FIZZ Options History — April 2009 In April 2009, FIZZ traded between $4.63 and $5.35. ATM implied volatility averaged 81.3%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 32.3% (HV 20d: 49.0%). Max pain ranged from $3.75 to $6.25. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2009-04-16 : Highest Volume — 96 contracts2009-04-09 : Largest IV spike — 145.6% change2009-04-27 : Highest IV Rank — 74.8%2009-04-27 : Largest Expected Move — 42.4%Monthly Statistics Metric Avg Min Max Open Close Price $5.10 $4.63 $5.35 $4.63 $5.26 Max Pain $6.01 $3.75 $6.25 $3.75 $6.25 ATM IV 81.3% 53.1% 147.7% 56.0% 58.3% Expected Move 24.2% 16.1% 42.4% 16.1% 16.7% HV 20d 49.0% 35.3% 65.6% 64.8% 35.3% HV 60d 62.6% 55.2% 66.9% 65.8% 55.2% IV Rank 31.2% 12.6% 74.8% 14.6% 16.1% IV Percentile 58.7% 27.4% 90.5% 34.1% 31.3% Term Structure 2.4% -59.4% 72.2% 26.8% -10.3% Bid-Ask Spread % 147.61 102.79 186.43 176.41 137.01 Gamma HHI 0.65 0.35 0.91 0.79 0.46 Net GEX 2.2K -42 6.2K 2.1K 195 Net DEX -59.1K -117.7K -14.3K -14.3K -39.5K Net VEX -266 -374 -206 -257 -250 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 9.048 0 96 20 0 Total OI 557.905 334 720 690 388
Daily Data (21 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 2009-04-01 $4.63 $3.75 56.0% 16.1% 64.8% 14.6% 0.0% 0.0% 26.8% 2.1K -14.3K -257 0.00 176.41 N/A N/A 20 0 350 340 2009-04-02 $4.92 $3.75 115.2% 33.0% 65.6% 53.5% 0.0% 0.0% 72.2% 991 -66.3K -359 0.00 148.71 N/A N/A 6 0 370 340 2009-04-03 $4.87 $6.25 112.3% 36.4% 63.4% 51.6% 0.0% 0.0% -6.3% 794 -65.2K -374 0.00 179.66 N/A N/A 0 0 376 340 2009-04-06 $4.88 $6.25 63.0% 22.8% 56.8% 19.2% 0.0% 0.0% 42.8% 3.1K -59.1K -324 0.00 154.28 N/A N/A 0 0 376 340 2009-04-07 $4.82 $6.25 62.9% 20.2% 57.5% 19.1% 0.0% 0.0% -2.4% 3.3K -58.4K -308 0.00 105.78 N/A N/A 0 0 376 340 2009-04-08 $5.11 $6.25 53.1% 22.2% 59.0% 12.6% 0.0% 0.0% -0.9% 6.0K -74.9K -269 0.00 128.61 N/A N/A 0 0 376 340 2009-04-09 $5.14 $6.25 130.3% 37.4% 54.1% 63.4% 0.0% 0.0% -54.5% 184 -117.7K -208 0.00 174.60 N/A N/A 4 0 376 340 2009-04-13 $5.13 $6.25 86.6% 24.8% 53.7% 34.6% 0.0% 0.0% 11.9% 5.8K -93.5K -276 0.00 160.55 N/A N/A 0 0 380 340 2009-04-14 $5.06 $6.25 67.2% 19.3% 53.4% 21.9% 0.0% 0.0% -9.1% 4.1K -80.0K -265 0.00 109.37 N/A N/A 6 0 380 340 2009-04-15 $5.13 $6.25 68.9% 19.7% 50.7% 23.0% 0.0% 0.0% -13.8% 5.8K -91.0K -251 0.00 102.79 N/A N/A 0 0 374 340 2009-04-16 $5.21 $6.25 67.4% 19.3% 46.3% 22.1% 0.0% 0.0% -9.7% 4.8K -92.2K -206 0.00 104.46 N/A N/A 96 0 334 340 2009-04-17 $5.14 $6.25 85.6% 24.5% 46.8% 34.0% 0.0% 0.0% 22.8% 6.2K -95.6K -265 0.00 160.58 N/A N/A 0 0 372 340 2009-04-20 $5.08 $6.25 83.8% 24.0% 45.9% 32.8% 0.0% 0.0% -5.8% 283 -32.9K -248 0.00 162.83 N/A N/A 0 0 174 160 2009-04-21 $5.20 $6.25 59.9% 17.2% 44.7% 17.1% 0.0% 0.0% 10.0% 288 -37.5K -238 0.00 130.71 N/A N/A 0 0 174 160 2009-04-22 $5.24 $6.25 77.7% 22.3% 41.5% 28.8% 0.0% 0.0% 55.1% 324 -39.2K -233 0.00 167.69 N/A N/A 0 0 174 160 2009-04-23 $5.21 $6.25 91.5% 26.2% 41.5% 37.9% 0.0% 0.0% -12.2% 401 -38.8K -236 0.00 156.96 N/A N/A 0 24 174 160 2009-04-24 $5.26 $6.25 89.7% 25.7% 41.2% 36.7% 0.0% 0.0% -6.6% 275 -36.2K -254 0.00 157.44 N/A N/A 0 0 174 184 2009-04-27 $5.22 $6.25 147.7% 42.4% 36.4% 74.8% 0.0% 0.0% -59.4% 381 -35.7K -244 0.00 186.43 N/A N/A 10 0 174 184 2009-04-28 $5.35 $6.25 63.5% 18.2% 35.8% 19.5% 0.0% 0.0% 2.7% 296 -41.2K -239 0.00 139.64 N/A N/A 0 20 184 184 2009-04-29 $5.26 $6.25 66.8% 19.1% 35.3% 21.6% 0.0% 0.0% -3.5% -42 -33.1K -276 0.00 155.31 N/A N/A 4 0 184 204 2009-04-30 $5.26 $6.25 58.3% 16.7% 35.3% 16.1% 0.0% 0.0% -10.3% 195 -39.5K -250 0.00 137.01 N/A N/A 0 0 184 204
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