FIZZ Options History — February 2009 In February 2009, FIZZ traded between $4.09 and $4.75. ATM implied volatility averaged 68.5%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 0.8% (HV 20d: 69.2%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2009-02-04 : Highest Volume — 44 contracts2009-02-10 : Largest IV spike — 20.0% change2009-02-26 : Highest IV Rank — 28.1%2009-02-26 : Largest Expected Move — 22.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.44 $4.09 $4.75 $4.71 $4.09 Max Pain $4.74 $3.75 $5.00 $3.75 $5.00 ATM IV 68.5% 59.6% 76.6% 68.6% 68.8% Expected Move 19.8% 18.3% 22.0% 19.7% 19.7% HV 20d 69.2% 56.9% 77.2% 72.9% 56.9% HV 60d 87.1% 73.4% 93.4% 93.4% 73.4% IV Rank 22.8% 16.9% 28.1% 22.8% 23.0% IV Percentile 60.8% 48.8% 71.4% 61.9% 58.7% Term Structure 21.6% -18.3% 122.2% 4.6% 13.4% VWIV 73.6% 73.6% 73.6% 73.6% 73.6% Bid-Ask Spread % 95.20 80.05 108.73 96.29 105.12 Gamma HHI 0.52 0.45 0.60 0.51 0.52 Net GEX 983 537 1.5K 906 894 Net DEX -38.0K -52.3K -12.8K -40.8K -12.8K Net VEX -438 -504 -366 -432 -368 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 6.947 0 44 12 0 Total OI 774.842 670 848 748 688
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 2009-02-02 $4.71 $3.75 68.6% 19.7% 72.9% 22.8% 0.0% 0.0% 4.6% 906 -40.8K -432 0.00 96.29 N/A N/A 12 0 358 390 2009-02-03 $4.75 $3.75 68.7% 19.7% 72.8% 22.9% 0.0% 0.0% 2.3% 582 -47.9K -476 0.00 102.36 N/A N/A 0 0 370 390 2009-02-04 $4.53 $3.75 65.4% 18.7% 73.6% 20.7% 0.0% 0.0% 3.3% 537 -37.7K -492 0.00 98.84 N/A N/A 44 0 370 390 2009-02-05 $4.62 $3.75 69.2% 19.8% 73.2% 23.2% 0.0% 0.0% -5.2% 937 -47.1K -504 0.00 105.86 N/A N/A 2 0 414 390 2009-02-06 $4.70 $5.00 59.6% 18.3% 73.3% 16.9% 0.0% 0.0% 55.6% 1.1K -52.3K -472 0.00 83.11 N/A N/A 0 0 416 390 2009-02-09 $4.62 $5.00 61.2% 18.9% 72.6% 18.0% 0.0% 0.0% 2.9% 1.5K -51.8K -473 0.00 80.05 N/A N/A 0 0 416 390 2009-02-10 $4.38 $5.00 73.5% 20.5% 74.8% 26.1% 0.0% 0.0% -6.4% 1.2K -36.6K -444 0.00 85.51 N/A N/A 0 0 416 390 2009-02-11 $4.62 $5.00 65.5% 20.0% 76.5% 20.8% 0.0% 0.0% 50.7% 1.0K -48.7K -478 0.00 87.31 N/A N/A 0 0 416 390 2009-02-12 $4.60 $5.00 70.9% 20.3% 75.8% 24.3% 0.0% 0.0% 15.4% 1.3K -51.1K -480 0.00 87.68 N/A N/A 0 0 416 390 2009-02-13 $4.59 $5.00 69.7% 20.0% 75.8% 23.6% 0.0% 0.0% -18.3% 1.4K -43.1K -445 0.00 85.35 N/A N/A 42 0 416 390 2009-02-17 $4.40 $5.00 70.7% 20.3% 77.2% 24.2% 0.0% 0.0% 28.1% 803 -40.6K -467 0.00 86.53 N/A N/A 0 0 458 390 2009-02-18 $4.29 $5.00 70.9% 20.3% 73.0% 24.3% 0.0% 0.0% 2.3% 1.4K -36.6K -393 0.00 94.92 N/A N/A 0 0 458 390 2009-02-19 $4.33 $5.00 64.2% 18.4% 64.7% 19.9% 73.6% 0.0% 122.2% 784 -45.1K -444 0.00 97.22 N/A N/A 12 0 458 390 2009-02-20 $4.34 $5.00 65.2% 18.7% 61.6% 20.6% 0.0% 0.0% 113.4% 751 -39.9K -457 0.00 101.92 N/A N/A 0 0 458 390 2009-02-23 $4.13 $5.00 71.7% 20.6% 64.0% 24.9% 0.0% 0.0% 6.8% 864 -16.7K -366 0.00 94.56 N/A N/A 20 0 370 300 2009-02-24 $4.31 $5.00 68.7% 19.7% 59.0% 22.9% 0.0% 0.0% 21.0% 1.1K -21.0K -387 0.00 101.09 N/A N/A 0 0 388 300 2009-02-25 $4.13 $5.00 71.9% 20.6% 59.3% 25.0% 0.0% 0.0% -0.6% 840 -24.8K -378 0.00 106.38 N/A N/A 0 0 388 300 2009-02-26 $4.18 $5.00 76.6% 22.0% 58.3% 28.1% 0.0% 0.0% -1.0% 894 -28.3K -374 0.00 108.73 N/A N/A 0 0 388 300 2009-02-27 $4.09 $5.00 68.8% 19.7% 56.9% 23.0% 0.0% 0.0% 13.4% 894 -12.8K -368 0.00 105.12 N/A N/A 0 0 388 300
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