FIZZ Options History — November 2009 In November 2009, FIZZ traded between $5.33 and $5.64. ATM implied volatility averaged 38.4%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 2.0% (HV 20d: 36.4%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-11-24 : Highest Volume — 20 contracts2009-11-13 : Largest IV spike — 45.7% change2009-11-27 : Highest IV Rank — 14.4%2009-11-27 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $5.49 $5.33 $5.64 $5.54 $5.38 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 38.4% 26.5% 46.8% 39.3% 33.4% Expected Move 11.0% 7.6% 13.4% 11.3% 9.6% HV 20d 36.4% 28.6% 38.8% 28.6% 37.4% HV 60d 37.3% 35.1% 38.6% 35.6% 35.4% IV Rank 8.4% 0.6% 14.4% 8.6% 5.3% IV Percentile 18.8% 0.4% 34.9% 18.3% 9.5% Term Structure 3.6% -17.7% 12.2% -10.5% 5.7% Bid-Ask Spread % 107.71 88.97 200.00 128.14 102.62 Gamma HHI 0.68 0.63 0.98 0.66 0.63 Net GEX 1.8K 1.3K 2.0K 1.7K 1.7K Net DEX -31.7K -40.1K -18.3K -32.6K -27.0K Net VEX -158 -187 -99 -183 -137 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 1.7 0 20 0 2 Total OI 226.9 152 234 232 234
Daily Data (20 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 2009-11-02 $5.54 $6.25 39.3% 11.3% 28.6% 8.6% 0.0% 0.0% -10.5% 1.7K -32.6K -183 0.00 128.14 N/A N/A 0 0 198 34 2009-11-03 $5.63 $6.25 35.8% 10.3% 29.0% 6.4% 0.0% 0.0% 3.4% 1.7K -36.2K -187 0.00 99.64 N/A N/A 0 0 198 34 2009-11-04 $5.33 $6.25 36.2% 10.4% 33.7% 6.6% 0.0% 0.0% 1.7% 1.7K -26.1K -166 0.00 100.14 N/A N/A 0 0 198 34 2009-11-05 $5.64 $6.25 34.2% 9.8% 38.7% 5.4% 0.0% 0.0% 9.6% 1.7K -37.0K -186 0.00 98.34 N/A N/A 0 0 198 34 2009-11-06 $5.52 $0.00 41.5% 12.7% 38.8% 9.9% 0.0% 0.0% 1.2% 1.7K -32.3K -177 0.00 98.57 N/A N/A 0 0 198 34 2009-11-09 $5.51 $0.00 40.6% 12.4% 38.6% 9.4% 0.0% 0.0% 0.6% 1.8K -30.5K -163 0.00 99.74 N/A N/A 0 0 198 34 2009-11-10 $5.51 $0.00 44.2% 12.1% 38.3% 11.6% 0.0% 0.0% 4.9% 1.8K -32.4K -164 0.00 88.97 N/A N/A 0 0 198 34 2009-11-11 $5.57 $0.00 41.6% 10.6% 38.5% 10.0% 0.0% 0.0% 12.2% 1.8K -32.8K -168 0.00 97.26 N/A N/A 0 8 198 34 2009-11-12 $5.38 $0.00 26.5% 7.6% 37.7% 0.6% 0.0% 0.0% 11.7% 1.3K -18.3K -99 0.00 200.00 N/A N/A 0 0 144 8 2009-11-13 $5.52 $0.00 38.6% 11.1% 37.9% 8.7% 0.0% 0.0% 10.9% 1.9K -29.8K -157 0.00 98.80 N/A N/A 0 2 198 34 2009-11-16 $5.56 $0.00 41.1% 11.8% 37.5% 10.4% 0.0% 0.0% -4.9% 1.8K -33.6K -163 0.00 109.41 N/A N/A 2 0 198 34 2009-11-17 $5.57 $0.00 39.6% 11.4% 37.3% 9.5% 0.0% 0.0% 6.6% 1.9K -33.1K -162 0.00 106.26 N/A N/A 0 0 200 34 2009-11-18 $5.50 $0.00 38.6% 11.1% 37.0% 8.9% 0.0% 0.0% 7.8% 1.9K -29.9K -154 0.00 106.44 N/A N/A 0 0 200 34 2009-11-19 $5.42 $0.00 37.6% 10.8% 37.3% 8.2% 0.0% 0.0% 10.8% 1.8K -28.4K -148 0.00 105.03 N/A N/A 0 0 200 34 2009-11-20 $5.42 $0.00 39.6% 11.4% 36.0% 9.5% 0.0% 0.0% 7.6% 1.9K -27.0K -146 0.00 89.06 N/A N/A 0 0 200 34 2009-11-23 $5.47 $0.00 41.4% 11.9% 36.2% 10.7% 0.0% 0.0% 4.5% 1.9K -38.6K -139 0.00 90.69 N/A N/A 0 0 200 14 2009-11-24 $5.50 $0.00 35.4% 10.2% 36.1% 6.7% 0.0% 0.0% 3.2% 2.0K -40.1K -147 0.00 102.38 N/A N/A 0 20 200 14 2009-11-25 $5.51 $0.00 35.8% 10.3% 36.2% 6.9% 0.0% 0.0% 3.4% 1.9K -37.4K -169 0.00 117.61 N/A N/A 0 0 200 34 2009-11-27 $5.33 $0.00 46.8% 13.4% 37.7% 14.4% 0.0% 0.0% -17.7% 1.8K -30.1K -150 0.00 115.09 N/A N/A 0 0 200 34 2009-11-30 $5.38 $0.00 33.4% 9.6% 37.4% 5.3% 0.0% 0.0% 5.7% 1.7K -27.0K -137 0.00 102.62 N/A N/A 0 2 200 34
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