FIZZ Options History — January 2009 In January 2009, FIZZ traded between $4.25 and $4.79. ATM implied volatility averaged 74.3%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 10.2% (HV 20d: 64.1%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-01-09 : Highest Volume — 70 contracts2009-01-12 : Largest IV spike — 42.4% change2009-01-12 : Highest IV Rank — 42.7%2009-01-12 : Largest Expected Move — 23.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.54 $4.25 $4.79 $4.55 $4.36 Max Pain $3.81 $3.75 $5.00 $5.00 $3.75 ATM IV 74.3% 57.9% 98.9% 74.3% 60.5% Expected Move 20.8% 17.3% 23.0% 21.3% 17.3% HV 20d 64.1% 46.9% 85.3% 85.3% 67.4% HV 60d 104.1% 92.1% 113.1% 113.1% 92.1% IV Rank 26.6% 15.8% 42.7% 26.6% 17.5% IV Percentile 68.0% 48.4% 81.7% 71.8% 54.0% Term Structure 14.5% -11.4% 49.8% 11.8% 13.1% VWIV 76.5% 74.6% 78.9% 74.6% 76.2% Bid-Ask Spread % 89.23 66.46 112.57 112.57 100.11 Gamma HHI 0.51 0.40 0.72 0.55 0.41 Net GEX 1.1K 259 3.0K 1.4K 259 Net DEX -48.1K -99.0K -15.2K -68.1K -30.6K Net VEX -535 -643 -251 -643 -507 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 12.4 0 70 24 0 Total OI 920.8 714 1,130 992 748
Daily Data (20 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 2009-01-02 $4.55 $5.00 74.3% 21.3% 85.3% 26.6% 0.0% 0.0% 11.8% 1.4K -68.1K -643 0.00 112.57 N/A N/A 24 0 532 460 2009-01-05 $4.63 $3.75 79.1% 19.5% 83.5% 29.7% 0.0% 0.0% 49.8% 1.9K -70.9K -615 0.00 66.46 N/A N/A 0 6 554 460 2009-01-06 $4.79 $3.75 78.2% 21.6% 81.2% 29.2% 74.6% 0.0% 30.3% 2.5K -99.0K -638 0.00 81.27 N/A N/A 24 0 554 466 2009-01-07 $4.64 $3.75 69.3% 22.0% 79.7% 23.3% 76.5% 0.0% 37.0% 2.5K -85.5K -636 0.00 79.31 N/A N/A 36 0 578 466 2009-01-08 $4.58 $3.75 57.9% 22.0% 60.5% 15.8% 0.0% 0.0% 35.6% 2.8K -75.5K -614 0.00 81.49 N/A N/A 0 0 594 466 2009-01-09 $4.43 $3.75 69.4% 20.8% 61.5% 23.4% 78.9% 0.0% 38.5% 1.9K -54.2K -596 0.00 67.67 N/A N/A 0 70 594 466 2009-01-12 $4.36 $3.75 98.9% 23.0% 58.0% 42.7% 0.0% 0.0% -0.8% 1.0K -27.9K -576 0.00 81.59 N/A N/A 0 0 594 536 2009-01-13 $4.47 $3.75 88.8% 20.7% 58.1% 36.1% 0.0% 0.0% 18.7% 334 -32.9K -563 0.00 85.83 N/A N/A 0 0 594 536 2009-01-14 $4.60 $3.75 88.8% 20.8% 58.6% 36.1% 0.0% 0.0% -11.4% 3.0K -58.4K -578 0.00 109.73 N/A N/A 0 0 594 536 2009-01-15 $4.63 $3.75 75.6% 21.7% 48.7% 27.5% 0.0% 0.0% 40.0% 357 -44.7K -575 0.00 86.51 N/A N/A 0 6 594 536 2009-01-16 $4.58 $3.75 73.3% 21.0% 46.9% 25.9% 0.0% 0.0% 18.2% 393 -42.5K -561 0.00 88.74 N/A N/A 0 0 594 530 2009-01-20 $4.25 $3.75 78.3% 22.5% 53.4% 29.2% 0.0% 0.0% -1.9% 264 -28.7K -521 0.00 82.12 N/A N/A 16 0 360 370 2009-01-21 $4.66 $3.75 76.2% 21.9% 56.7% 27.8% 76.2% 0.0% -3.5% 259 -44.4K -500 0.00 91.90 N/A N/A 8 0 344 370 2009-01-22 $4.41 $3.75 73.8% 21.2% 58.2% 26.3% 0.0% 0.0% -0.9% 325 -35.2K -474 0.00 91.89 N/A N/A 0 0 352 370 2009-01-23 $4.38 $3.75 73.4% 21.0% 58.0% 26.0% 0.0% 0.0% -1.1% 444 -34.0K -461 0.00 94.86 N/A N/A 0 0 352 370 2009-01-26 $4.74 $3.75 69.7% 20.0% 64.4% 23.6% 0.0% 0.0% 3.1% 622 -52.1K -502 0.00 97.77 N/A N/A 36 0 352 370 2009-01-27 $4.56 $3.75 63.8% 18.3% 66.1% 19.7% 0.0% 0.0% 6.7% 734 -29.2K -418 0.00 94.76 N/A N/A 0 20 358 370 2009-01-28 $4.69 $3.75 70.3% 20.2% 66.4% 24.0% 0.0% 0.0% 1.8% 389 -15.2K -251 0.00 98.04 N/A N/A 0 0 358 390 2009-01-29 $4.49 $3.75 65.7% 18.8% 68.7% 20.9% 0.0% 0.0% 5.1% 726 -32.4K -465 0.00 91.88 N/A N/A 2 0 358 390 2009-01-30 $4.36 $3.75 60.5% 17.3% 67.4% 17.5% 0.0% 0.0% 13.1% 259 -30.6K -507 0.00 100.11 N/A N/A 0 0 358 390
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