FIZZ Options History — December 2009

In December 2009, FIZZ traded between $5.42 and $7.14. ATM implied volatility averaged 36.3%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 1.5% (HV 20d: 34.8%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.38.

Notable Days

2009-12-31: Highest Volume — 480 contracts
2009-12-09: Largest IV spike — 26.3% change
2009-12-09: Highest IV Rank — 11.4%
2009-12-11: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.35	$5.42	$7.14	$5.45	$6.93
Max Pain	$5.20	$5.00	$6.25	$5.00	$6.25
ATM IV	36.3%	25.5%	42.4%	35.5%	29.4%
Expected Move	10.4%	7.3%	11.6%	10.2%	8.4%
HV 20d	34.8%	26.9%	37.5%	37.4%	37.3%
HV 60d	34.9%	32.2%	36.5%	35.2%	35.5%
IV Rank	7.3%	0.0%	11.4%	6.7%	2.7%
IV Percentile	18.1%	0.0%	31.0%	14.7%	3.6%
Term Structure	4.5%	-10.4%	13.2%	4.4%	9.9%
VWIV	36.0%	26.4%	50.7%	39.3%	37.0%
Bid-Ask Spread %	91.12	68.38	118.79	98.66	113.58
Gamma HHI	0.79	0.45	1.00	0.68	0.61
Net GEX	1.9K	-2.1K	3.3K	1.8K	-2.1K
Net DEX	-85.1K	-152.8K	-31.0K	-31.0K	-80.5K
Net VEX	-249	-511	-127	-153	-510
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.00	7.50	0.00	0.40
Total Volume	57.182	0	480	0	480
Total OI	352.273	236	762	236	762

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
2009-12-01	$5.45	$0.00	35.5%	10.2%	37.4%	6.7%	0.0%	0.0%	4.4%	1.8K	-31.0K	-153	0.00	98.66	N/A	N/A	0	0	200	36
2009-12-02	$5.43	$0.00	38.4%	11.0%	36.9%	8.7%	0.0%	0.0%	-6.5%	1.8K	-32.2K	-154	0.00	102.19	N/A	N/A	0	0	200	36
2009-12-03	$5.42	$0.00	38.3%	11.0%	31.6%	8.6%	0.0%	0.0%	-10.4%	1.9K	-32.7K	-148	0.00	100.27	N/A	N/A	0	0	200	36
2009-12-04	$5.59	$5.00	38.6%	11.3%	26.9%	8.8%	0.0%	0.0%	9.5%	2.0K	-37.4K	-155	0.00	87.17	N/A	N/A	0	0	200	36
2009-12-07	$5.83	$5.00	38.1%	9.9%	29.5%	8.5%	0.0%	0.0%	3.5%	2.5K	-50.3K	-160	0.00	90.08	N/A	N/A	0	0	200	36
2009-12-08	$5.92	$5.00	33.6%	11.3%	29.8%	5.4%	0.0%	0.0%	2.0%	2.7K	-57.1K	-165	0.00	105.58	N/A	N/A	0	0	200	36
2009-12-09	$5.86	$5.00	42.4%	10.3%	30.3%	11.4%	0.0%	0.0%	3.1%	2.6K	-51.1K	-154	0.00	116.39	N/A	N/A	0	0	200	36
2009-12-10	$6.11	$5.00	39.3%	11.3%	33.4%	9.3%	39.3%	0.0%	0.6%	2.9K	-69.9K	-165	0.00	103.87	N/A	N/A	42	0	200	36
2009-12-11	$6.54	$5.00	40.5%	11.6%	36.9%	10.1%	0.0%	0.0%	1.0%	3.1K	-101.6K	-165	0.00	71.99	N/A	N/A	0	0	218	36
2009-12-14	$6.63	$5.00	35.0%	10.0%	36.4%	6.4%	31.1%	0.0%	10.6%	3.2K	-109.0K	-147	0.00	98.01	N/A	N/A	40	0	218	36
2009-12-15	$6.57	$5.00	39.4%	11.3%	37.1%	9.3%	0.0%	0.0%	3.0%	2.8K	-99.7K	-140	0.00	72.97	N/A	N/A	0	0	202	36
2009-12-16	$6.57	$5.00	35.5%	10.2%	37.2%	6.7%	0.0%	0.0%	10.3%	2.9K	-98.7K	-141	0.00	77.44	N/A	N/A	0	0	202	36
2009-12-17	$6.49	$5.00	36.9%	10.6%	37.2%	7.7%	0.0%	0.0%	5.0%	3.3K	-93.9K	-141	0.00	74.95	N/A	N/A	0	0	202	36
2009-12-18	$6.63	$5.00	38.3%	11.0%	36.3%	8.6%	0.0%	0.0%	4.9%	3.1K	-102.4K	-130	0.00	70.33	N/A	N/A	4	0	202	36
2009-12-21	$6.53	$5.00	40.3%	11.5%	37.2%	9.9%	39.8%	0.0%	0.8%	3.0K	-100.1K	-127	2.12	71.82	N/A	N/A	100	212	202	36
2009-12-22	$6.54	$5.00	39.5%	11.3%	37.3%	9.4%	0.0%	0.0%	1.7%	1.4K	-87.3K	-460	0.00	74.98	N/A	N/A	0	0	292	230
2009-12-23	$6.69	$5.00	35.5%	10.2%	37.5%	6.7%	0.0%	0.0%	8.9%	1.4K	-94.5K	-453	0.00	68.38	N/A	N/A	104	0	292	230
2009-12-24	$6.75	$5.00	29.5%	8.5%	37.4%	2.7%	30.1%	0.0%	4.4%	1.5K	-120.4K	-456	0.00	118.79	N/A	N/A	0	6	310	230
2009-12-28	$6.97	$5.00	25.5%	7.3%	34.2%	0.0%	26.4%	0.0%	11.4%	213	-141.3K	-405	0.58	83.99	N/A	N/A	38	22	310	236
2009-12-29	$7.05	$6.25	30.8%	8.8%	34.2%	3.6%	33.6%	0.0%	8.8%	-77	-152.8K	-437	7.50	117.23	N/A	N/A	12	90	340	256
2009-12-30	$7.14	$6.25	38.2%	11.0%	34.2%	8.6%	50.7%	0.0%	13.2%	-1.0K	-128.4K	-511	1.84	85.95	N/A	N/A	38	70	350	326
2009-12-31	$6.93	$6.25	29.4%	8.4%	37.3%	2.7%	37.0%	0.0%	9.9%	-2.1K	-80.5K	-510	0.40	113.58	N/A	N/A	342	138	366	396