FIZZ Options History — September 2008

In September 2008, FIZZ traded between $4.06 and $5.04. ATM implied volatility averaged 52.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 14.7% (HV 20d: 67.5%). 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 7 of 21 days. Put/call ratio averaged 0.19.

Notable Days

2008-09-09: Highest Volume — 200 contracts
2008-09-29: Largest IV spike — 86.6% change
2008-09-29: Highest IV Rank — 55.4%
2008-09-29: Largest Expected Move — 23.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.50	$4.06	$5.04	$4.25	$4.43
Max Pain	$3.75	$3.75	$3.75	$3.75	$3.75
ATM IV	52.8%	39.3%	81.2%	39.3%	57.9%
Expected Move	14.8%	9.7%	23.3%	11.3%	16.6%
HV 20d	67.5%	56.1%	89.7%	56.1%	89.7%
HV 60d	58.2%	51.3%	69.8%	51.3%	69.8%
IV Rank	22.1%	6.4%	55.4%	6.4%	28.2%
IV Percentile	39.4%	4.4%	96.0%	4.4%	65.5%
Term Structure	-2.5%	-35.8%	33.7%	-1.6%	-14.8%
VWIV	59.3%	45.4%	74.4%	53.5%	63.8%
Bid-Ask Spread %	117.15	89.60	163.84	113.53	108.61
Gamma HHI	0.74	0.47	0.96	0.47	0.63
Net GEX	2.9K	991	5.4K	1.7K	2.9K
Net DEX	-112.2K	-224.9K	-37.7K	-71.1K	-99.2K
Net VEX	-418	-531	-271	-273	-498
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.67	0.00	0.00
Total Volume	34.19	0	200	0	20
Total OI	738.571	540	1,022	540	1,022

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
2008-09-02	$4.25	$3.75	39.3%	11.3%	56.1%	6.4%	0.0%	0.0%	-1.6%	1.7K	-71.1K	-273	0.00	113.53	N/A	N/A	0	0	418	122
2008-09-03	$4.38	$3.75	44.3%	12.7%	56.9%	12.3%	0.0%	0.0%	7.5%	1.5K	-82.5K	-301	0.00	112.09	N/A	N/A	0	0	418	122
2008-09-04	$4.37	$3.75	54.7%	15.7%	56.2%	24.4%	0.0%	0.0%	-17.7%	1.6K	-82.0K	-284	0.00	115.80	N/A	N/A	0	0	418	122
2008-09-05	$4.25	$3.75	53.2%	9.7%	57.1%	22.6%	0.0%	0.0%	13.4%	1.8K	-72.0K	-271	0.00	114.46	N/A	N/A	0	0	418	122
2008-09-08	$4.58	$3.75	44.0%	14.0%	60.6%	11.9%	0.0%	0.0%	0.1%	991	-97.5K	-283	0.00	99.79	N/A	N/A	40	0	418	122
2008-09-09	$4.47	$3.75	51.3%	13.1%	58.2%	20.5%	53.5%	0.0%	-3.7%	1.5K	-101.1K	-350	0.00	101.24	N/A	N/A	200	0	458	122
2008-09-10	$4.54	$3.75	49.5%	13.7%	58.2%	18.3%	0.0%	0.0%	1.5%	3.2K	-130.4K	-430	0.00	107.39	N/A	N/A	44	0	658	122
2008-09-11	$4.64	$3.75	58.5%	16.8%	58.1%	28.9%	0.0%	0.0%	33.7%	3.0K	-160.0K	-531	0.00	120.61	N/A	N/A	0	0	702	122
2008-09-12	$4.72	$3.75	50.7%	14.5%	58.1%	19.8%	0.0%	0.0%	-1.7%	4.7K	-155.6K	-494	0.00	163.84	N/A	N/A	0	0	702	122
2008-09-15	$4.37	$3.75	64.3%	18.4%	62.0%	35.6%	0.0%	0.0%	-35.8%	3.1K	-125.1K	-449	0.00	154.54	N/A	N/A	2	0	702	120
2008-09-16	$4.44	$3.75	55.3%	15.9%	60.5%	25.1%	0.0%	0.0%	-9.6%	3.2K	-117.0K	-404	0.00	119.51	N/A	N/A	20	0	704	120
2008-09-17	$4.38	$3.75	51.4%	14.7%	60.7%	20.6%	0.0%	0.0%	-19.7%	3.2K	-126.2K	-416	0.00	136.56	N/A	N/A	0	0	724	120
2008-09-18	$4.75	$3.75	51.4%	14.7%	67.4%	20.6%	0.0%	0.0%	-0.3%	3.7K	-179.6K	-488	0.00	106.86	N/A	N/A	0	0	724	120
2008-09-19	$5.04	$3.75	53.7%	15.4%	67.8%	23.3%	45.4%	0.0%	17.6%	5.2K	-224.9K	-483	0.00	147.32	N/A	N/A	40	0	724	120
2008-09-22	$4.61	$3.75	52.8%	15.1%	75.6%	22.2%	0.0%	0.0%	-3.4%	4.0K	-99.6K	-446	0.00	93.35	N/A	N/A	2	0	564	88
2008-09-23	$4.91	$3.75	52.0%	14.9%	75.9%	21.3%	0.0%	0.0%	-2.2%	5.4K	-148.6K	-492	0.00	89.60	N/A	N/A	0	0	604	88
2008-09-24	$4.48	$3.75	50.3%	14.4%	83.4%	19.3%	0.0%	0.0%	-5.8%	4.1K	-97.0K	-443	0.00	93.38	N/A	N/A	0	150	604	88
2008-09-25	$4.54	$3.75	48.5%	13.9%	82.8%	17.2%	0.0%	0.0%	-4.9%	3.6K	-89.4K	-503	0.00	94.28	N/A	N/A	0	0	604	238
2008-09-26	$4.30	$3.75	43.5%	12.5%	84.9%	11.3%	0.0%	0.0%	4.8%	2.3K	-60.1K	-473	0.00	107.72	N/A	N/A	0	40	604	238
2008-09-29	$4.06	$3.75	81.2%	23.3%	87.0%	55.4%	74.4%	0.0%	-8.9%	1.1K	-37.7K	-467	1.67	159.63	N/A	N/A	60	100	604	278
2008-09-30	$4.43	$3.75	57.9%	16.6%	89.7%	28.2%	63.8%	0.0%	-14.8%	2.9K	-99.2K	-498	0.00	108.61	N/A	N/A	20	0	664	358