FIZZ Options History — May 2009 In May 2009, FIZZ traded between $5.24 and $5.61. ATM implied volatility averaged 71.3%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 42.0% (HV 20d: 29.3%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-05-12 : Highest Volume — 40 contracts2009-05-19 : Largest IV spike — 124.1% change2009-05-12 : Highest IV Rank — 57.8%2009-05-19 : Largest Expected Move — 30.4%Monthly Statistics Metric Avg Min Max Open Close Price $5.45 $5.24 $5.61 $5.24 $5.38 Max Pain $5.06 $5.00 $6.25 $6.25 $5.00 ATM IV 71.3% 47.3% 121.8% 53.0% 53.3% Expected Move 19.9% 13.6% 30.4% 15.2% 15.3% HV 20d 29.3% 24.9% 33.8% 28.5% 33.8% HV 60d 51.7% 46.4% 54.3% 54.3% 46.5% IV Rank 24.3% 8.9% 57.8% 12.6% 11.3% IV Percentile 42.8% 10.7% 83.7% 22.6% 19.4% Term Structure -17.2% -110.6% 49.4% -9.0% -21.2% Bid-Ask Spread % 130.17 101.76 187.41 105.64 149.34 Gamma HHI 0.62 0.35 0.89 0.59 0.81 Net GEX 509 -39 1.2K 399 1.0K Net DEX -66.8K -94.1K -34.4K -36.0K -90.7K Net VEX -225 -262 -195 -239 -209 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 4.7 0 40 0 0 Total OI 393.8 374 428 388 394
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 2009-05-01 $5.24 $6.25 53.0% 15.2% 28.5% 12.6% 0.0% 0.0% -9.0% 399 -36.0K -239 0.00 105.64 N/A N/A 0 0 184 204 2009-05-04 $5.25 $5.00 61.2% 22.5% 28.0% 18.0% 0.0% 0.0% 49.4% 134 -34.4K -250 0.00 138.62 N/A N/A 0 0 184 204 2009-05-05 $5.41 $5.00 54.3% 14.9% 29.4% 13.4% 0.0% 0.0% 5.3% 168 -43.7K -218 0.00 107.28 N/A N/A 0 0 184 204 2009-05-06 $5.54 $5.00 56.3% 16.6% 29.4% 14.8% 0.0% 0.0% 2.0% 183 -50.2K -229 0.00 120.48 N/A N/A 4 0 184 204 2009-05-07 $5.39 $5.00 52.3% 23.0% 24.9% 12.1% 0.0% 0.0% -31.3% -39 -48.6K -198 0.00 105.60 N/A N/A 0 0 182 204 2009-05-08 $5.56 $5.00 59.7% 21.4% 26.9% 17.0% 0.0% 0.0% -11.1% 292 -53.5K -206 0.00 138.49 N/A N/A 0 0 182 204 2009-05-11 $5.54 $5.00 109.9% 21.7% 26.9% 50.0% 0.0% 0.0% 41.7% 55 -46.9K -226 0.00 160.20 N/A N/A 2 0 182 204 2009-05-12 $5.55 $5.00 121.8% 22.2% 26.1% 57.8% 0.0% 0.0% 40.0% 59 -48.0K -227 0.00 159.77 N/A N/A 40 0 184 204 2009-05-13 $5.35 $5.00 81.6% 17.5% 29.9% 31.4% 0.0% 0.0% -3.1% 276 -63.2K -230 0.00 101.76 N/A N/A 0 0 224 204 2009-05-14 $5.42 $5.00 55.9% 16.0% 29.7% 14.5% 0.0% 0.0% 6.4% 281 -64.3K -223 0.00 116.02 N/A N/A 0 0 224 204 2009-05-15 $5.39 $5.00 56.9% 16.3% 29.2% 15.2% 0.0% 0.0% 4.2% 766 -64.9K -219 0.00 114.05 N/A N/A 6 0 224 204 2009-05-18 $5.50 $5.00 47.3% 13.6% 29.2% 8.9% 0.0% 0.0% 8.9% 994 -84.6K -195 0.00 106.08 N/A N/A 4 0 230 144 2009-05-19 $5.54 $5.00 106.1% 30.4% 28.2% 47.5% 0.0% 0.0% -110.6% 560 -86.0K -226 0.00 122.99 N/A N/A 0 0 234 144 2009-05-20 $5.47 $5.00 98.4% 28.2% 28.7% 42.4% 0.0% 0.0% -105.5% 777 -82.1K -228 0.00 187.41 N/A N/A 18 0 234 144 2009-05-21 $5.49 $5.00 54.2% 15.5% 28.6% 13.4% 0.0% 0.0% -7.5% 1.2K -93.6K -218 0.00 108.38 N/A N/A 0 0 250 144 2009-05-22 $5.38 $5.00 58.7% 16.8% 29.6% 14.9% 0.0% 0.0% 5.1% 644 -77.9K -254 0.00 137.49 N/A N/A 0 0 250 144 2009-05-26 $5.61 $5.00 91.7% 26.3% 32.8% 37.0% 0.0% 0.0% -95.5% 485 -84.7K -262 0.00 149.26 N/A N/A 0 0 250 144 2009-05-27 $5.48 $5.00 103.9% 29.8% 33.1% 45.1% 0.0% 0.0% -105.8% 960 -89.7K -225 0.00 160.51 N/A N/A 20 0 250 144 2009-05-28 $5.51 $5.00 49.7% 14.3% 32.4% 8.9% 0.0% 0.0% -6.1% 1.0K -94.1K -214 0.00 114.05 N/A N/A 0 0 250 144 2009-05-29 $5.38 $5.00 53.3% 15.3% 33.8% 11.3% 0.0% 0.0% -21.2% 1.0K -90.7K -209 0.00 149.34 N/A N/A 0 0 250 144
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