FIZZ Options History — September 2009 In September 2009, FIZZ traded between $4.82 and $5.92. ATM implied volatility averaged 43.6%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 1.5% (HV 20d: 42.1%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.33.
Notable Days 2009-09-25 : Highest Volume — 20 contracts2009-09-08 : Largest IV spike — 98.9% change2009-09-01 : Highest IV Rank — 89.1%2009-09-01 : Largest Expected Move — 48.5%Monthly Statistics Metric Avg Min Max Open Close Price $5.45 $4.82 $5.92 $4.89 $5.75 Max Pain $3.75 $3.75 $3.75 $3.75 $3.75 ATM IV 43.6% 27.3% 169.1% 169.1% 31.9% Expected Move 12.2% 7.8% 48.5% 48.5% 9.2% HV 20d 42.1% 35.8% 48.4% 37.2% 38.3% HV 60d 38.6% 36.0% 41.5% 37.9% 36.0% IV Rank 9.5% 0.0% 89.1% 89.1% 2.9% IV Percentile 13.0% 0.0% 97.2% 97.2% 4.0% Term Structure 4.5% -52.0% 14.9% -52.0% 10.1% Bid-Ask Spread % 144.84 74.58 196.23 196.23 146.31 Gamma HHI 0.80 0.67 0.85 0.67 0.83 Net GEX 1.7K 817 2.8K 817 2.3K Net DEX -55.4K -82.3K -27.0K -47.5K -72.5K Net VEX -216 -247 -181 -244 -239 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.33 0.00 1.00 1.00 0.00 Total Volume 1.619 0 20 0 0 Total OI 265.429 254 288 254 288
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 2009-09-01 $4.89 $0.00 169.1% 48.5% 37.2% 89.1% 0.0% 0.0% -52.0% 817 -47.5K -244 0.00 196.23 N/A N/A 0 0 232 22 2009-09-02 $4.82 $0.00 43.6% 12.5% 36.9% 8.6% 0.0% 0.0% 0.3% 911 -27.0K -181 0.00 182.66 N/A N/A 0 0 232 22 2009-09-03 $4.93 $0.00 43.7% 12.5% 38.1% 8.6% 0.0% 0.0% 2.9% 1.0K -30.7K -183 0.00 184.53 N/A N/A 0 4 232 22 2009-09-04 $4.95 $3.75 37.2% 12.6% 35.9% 4.5% 0.0% 0.0% 1.4% 1.0K -31.0K -197 0.00 74.58 N/A N/A 0 0 232 26 2009-09-08 $5.02 $3.75 74.0% 12.9% 35.8% 28.1% 0.0% 0.0% -0.1% 1.0K -32.9K -191 0.00 161.76 N/A N/A 0 0 232 26 2009-09-09 $5.08 $3.75 42.9% 12.3% 36.0% 8.1% 0.0% 0.0% 0.1% 1.0K -32.9K -184 0.00 114.07 N/A N/A 0 0 232 26 2009-09-10 $5.13 $3.75 43.2% 12.4% 36.1% 8.3% 0.0% 0.0% 2.9% 1.1K -36.7K -201 0.00 130.48 N/A N/A 0 0 232 26 2009-09-11 $4.96 $3.75 44.0% 12.6% 37.4% 8.8% 0.0% 0.0% 1.6% 1.0K -31.5K -182 1.00 145.58 N/A N/A 4 4 232 26 2009-09-14 $5.37 $3.75 43.1% 12.3% 45.8% 8.2% 0.0% 0.0% 3.8% 1.4K -49.1K -224 0.00 149.31 N/A N/A 0 0 236 30 2009-09-15 $5.61 $3.75 31.1% 8.9% 48.3% 0.5% 0.0% 0.0% 13.6% 1.7K -59.9K -223 0.00 128.40 N/A N/A 0 0 236 30 2009-09-16 $5.66 $3.75 27.3% 7.8% 48.4% 0.0% 0.0% 0.0% 14.6% 1.8K -62.2K -223 0.00 131.59 N/A N/A 0 0 236 30 2009-09-17 $5.63 $3.75 28.4% 8.2% 48.0% 0.7% 0.0% 0.0% 14.1% 1.8K -61.3K -221 0.00 131.28 N/A N/A 0 0 236 30 2009-09-18 $5.62 $3.75 32.3% 9.3% 45.9% 3.1% 0.0% 0.0% 11.0% 1.8K -60.9K -220 0.00 133.25 N/A N/A 0 0 236 30 2009-09-21 $5.75 $3.75 28.0% 8.0% 46.3% 0.4% 0.0% 0.0% 14.9% 2.0K -66.6K -225 0.00 138.07 N/A N/A 0 0 236 30 2009-09-22 $5.87 $3.75 34.4% 9.9% 46.4% 4.4% 0.0% 0.0% 12.6% 2.2K -74.4K -233 0.00 152.01 N/A N/A 0 0 236 30 2009-09-23 $5.89 $3.75 28.9% 8.3% 46.2% 1.0% 0.0% 0.0% 10.3% 2.4K -74.4K -227 0.00 152.25 N/A N/A 0 0 236 30 2009-09-24 $5.88 $3.75 31.6% 9.1% 46.3% 2.7% 0.0% 0.0% 9.5% 2.3K -73.3K -226 0.00 155.98 N/A N/A 0 0 236 30 2009-09-25 $5.92 $3.75 31.6% 9.1% 46.3% 2.7% 0.0% 0.0% 10.8% 2.5K -75.7K -226 0.00 154.26 N/A N/A 20 0 236 30 2009-09-28 $5.92 $3.75 35.3% 10.1% 44.8% 5.0% 0.0% 0.0% 5.7% 2.7K -81.5K -247 0.00 151.71 N/A N/A 2 0 256 30 2009-09-29 $5.92 $3.75 33.8% 9.7% 39.3% 4.1% 0.0% 0.0% 6.9% 2.8K -82.3K -245 0.00 127.32 N/A N/A 0 0 258 30 2009-09-30 $5.75 $3.75 31.9% 9.2% 38.3% 2.9% 0.0% 0.0% 10.1% 2.3K -72.5K -239 0.00 146.31 N/A N/A 0 0 258 30
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