FIZZ Options History — August 2009 In August 2009, FIZZ traded between $5.07 and $5.66. ATM implied volatility averaged 40.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 9.1% (HV 20d: 31.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days.
Notable Days 2009-08-05 : Largest IV spike — 162.6% change2009-08-05 : Highest IV Rank — 39.0%2009-08-05 : Largest Expected Move — 26.1%Monthly Statistics Metric Avg Min Max Open Close Price $5.41 $5.07 $5.66 $5.33 $5.07 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 40.4% 31.1% 91.0% 35.8% 41.4% Expected Move 11.7% 8.9% 26.1% 10.3% 11.9% HV 20d 31.3% 29.1% 36.0% 34.1% 36.0% HV 60d 37.0% 35.3% 37.7% 37.3% 37.3% IV Rank 6.6% 0.5% 39.0% 3.6% 7.2% IV Percentile 8.0% 0.4% 73.0% 2.0% 11.5% Term Structure 3.4% -31.1% 13.4% 11.0% -7.9% Bid-Ask Spread % 137.02 71.20 192.13 131.05 172.62 Gamma HHI 0.78 0.69 0.85 0.69 0.77 Net GEX 1.4K 1.2K 1.6K 1.4K 1.2K Net DEX -55.2K -66.4K -37.6K -52.1K -37.6K Net VEX -267 -288 -215 -276 -215 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 256.857 254 258 258 254
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 2009-08-03 $5.33 $5.00 35.8% 10.3% 34.1% 3.6% 0.0% 0.0% 11.0% 1.4K -52.1K -276 0.00 131.05 N/A N/A 0 0 236 22 2009-08-04 $5.42 $5.00 34.6% 9.9% 30.4% 2.8% 0.0% 0.0% 11.4% 1.4K -56.6K -288 0.00 106.05 N/A N/A 0 0 236 22 2009-08-05 $5.31 $5.00 91.0% 26.1% 31.5% 39.0% 0.0% 0.0% -31.1% 1.3K -53.2K -284 0.00 192.13 N/A N/A 0 0 236 22 2009-08-06 $5.24 $5.00 46.9% 13.4% 31.4% 10.7% 0.0% 0.0% -16.8% 1.3K -49.1K -276 0.00 117.86 N/A N/A 0 0 236 22 2009-08-07 $5.41 $0.00 38.3% 12.5% 33.1% 5.2% 0.0% 0.0% 2.9% 1.5K -55.8K -285 0.00 80.26 N/A N/A 0 0 236 22 2009-08-10 $5.49 $0.00 45.4% 13.9% 32.7% 9.7% 0.0% 0.0% -2.9% 1.5K -59.6K -282 0.00 71.20 N/A N/A 0 0 236 22 2009-08-11 $5.54 $0.00 40.2% 12.4% 32.1% 6.4% 0.0% 0.0% 5.4% 1.5K -63.8K -288 0.00 126.21 N/A N/A 0 0 236 22 2009-08-12 $5.46 $0.00 43.8% 10.6% 31.9% 8.7% 0.0% 0.0% 1.4% 1.4K -59.7K -279 0.00 135.58 N/A N/A 0 0 236 22 2009-08-13 $5.50 $0.00 39.2% 11.2% 31.8% 5.7% 0.0% 0.0% 13.2% 1.5K -58.9K -273 0.00 109.52 N/A N/A 0 0 236 22 2009-08-14 $5.30 $0.00 41.3% 11.8% 31.8% 7.1% 0.0% 0.0% 2.7% 1.4K -50.9K -264 0.00 143.35 N/A N/A 0 0 236 22 2009-08-17 $5.33 $0.00 37.7% 10.8% 29.5% 4.8% 0.0% 0.0% 11.2% 1.5K -50.4K -255 0.00 150.97 N/A N/A 0 0 236 22 2009-08-18 $5.33 $0.00 40.5% 11.6% 29.1% 6.6% 0.0% 0.0% 5.1% 1.4K -51.7K -256 0.00 148.48 N/A N/A 0 0 236 22 2009-08-19 $5.43 $0.00 38.3% 11.0% 29.5% 5.2% 0.0% 0.0% 13.4% 1.4K -57.3K -270 0.00 119.50 N/A N/A 0 0 236 22 2009-08-20 $5.66 $0.00 31.1% 8.9% 33.0% 0.5% 0.0% 0.0% 13.2% 1.6K -66.4K -274 0.00 158.97 N/A N/A 0 0 236 22 2009-08-21 $5.58 $0.00 35.7% 10.2% 32.7% 3.5% 0.0% 0.0% 5.6% 1.5K -64.4K -277 0.00 135.27 N/A N/A 0 0 236 22 2009-08-24 $5.50 $0.00 31.9% 9.2% 29.1% 1.1% 0.0% 0.0% 11.5% 1.5K -56.4K -258 0.00 155.06 N/A N/A 0 0 232 22 2009-08-25 $5.46 $0.00 32.5% 9.3% 29.2% 1.4% 0.0% 0.0% 8.1% 1.5K -55.0K -254 0.00 146.96 N/A N/A 0 0 232 22 2009-08-26 $5.48 $0.00 33.9% 9.7% 29.1% 2.3% 0.0% 0.0% 5.7% 1.5K -55.3K -255 0.00 157.97 N/A N/A 0 0 232 22 2009-08-27 $5.50 $0.00 34.2% 9.8% 29.1% 2.6% 0.0% 0.0% 4.2% 1.5K -55.6K -255 0.00 156.34 N/A N/A 0 0 232 22 2009-08-28 $5.34 $0.00 35.7% 10.2% 30.7% 3.5% 0.0% 0.0% 4.5% 1.4K -49.3K -243 0.00 162.00 N/A N/A 0 0 232 22 2009-08-31 $5.07 $0.00 41.4% 11.9% 36.0% 7.2% 0.0% 0.0% -7.9% 1.2K -37.6K -215 0.00 172.62 N/A N/A 0 0 232 22
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