FIZZ Options History — June 2009 In June 2009, FIZZ traded between $4.79 and $5.62. ATM implied volatility averaged 58.2%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 22.0% (HV 20d: 36.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-06-16 : Highest Volume — 80 contracts2009-06-03 : Largest IV spike — 87.5% change2009-06-03 : Highest IV Rank — 39.0%2009-06-03 : Largest Expected Move — 27.2%Monthly Statistics Metric Avg Min Max Open Close Price $5.22 $4.79 $5.62 $5.50 $5.36 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 58.2% 39.1% 94.7% 52.1% 39.1% Expected Move 17.3% 11.2% 27.2% 14.9% 11.2% HV 20d 36.2% 31.5% 44.9% 34.6% 44.9% HV 60d 38.6% 35.2% 46.0% 46.0% 36.4% IV Rank 14.6% 1.8% 39.0% 10.5% 1.8% IV Percentile 26.4% 0.4% 75.4% 15.5% 0.4% Term Structure -6.9% -71.0% 42.8% -21.7% 6.4% VWIV 67.1% 50.2% 89.4% 61.8% 89.4% Bid-Ask Spread % 120.52 95.17 164.09 122.53 95.17 Gamma HHI 0.66 0.45 0.80 0.65 0.66 Net GEX 1.4K -1.0K 5.9K 659 3.2K Net DEX -85.2K -130.2K -59.0K -94.2K -130.2K Net VEX -247 -333 -184 -208 -261 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 7.909 0 80 2 0 Total OI 445.455 394 514 394 514
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 2009-06-01 $5.50 $5.00 52.1% 14.9% 34.6% 10.5% 0.0% 0.0% -21.7% 659 -94.2K -208 0.00 122.53 N/A N/A 2 0 250 144 2009-06-02 $5.62 $5.00 50.5% 14.5% 35.3% 9.4% 0.0% 0.0% -0.2% 1.1K -100.6K -184 0.00 121.37 N/A N/A 20 0 250 144 2009-06-03 $5.36 $5.00 94.7% 27.2% 38.2% 39.0% 0.0% 0.0% -71.0% 838 -87.6K -207 0.00 151.99 N/A N/A 0 0 250 144 2009-06-04 $5.33 $5.00 93.7% 26.9% 37.1% 38.3% 0.0% 0.0% -66.1% 970 -82.1K -208 0.00 126.88 N/A N/A 0 20 250 144 2009-06-05 $5.38 $5.00 43.9% 16.6% 36.0% 5.0% 0.0% 0.0% -0.8% 858 -82.5K -227 0.00 97.72 N/A N/A 0 0 250 164 2009-06-08 $5.32 $5.00 57.2% 17.0% 34.4% 13.9% 0.0% 0.0% -0.1% 885 -80.8K -215 0.00 98.20 N/A N/A 0 0 250 164 2009-06-09 $5.32 $5.00 47.4% 17.2% 34.4% 7.3% 0.0% 0.0% -1.2% 813 -80.5K -214 0.00 102.01 N/A N/A 0 0 250 164 2009-06-10 $5.33 $5.00 45.3% 16.9% 34.4% 5.9% 0.0% 0.0% 0.7% 893 -79.6K -208 0.00 114.60 N/A N/A 0 0 250 164 2009-06-11 $5.29 $5.00 57.5% 16.5% 31.9% 14.1% 0.0% 0.0% 0.3% 874 -79.0K -208 0.00 103.09 N/A N/A 0 0 250 164 2009-06-12 $5.26 $5.00 58.3% 16.7% 31.5% 14.6% 0.0% 0.0% -1.7% 889 -74.3K -207 0.00 104.00 N/A N/A 0 0 250 164 2009-06-15 $5.07 $5.00 60.8% 17.4% 33.9% 16.3% 0.0% 0.0% -9.0% 942 -61.9K -206 0.00 110.61 N/A N/A 0 0 250 164 2009-06-16 $5.03 $5.00 56.9% 16.3% 32.9% 13.7% 0.0% 0.0% 0.5% 983 -59.0K -201 0.00 138.31 N/A N/A 80 0 250 164 2009-06-17 $5.04 $5.00 72.7% 20.9% 32.8% 24.3% 0.0% 0.0% 31.5% -227 -84.1K -333 0.00 146.77 N/A N/A 0 2 330 164 2009-06-18 $5.17 $5.00 53.3% 15.3% 34.1% 11.3% 0.0% 0.0% 4.3% 1.6K -82.6K -304 0.00 102.10 N/A N/A 0 0 330 164 2009-06-19 $4.96 $5.00 60.1% 17.2% 36.5% 15.8% 0.0% 0.0% -11.3% -1.0K -79.7K -302 0.00 109.75 N/A N/A 0 0 330 164 2009-06-22 $4.79 $5.00 83.4% 23.9% 37.8% 31.4% 0.0% 0.0% -65.7% 864 -69.5K -316 0.00 151.57 N/A N/A 0 0 328 144 2009-06-23 $4.91 $5.00 62.1% 17.8% 35.5% 17.2% 61.8% 0.0% -3.9% 1.8K -73.2K -289 0.00 110.82 N/A N/A 0 4 328 144 2009-06-24 $4.98 $5.00 50.2% 14.4% 35.7% 9.2% 50.2% 0.0% 5.3% 2.2K -74.1K -284 0.00 132.31 N/A N/A 32 0 328 142 2009-06-25 $5.21 $5.00 43.8% 12.6% 39.6% 5.0% 0.0% 0.0% 1.1% 5.9K -104.5K -263 0.00 129.45 N/A N/A 0 0 358 142 2009-06-26 $5.41 $5.00 56.8% 16.3% 41.2% 13.6% 89.4% 0.0% 42.8% 1.8K -110.9K -299 0.00 164.09 N/A N/A 0 2 358 142 2009-06-29 $5.16 $5.00 41.3% 11.9% 43.4% 3.3% 0.0% 0.0% 7.1% 3.5K -103.5K -279 0.00 118.04 N/A N/A 12 0 358 144 2009-06-30 $5.36 $5.00 39.1% 11.2% 44.9% 1.8% 0.0% 0.0% 6.4% 3.2K -130.2K -261 0.00 95.17 N/A N/A 0 0 370 144
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