FIZZ Options History — November 2008

In November 2008, FIZZ traded between $3.50 and $4.61. ATM implied volatility averaged 147.0%, placing in the 74.3% IV rank vs the trailing year. The 30-day expected move averaged 40.6%. IV traded above realized volatility by 22.4% (HV 20d: 124.6%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.52.

Notable Days

2008-11-12: Highest Volume — 600 contracts
2008-11-13: Largest IV spike — 95.6% change
2008-11-11: Highest IV Rank — 99.7%
2008-11-13: Largest Expected Move — 50.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.00	$3.50	$4.61	$4.24	$4.34
Max Pain	$3.82	$3.75	$5.00	$3.75	$3.75
ATM IV	147.0%	43.5%	185.6%	144.4%	43.5%
Expected Move	40.6%	12.5%	50.2%	41.4%	12.5%
HV 20d	124.6%	100.7%	138.5%	137.1%	100.7%
HV 60d	109.5%	105.2%	114.4%	105.8%	114.4%
IV Rank	74.3%	6.4%	99.7%	72.6%	6.4%
IV Percentile	91.1%	8.7%	99.6%	97.6%	8.7%
Term Structure	-24.5%	-50.1%	32.5%	-39.9%	32.5%
VWIV	125.7%	106.6%	161.8%	106.6%	124.2%
Bid-Ask Spread %	185.58	126.17	195.49	126.17	187.75
Gamma HHI	0.72	0.48	0.95	0.50	0.72
Net GEX	-6.7K	-49.4K	1.3K	-1.1K	1.3K
Net DEX	-20.7K	-105.5K	184.8K	-22.0K	-69.4K
Net VEX	-443	-596	-343	-561	-397
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.00	2.00	0.00	0.50
Total Volume	60	0	600	20	20
Total OI	1,174.421	586	1,626	1,226	586

Daily Data (19 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
2008-11-03	$4.24	$3.75	144.4%	41.4%	137.1%	72.6%	0.0%	0.0%	-39.9%	-1.1K	-22.0K	-561	0.00	126.17	N/A	N/A	20	0	476	750
2008-11-04	$4.21	$3.75	158.7%	45.5%	134.0%	82.0%	0.0%	0.0%	-50.1%	-882	-20.5K	-579	0.00	182.71	N/A	N/A	0	100	496	750
2008-11-05	$3.84	$3.75	158.9%	45.6%	138.5%	82.2%	0.0%	0.0%	-20.6%	-9.6K	-4.7K	-521	0.00	179.21	N/A	N/A	0	0	496	850
2008-11-06	$3.96	$3.75	158.6%	45.5%	137.7%	82.0%	0.0%	0.0%	0.0%	-6.7K	-59.4K	-464	0.00	183.72	N/A	N/A	0	0	496	850
2008-11-07	$4.03	$5.00	163.3%	37.2%	133.4%	85.0%	106.6%	0.0%	-12.3%	-4.8K	-80.0K	-425	0.00	181.65	N/A	N/A	0	40	496	850
2008-11-10	$3.88	$3.75	177.4%	40.2%	132.9%	94.3%	0.0%	0.0%	-25.0%	-10.0K	-29.2K	-480	0.00	192.53	N/A	N/A	0	0	496	890
2008-11-11	$3.96	$3.75	185.6%	39.5%	128.9%	99.7%	112.5%	0.0%	-30.6%	-7.2K	-61.8K	-428	0.09	191.02	N/A	N/A	220	20	496	890
2008-11-12	$3.69	$3.75	89.5%	30.1%	130.3%	36.6%	0.0%	0.0%	20.7%	-14.0K	60.4K	-596	2.00	180.30	N/A	N/A	200	400	716	910
2008-11-13	$4.14	$3.75	175.1%	50.2%	122.5%	92.8%	161.8%	0.0%	-39.3%	-2.7K	-105.5K	-421	0.00	190.20	N/A	N/A	20	0	516	710
2008-11-14	$4.04	$3.75	144.6%	41.5%	121.0%	72.8%	0.0%	0.0%	-35.3%	-4.4K	-83.6K	-424	0.00	191.67	N/A	N/A	0	20	536	710
2008-11-17	$3.85	$3.75	150.6%	43.2%	121.8%	76.7%	123.2%	0.0%	-37.7%	-13.7K	-34.7K	-434	0.00	195.24	N/A	N/A	0	20	536	730
2008-11-18	$3.96	$3.75	153.6%	44.0%	121.9%	78.7%	124.2%	0.0%	-44.9%	-6.7K	-75.8K	-406	0.50	194.69	N/A	N/A	40	20	536	750
2008-11-19	$3.60	$3.75	131.6%	37.7%	122.5%	64.2%	0.0%	0.0%	-24.0%	-1.9K	184.8K	-349	0.00	195.24	N/A	N/A	0	0	576	770
2008-11-20	$3.50	$3.75	162.4%	46.6%	122.6%	84.5%	0.0%	0.0%	-20.5%	706	179.6K	-343	0.00	193.33	N/A	N/A	0	0	576	770
2008-11-21	$3.75	$3.75	156.0%	44.7%	123.7%	80.2%	0.0%	0.0%	-32.2%	-49.4K	32.6K	-424	0.00	195.49	N/A	N/A	0	0	576	770
2008-11-24	$4.00	$3.75	154.0%	44.1%	123.4%	78.9%	0.0%	0.0%	-30.6%	1.1K	-50.6K	-371	0.00	193.22	N/A	N/A	0	0	426	160
2008-11-25	$4.40	$3.75	145.7%	41.8%	109.6%	73.5%	0.0%	0.0%	-29.9%	1.3K	-71.0K	-396	0.00	187.22	N/A	N/A	0	0	426	160
2008-11-26	$4.61	$3.75	139.8%	40.1%	105.4%	69.6%	0.0%	0.0%	-21.3%	1.3K	-82.0K	-403	0.00	184.62	N/A	N/A	0	0	426	160
2008-11-28	$4.34	$3.75	43.5%	12.5%	100.7%	6.4%	0.0%	0.0%	32.5%	1.3K	-69.4K	-397	0.00	187.75	N/A	N/A	0	20	426	160