FIZZ Options History — December 2008

In December 2008, FIZZ traded between $3.65 and $4.63. ATM implied volatility averaged 96.6%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded below realized volatility by 21.7% (HV 20d: 118.3%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.94.

Notable Days

2008-12-18: Highest Volume — 104 contracts
2008-12-09: Largest IV drop — 52.3% change
2008-12-05: Highest IV Rank — 90.9%
2008-12-03: Largest Expected Move — 45.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.22	$3.65	$4.63	$3.65	$4.50
Max Pain	$4.32	$3.75	$5.00	$3.75	$5.00
ATM IV	96.6%	60.8%	172.3%	139.4%	68.2%
Expected Move	26.9%	17.4%	45.1%	40.0%	19.6%
HV 20d	118.3%	87.3%	130.0%	114.9%	87.3%
HV 60d	121.5%	114.3%	125.4%	119.7%	114.3%
IV Rank	41.2%	17.7%	90.9%	69.4%	22.6%
IV Percentile	79.3%	61.5%	98.0%	90.9%	67.9%
Term Structure	1.9%	-63.8%	45.8%	-26.8%	-1.6%
VWIV	94.5%	83.4%	112.5%	112.5%	87.6%
Bid-Ask Spread %	124.27	84.21	190.54	181.22	110.56
Gamma HHI	0.49	0.40	0.65	0.58	0.54
Net GEX	740	-362	1.8K	779	1.4K
Net DEX	-32.9K	-59.4K	-1.2K	-29.2K	-56.1K
Net VEX	-481	-633	-325	-325	-626
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.00	2.00	1.00	0.00
Total Volume	28.636	0	104	100	20
Total OI	836.091	606	986	606	972

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
2008-12-01	$3.65	$3.75	139.4%	40.0%	114.9%	69.4%	0.0%	0.0%	-26.8%	779	-29.2K	-325	0.00	181.22	N/A	N/A	0	100	426	180
2008-12-02	$4.04	$3.75	115.9%	33.2%	118.6%	53.9%	0.0%	0.0%	-0.3%	788	-31.4K	-410	0.00	155.61	N/A	N/A	0	0	426	280
2008-12-03	$4.27	$3.75	157.3%	45.1%	120.3%	81.1%	0.0%	0.0%	-0.4%	691	-37.3K	-380	0.00	188.41	N/A	N/A	0	0	426	280
2008-12-04	$4.08	$3.75	152.8%	43.8%	116.5%	78.1%	0.0%	0.0%	0.0%	161	-34.5K	-382	0.00	190.54	N/A	N/A	0	0	426	280
2008-12-05	$4.37	$3.75	172.3%	39.5%	118.3%	90.9%	0.0%	0.0%	-63.8%	792	-46.1K	-392	0.00	176.01	N/A	N/A	0	0	426	280
2008-12-08	$4.63	$3.75	145.3%	28.8%	119.7%	73.3%	112.5%	0.0%	20.1%	1.8K	-59.4K	-397	0.00	178.99	N/A	N/A	0	20	426	280
2008-12-09	$4.02	$3.75	69.3%	22.5%	129.8%	23.3%	0.0%	0.0%	35.8%	301	-9.3K	-353	1.00	100.77	N/A	N/A	20	20	426	300
2008-12-10	$4.13	$3.75	71.1%	22.8%	130.0%	24.5%	0.0%	0.0%	45.8%	557	-16.7K	-405	1.00	100.52	N/A	N/A	20	20	446	320
2008-12-11	$3.90	$3.75	79.7%	22.8%	129.2%	30.1%	0.0%	0.0%	34.9%	319	-6.1K	-424	0.00	100.52	N/A	N/A	0	0	466	340
2008-12-12	$3.88	$3.75	83.1%	23.8%	122.2%	32.4%	0.0%	0.0%	22.9%	-77	-1.2K	-406	0.00	100.65	N/A	N/A	0	20	466	340
2008-12-15	$3.89	$3.75	86.9%	24.9%	122.0%	34.9%	0.0%	0.0%	20.1%	-362	-3.2K	-404	0.71	99.69	N/A	N/A	28	20	466	340
2008-12-16	$4.28	$3.75	92.1%	26.4%	125.4%	38.3%	83.4%	0.0%	2.2%	1.0K	-32.9K	-473	2.00	90.87	N/A	N/A	30	60	494	360
2008-12-17	$4.46	$5.00	83.5%	23.9%	125.8%	32.6%	0.0%	0.0%	-31.3%	1.2K	-43.7K	-457	0.00	84.21	N/A	N/A	0	0	522	400
2008-12-18	$4.54	$5.00	80.1%	23.0%	120.3%	30.4%	87.6%	0.0%	-23.7%	1.1K	-58.1K	-517	1.36	94.71	N/A	N/A	44	60	522	400
2008-12-19	$4.21	$5.00	102.3%	29.3%	123.4%	45.0%	0.0%	0.0%	-11.3%	647	-40.0K	-586	1.43	130.05	N/A	N/A	28	40	546	440
2008-12-22	$4.42	$5.00	74.9%	21.5%	122.3%	27.0%	0.0%	0.0%	-1.1%	1.1K	-47.4K	-621	0.00	103.06	N/A	N/A	0	20	492	420
2008-12-23	$4.37	$5.00	73.5%	21.1%	120.7%	26.0%	0.0%	0.0%	-7.4%	837	-37.2K	-633	0.00	102.66	N/A	N/A	20	0	492	440
2008-12-24	$4.36	$5.00	70.1%	20.1%	115.9%	23.8%	0.0%	0.0%	15.8%	595	-36.3K	-588	0.00	108.92	N/A	N/A	0	0	512	440
2008-12-26	$4.34	$5.00	60.8%	17.4%	114.5%	17.7%	0.0%	0.0%	17.6%	1.0K	-35.4K	-592	0.00	113.49	N/A	N/A	0	40	512	440
2008-12-29	$4.28	$5.00	74.6%	21.4%	112.7%	26.8%	0.0%	0.0%	-11.8%	858	-32.0K	-603	0.00	111.52	N/A	N/A	0	0	512	460
2008-12-30	$4.29	$5.00	71.8%	20.6%	92.5%	25.0%	0.0%	0.0%	4.0%	768	-29.6K	-604	0.00	110.95	N/A	N/A	0	0	512	460
2008-12-31	$4.50	$5.00	68.2%	19.6%	87.3%	22.6%	0.0%	0.0%	-1.6%	1.4K	-56.1K	-626	0.00	110.56	N/A	N/A	20	0	512	460