FIZZ Options History — July 2009 In July 2009, FIZZ traded between $5.01 and $5.74. ATM implied volatility averaged 48.7%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 6.1% (HV 20d: 42.6%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-07-16 : Highest Volume — 92 contracts2009-07-22 : Largest IV spike — 104.7% change2009-07-22 : Highest IV Rank — 39.8%2009-07-22 : Largest Expected Move — 26.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.36 $5.01 $5.74 $5.40 $5.33 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 48.7% 30.2% 93.9% 32.9% 34.5% Expected Move 13.8% 8.7% 26.9% 9.4% 9.9% HV 20d 42.6% 34.2% 46.7% 41.8% 34.2% HV 60d 36.9% 35.0% 38.5% 36.4% 37.7% IV Rank 10.8% 0.0% 39.8% 0.0% 2.8% IV Percentile 16.1% 0.0% 75.0% 0.0% 1.6% Term Structure 14.7% -66.3% 109.4% 22.4% 4.5% VWIV 54.5% 54.5% 54.5% 54.5% 54.5% Bid-Ask Spread % 120.23 97.34 174.44 106.84 159.23 Gamma HHI 0.70 0.56 0.82 0.64 0.70 Net GEX 2.5K 543 5.4K 3.0K 1.4K Net DEX -90.0K -151.2K -48.7K -141.9K -53.8K Net VEX -250 -291 -197 -247 -280 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 8.545 0 92 0 2 Total OI 385.364 216 526 514 256
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 2009-07-01 $5.40 $5.00 32.9% 9.4% 41.8% 0.0% 0.0% 0.0% 22.4% 3.0K -141.9K -247 0.00 106.84 N/A N/A 0 0 370 144 2009-07-02 $5.24 $5.00 37.8% 10.8% 43.1% 3.2% 0.0% 0.0% 12.0% 3.8K -119.4K -272 0.00 116.66 N/A N/A 0 0 370 144 2009-07-06 $5.28 $5.00 50.5% 15.0% 43.1% 11.5% 0.0% 0.0% 0.3% 4.3K -121.1K -254 0.00 106.91 N/A N/A 0 0 370 144 2009-07-07 $5.05 $5.00 51.6% 15.4% 45.4% 12.2% 54.5% 0.0% 3.7% 2.7K -93.0K -263 0.00 98.33 N/A N/A 12 0 370 144 2009-07-08 $5.09 $5.00 48.4% 13.3% 45.5% 10.1% 0.0% 0.0% 46.2% 4.1K -100.0K -255 0.00 128.50 N/A N/A 0 0 362 144 2009-07-09 $5.01 $5.00 57.1% 14.3% 45.7% 15.8% 0.0% 0.0% 6.1% 2.6K -86.7K -245 0.00 107.33 N/A N/A 0 0 362 144 2009-07-10 $5.04 $5.00 40.0% 14.8% 45.7% 4.6% 0.0% 0.0% 2.6% 5.4K -88.0K -240 0.00 100.77 N/A N/A 2 0 362 144 2009-07-13 $5.15 $5.00 45.7% 15.1% 46.6% 8.4% 0.0% 0.0% 0.4% 5.3K -109.2K -211 0.00 97.34 N/A N/A 0 0 362 144 2009-07-14 $5.26 $5.00 49.3% 14.9% 45.2% 10.7% 0.0% 0.0% 3.8% 4.1K -129.9K -198 0.00 103.88 N/A N/A 20 0 362 144 2009-07-15 $5.36 $5.00 73.5% 13.7% 45.4% 26.5% 0.0% 0.0% 7.2% 3.2K -139.0K -197 0.00 122.96 N/A N/A 0 0 382 144 2009-07-16 $5.32 $5.00 53.3% 15.3% 45.5% 13.3% 0.0% 0.0% -1.3% 3.7K -135.6K -217 0.00 105.36 N/A N/A 92 0 382 144 2009-07-17 $5.53 $5.00 51.3% 14.7% 46.7% 12.0% 0.0% 0.0% 8.9% 1.1K -151.2K -252 0.00 112.42 N/A N/A 20 0 376 144 2009-07-20 $5.70 $5.00 48.4% 13.9% 44.8% 10.1% 0.0% 0.0% 96.4% 1.1K -56.8K -247 0.00 114.76 N/A N/A 0 0 196 20 2009-07-21 $5.62 $5.00 45.9% 13.2% 42.5% 8.5% 0.0% 0.0% 7.6% 1.1K -57.7K -257 0.00 111.22 N/A N/A 0 0 196 20 2009-07-22 $5.70 $5.00 93.9% 26.9% 42.1% 39.8% 0.0% 0.0% 109.4% 543 -62.6K -236 0.00 174.44 N/A N/A 0 0 196 20 2009-07-23 $5.74 $5.00 82.5% 23.6% 42.0% 32.4% 0.0% 0.0% -66.3% 760 -63.3K -272 0.00 137.72 N/A N/A 0 0 196 20 2009-07-24 $5.64 $5.00 30.2% 8.7% 40.5% 0.0% 0.0% 0.0% 13.6% 1.2K -56.9K -251 0.00 121.08 N/A N/A 0 0 196 20 2009-07-27 $5.40 $5.00 31.8% 9.1% 41.8% 1.0% 0.0% 0.0% 15.9% 1.2K -48.7K -240 0.00 137.76 N/A N/A 40 0 196 20 2009-07-28 $5.38 $5.00 32.9% 9.4% 38.1% 1.7% 0.0% 0.0% 10.7% 1.4K -55.0K -291 0.00 114.08 N/A N/A 0 0 236 20 2009-07-29 $5.34 $5.00 40.9% 11.7% 35.9% 6.9% 0.0% 0.0% 8.3% 1.4K -54.2K -284 0.00 120.33 N/A N/A 0 0 236 20 2009-07-30 $5.38 $5.00 39.8% 11.4% 35.8% 6.1% 0.0% 0.0% 11.7% 1.4K -55.6K -290 0.00 147.22 N/A N/A 0 0 236 20 2009-07-31 $5.33 $5.00 34.5% 9.9% 34.2% 2.8% 0.0% 0.0% 4.5% 1.4K -53.8K -280 0.00 159.23 N/A N/A 0 2 236 20
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