FIZZ Options History — March 2009 In March 2009, FIZZ traded between $3.61 and $4.70. ATM implied volatility averaged 86.7%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 24.5%. IV traded above realized volatility by 19.5% (HV 20d: 67.2%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-03-26 : Highest Volume — 60 contracts2009-03-13 : Largest IV spike — 149.2% change2009-03-13 : Highest IV Rank — 91.4%2009-03-13 : Largest Expected Move — 49.6%Monthly Statistics Metric Avg Min Max Open Close Price $4.17 $3.61 $4.70 $3.78 $4.58 Max Pain $3.98 $3.75 $5.00 $5.00 $3.75 ATM IV 86.7% 60.2% 173.0% 163.0% 97.4% Expected Move 24.5% 17.3% 49.6% 46.7% 27.9% HV 20d 67.2% 55.0% 74.8% 62.2% 65.4% HV 60d 66.9% 64.2% 72.3% 72.3% 65.9% IV Rank 34.7% 17.3% 91.4% 84.8% 41.7% IV Percentile 64.7% 40.9% 98.0% 97.2% 79.8% Term Structure 8.3% -60.7% 70.6% 26.5% 4.0% VWIV 88.5% 64.6% 112.4% 64.6% 112.4% Bid-Ask Spread % 127.97 82.39 170.34 126.58 169.19 Gamma HHI 0.52 0.40 0.81 0.46 0.57 Net GEX 889 63 2.3K 427 1.2K Net DEX -25.0K -56.3K 6.9K -36.7K -35.4K Net VEX -310 -398 -271 -398 -329 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 3.909 0 60 0 0 Total OI 665.909 618 690 688 690
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 2009-03-02 $3.78 $5.00 163.0% 46.7% 62.2% 84.8% 0.0% 0.0% 26.5% 427 -36.7K -398 0.00 126.58 N/A N/A 0 0 388 300 2009-03-03 $3.61 $5.00 68.6% 19.7% 55.0% 22.8% 0.0% 0.0% 70.6% 233 1.5K -336 0.00 113.46 N/A N/A 0 0 388 300 2009-03-04 $3.75 $5.00 79.6% 22.8% 57.3% 30.0% 0.0% 0.0% -5.6% 392 -10.3K -318 0.00 133.66 N/A N/A 0 0 388 280 2009-03-05 $3.64 $5.00 141.8% 40.7% 56.0% 70.9% 0.0% 0.0% -34.4% 452 -17.0K -351 0.00 160.10 N/A N/A 0 0 388 280 2009-03-06 $3.88 $3.75 77.0% 19.2% 61.4% 28.4% 0.0% 0.0% 4.4% 398 1.2K -277 0.00 131.85 N/A N/A 0 0 388 280 2009-03-09 $3.64 $3.75 76.8% 21.6% 63.6% 28.2% 0.0% 0.0% 44.4% 227 -12.6K -287 0.00 118.93 N/A N/A 0 0 388 280 2009-03-10 $3.71 $3.75 78.9% 20.7% 64.6% 29.6% 0.0% 0.0% -4.7% 63 6.9K -273 0.00 113.76 N/A N/A 0 0 388 280 2009-03-11 $3.67 $3.75 82.9% 22.1% 62.8% 32.3% 0.0% 0.0% -0.9% 67 5.5K -279 0.00 107.79 N/A N/A 0 0 388 280 2009-03-12 $3.98 $3.75 69.4% 19.9% 67.1% 23.4% 0.0% 0.0% 61.5% 362 -17.7K -321 0.00 120.94 N/A N/A 0 0 388 280 2009-03-13 $3.94 $3.75 173.0% 49.6% 67.1% 91.4% 0.0% 0.0% -55.1% 568 -34.4K -359 0.00 160.00 N/A N/A 0 0 388 280 2009-03-16 $4.10 $3.75 70.8% 20.3% 69.3% 24.3% 0.0% 0.0% 56.1% 525 -16.2K -294 0.00 105.25 N/A N/A 0 0 388 280 2009-03-17 $4.33 $3.75 66.8% 19.1% 71.1% 21.7% 0.0% 0.0% -0.6% 831 -17.6K -271 0.00 96.98 N/A N/A 0 0 388 280 2009-03-18 $4.63 $3.75 63.4% 18.2% 74.1% 19.4% 64.6% 0.0% 16.8% 2.1K -40.7K -275 0.00 82.39 N/A N/A 6 0 388 280 2009-03-19 $4.63 $3.75 61.6% 17.7% 74.1% 18.2% 0.0% 0.0% -12.5% 1.5K -43.6K -291 0.00 98.52 N/A N/A 0 0 394 280 2009-03-20 $4.51 $3.75 69.9% 20.0% 74.8% 23.7% 0.0% 0.0% -8.0% 1.3K -41.4K -321 0.00 117.90 N/A N/A 0 0 394 280 2009-03-23 $4.70 $3.75 150.3% 43.1% 73.4% 76.5% 112.4% 0.0% -60.7% 662 -56.3K -338 0.00 170.34 N/A N/A 12 0 338 280 2009-03-24 $4.52 $3.75 64.5% 18.5% 73.8% 20.2% 0.0% 0.0% 12.9% 1.7K -46.2K -306 0.00 118.39 N/A N/A 8 0 350 280 2009-03-25 $4.60 $3.75 66.6% 19.1% 72.0% 21.6% 0.0% 0.0% 25.2% 1.5K -39.7K -277 0.00 121.48 N/A N/A 0 0 350 280 2009-03-26 $4.70 $3.75 62.0% 17.8% 72.1% 18.5% 0.0% 0.0% 8.6% 2.3K -50.7K -282 0.00 156.72 N/A N/A 0 60 350 280 2009-03-27 $4.47 $3.75 60.2% 17.3% 74.0% 17.3% 0.0% 0.0% 1.3% 1.8K -30.7K -319 0.00 147.14 N/A N/A 0 0 350 340 2009-03-30 $4.41 $3.75 62.8% 18.0% 67.7% 19.0% 0.0% 0.0% 32.4% 911 -17.2K -308 0.00 143.90 N/A N/A 0 0 350 340 2009-03-31 $4.58 $3.75 97.4% 27.9% 65.4% 41.7% 0.0% 0.0% 4.0% 1.2K -35.4K -329 0.00 169.19 N/A N/A 0 0 350 340
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