FIZZ Options History — January 2010

In January 2010, FIZZ traded between $5.73 and $5.96. ATM implied volatility averaged 40.6%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 25.3% (HV 20d: 65.9%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 11 of 13 trading days. Term structure was in contango for 11 of 13 days. Put/call ratio averaged 0.02.

Notable Days

2010-01-13: Highest Volume — 190 contracts
2010-01-13: Largest IV drop — 58.4% change
2010-01-12: Highest IV Rank — 51.8%
2010-01-12: Largest Expected Move — 29.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.83	$5.73	$5.96	$5.91	$5.76
Max Pain	$6.25	$6.25	$6.25	$6.25	$6.25
ATM IV	40.6%	28.2%	102.0%	102.0%	28.2%
Expected Move	11.6%	8.1%	29.2%	29.2%	8.1%
HV 20d	65.9%	62.1%	71.6%	71.6%	62.1%
HV 60d	47.9%	47.0%	48.7%	48.7%	47.0%
IV Rank	10.3%	1.8%	51.8%	51.8%	1.8%
IV Percentile	25.5%	2.0%	93.7%	93.7%	2.0%
Term Structure	11.2%	-3.7%	84.3%	84.3%	14.8%
VWIV	46.6%	39.1%	58.0%	42.8%	58.0%
Bid-Ask Spread %	98.23	68.42	174.44	174.44	95.82
Gamma HHI	0.94	0.92	0.96	0.93	0.95
Net GEX	2.4K	0	3.0K	0	3.0K
Net DEX	-19.9K	-37.0K	0	0	-9.4K
Net VEX	-126	-166	0	0	-137
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.12	0.12	0.00
Total Volume	20.154	0	190	0	0
Total OI	180	0	240	0	240

Daily Data (13 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
2010-01-12	$5.91	$0.00	102.0%	29.2%	71.6%	51.8%	0.0%	0.0%	84.3%	0	0	0	0.00	174.44	N/A	N/A	0	0	0	0
2010-01-13	$5.92	$0.00	42.4%	12.2%	70.9%	11.5%	42.8%	0.0%	0.7%	0	0	0	0.12	93.91	N/A	N/A	170	20	0	0
2010-01-14	$5.96	$6.25	38.7%	11.1%	69.5%	9.0%	39.1%	0.0%	0.2%	2.9K	-37.0K	-166	0.00	82.31	N/A	N/A	6	0	170	20
2010-01-15	$5.87	$6.25	36.5%	10.5%	69.4%	7.5%	0.0%	0.0%	3.4%	2.8K	-30.2K	-153	0.00	84.20	N/A	N/A	0	2	170	20
2010-01-19	$5.96	$6.25	40.1%	11.5%	69.5%	9.9%	0.0%	0.0%	0.3%	2.9K	-33.9K	-155	0.00	78.40	N/A	N/A	10	0	170	22
2010-01-20	$5.83	$6.25	37.6%	10.8%	68.1%	8.2%	0.0%	0.0%	1.9%	2.8K	-27.8K	-155	0.00	105.91	N/A	N/A	4	0	180	22
2010-01-21	$5.78	$6.25	41.9%	12.0%	63.0%	11.2%	0.0%	0.0%	-2.8%	2.6K	-29.9K	-158	0.00	93.69	N/A	N/A	4	0	184	22
2010-01-22	$5.76	$6.25	36.7%	10.5%	62.5%	7.6%	0.0%	0.0%	1.4%	2.7K	-32.1K	-162	0.00	79.86	N/A	N/A	0	0	188	22
2010-01-25	$5.82	$6.25	38.0%	10.9%	62.8%	8.5%	58.0%	0.0%	-3.7%	2.8K	-33.6K	-157	0.00	93.76	N/A	N/A	0	20	188	22
2010-01-26	$5.74	$6.25	28.3%	8.1%	62.8%	1.9%	0.0%	0.0%	13.6%	2.7K	-7.2K	-125	0.00	113.17	N/A	N/A	0	0	188	42
2010-01-27	$5.73	$6.25	28.8%	8.3%	62.8%	2.2%	0.0%	0.0%	15.8%	2.7K	-7.1K	-124	0.00	113.05	N/A	N/A	26	0	188	42
2010-01-28	$5.76	$6.25	28.9%	8.3%	62.1%	2.3%	0.0%	0.0%	16.4%	3.0K	-10.5K	-145	0.00	68.42	N/A	N/A	0	0	198	42
2010-01-29	$5.76	$6.25	28.2%	8.1%	62.1%	1.8%	0.0%	0.0%	14.8%	3.0K	-9.4K	-137	0.00	95.82	N/A	N/A	0	0	198	42