	10.1%	51.1%	0.0%	9.2%	1.2K	-76.3K	-318	1.00	115.96	N/A	N/A	20	20	378	122
2008-08-29	$4.56	$3.75	41.3%	11.9%	49.4%	8.8%	52.5%	0.0%	13.2%	1.1K	-88.2K	-328	1.00	116.24	N/A	N/A	20	20	398	142