FIZZ Options History — October 2009 In October 2009, FIZZ traded between $5.46 and $5.93. ATM implied volatility averaged 46.8%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 14.4% (HV 20d: 32.3%). Max pain ranged from $3.75 to $6.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2009-10-14 : Highest Volume — 20 contracts2009-10-05 : Largest IV spike — 112.2% change2009-10-06 : Highest IV Rank — 50.0%2009-10-01 : Largest Expected Move — 29.5%Monthly Statistics Metric Avg Min Max Open Close Price $5.68 $5.46 $5.93 $5.60 $5.47 Max Pain $5.87 $3.75 $6.25 $3.75 $6.25 ATM IV 46.8% 25.6% 106.8% 103.1% 34.1% Expected Move 11.2% 7.3% 29.5% 29.5% 9.8% HV 20d 32.3% 24.1% 40.6% 39.5% 28.4% HV 60d 35.9% 35.1% 36.4% 36.4% 35.6% IV Rank 12.7% 0.0% 50.0% 47.7% 5.3% IV Percentile 21.6% 0.0% 81.0% 79.4% 9.9% Term Structure 2.8% -125.2% 64.9% -125.2% 7.3% VWIV 30.4% 30.4% 30.4% 30.4% 30.4% Bid-Ask Spread % 108.94 76.27 171.22 171.22 100.74 Gamma HHI 0.72 0.62 0.83 0.80 0.65 Net GEX 1.9K 1.1K 2.9K 1.9K 1.7K Net DEX -53.9K -79.8K -29.3K -66.9K -29.3K Net VEX -207 -244 -171 -244 -178 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 2.286 0 20 0 0 Total OI 258.476 218 308 288 232
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 2009-10-01 $5.60 $3.75 103.1% 29.5% 39.5% 47.7% 0.0% 0.0% -125.2% 1.9K -66.9K -244 0.00 171.22 N/A N/A 0 0 258 30 2009-10-02 $5.63 $3.75 48.4% 13.9% 39.1% 13.3% 0.0% 0.0% 9.6% 2.0K -66.9K -239 0.00 144.92 N/A N/A 0 0 258 30 2009-10-05 $5.68 $0.00 102.8% 11.9% 39.1% 47.5% 0.0% 0.0% -0.4% 2.1K -69.8K -235 0.00 76.27 N/A N/A 0 0 258 30 2009-10-06 $5.78 $0.00 106.8% 11.4% 39.1% 50.0% 0.0% 0.0% 0.7% 2.1K -74.7K -236 0.00 77.18 N/A N/A 0 0 258 30 2009-10-07 $5.92 $0.00 36.8% 11.9% 39.6% 6.0% 0.0% 0.0% -0.3% 2.9K -79.8K -228 0.00 88.79 N/A N/A 2 0 258 30 2009-10-08 $5.81 $0.00 43.4% 11.6% 40.6% 10.1% 0.0% 0.0% 0.4% 2.6K -73.7K -222 0.00 81.90 N/A N/A 12 0 258 30 2009-10-09 $5.72 $0.00 48.5% 11.0% 38.8% 13.4% 0.0% 0.0% 2.9% 2.3K -69.6K -216 0.00 86.08 N/A N/A 0 0 258 30 2009-10-12 $5.78 $0.00 36.4% 11.3% 28.3% 5.7% 0.0% 0.0% 2.5% 1.8K -68.7K -206 0.00 93.44 N/A N/A 0 0 258 30 2009-10-13 $5.73 $0.00 64.0% 9.8% 24.1% 23.2% 0.0% 0.0% 1.7% 2.4K -69.5K -208 0.00 91.81 N/A N/A 0 0 258 30 2009-10-14 $5.93 $0.00 29.2% 8.4% 26.9% 1.2% 30.4% 0.0% 12.4% 1.9K -75.6K -208 0.00 168.85 N/A N/A 0 20 258 30 2009-10-15 $5.75 $6.25 30.2% 8.7% 29.3% 1.8% 0.0% 0.0% 13.8% 1.6K -57.4K -207 0.00 133.27 N/A N/A 0 0 258 50 2009-10-19 $5.84 $6.25 35.3% 10.1% 29.7% 5.0% 0.0% 0.0% 2.3% 1.6K -47.1K -208 0.00 112.28 N/A N/A 0 0 188 30 2009-10-20 $5.77 $6.25 25.6% 7.3% 29.2% 0.0% 0.0% 0.0% 11.4% 1.6K -43.5K -200 0.00 126.11 N/A N/A 0 0 188 30 2009-10-21 $5.67 $6.25 45.4% 13.0% 28.7% 12.4% 0.0% 0.0% 64.9% 1.1K -46.0K -211 0.00 135.44 N/A N/A 0 0 188 30 2009-10-22 $5.62 $6.25 29.4% 8.4% 28.8% 2.4% 0.0% 0.0% 13.7% 1.6K -35.5K -188 0.00 112.15 N/A N/A 0 0 188 30 2009-10-23 $5.46 $6.25 34.6% 9.9% 30.2% 5.6% 0.0% 0.0% 12.9% 1.6K -29.8K -171 0.00 82.59 N/A N/A 0 4 188 30 2009-10-26 $5.46 $6.25 36.0% 10.3% 29.9% 6.5% 0.0% 0.0% -1.1% 1.5K -29.9K -172 0.00 96.22 N/A N/A 10 0 188 34 2009-10-27 $5.50 $6.25 31.3% 9.0% 30.1% 3.6% 0.0% 0.0% 9.6% 1.7K -32.3K -192 0.00 114.77 N/A N/A 0 0 198 34 2009-10-28 $5.50 $6.25 30.6% 8.8% 30.1% 3.1% 0.0% 0.0% 10.6% 1.7K -32.1K -190 0.00 95.67 N/A N/A 0 0 198 34 2009-10-29 $5.58 $6.25 30.2% 8.7% 29.2% 2.9% 0.0% 0.0% 9.6% 1.7K -33.7K -186 0.00 98.11 N/A N/A 0 0 198 34 2009-10-30 $5.47 $6.25 34.1% 9.8% 28.4% 5.3% 0.0% 0.0% 7.3% 1.7K -29.3K -178 0.00 100.74 N/A N/A 0 0 198 34
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