FIZZ Options History — February 2010 In February 2010, FIZZ traded between $5.61 and $5.84. ATM implied volatility averaged 34.0%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 1.5% (HV 20d: 35.4%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2010-02-04 : Highest Volume — 20 contracts2010-02-08 : Largest IV spike — 46.8% change2010-02-10 : Highest IV Rank — 11.6%2010-02-08 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.72 $5.61 $5.84 $5.78 $5.70 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 34.0% 25.4% 42.6% 27.7% 35.4% Expected Move 9.8% 7.3% 12.9% 7.9% 10.1% HV 20d 35.4% 19.7% 62.1% 62.1% 21.6% HV 60d 45.5% 44.1% 47.3% 47.0% 44.1% IV Rank 5.8% 0.0% 11.6% 1.5% 6.7% IV Percentile 19.6% 0.0% 44.8% 1.6% 22.2% Term Structure 6.1% -4.0% 17.0% 17.0% 1.8% VWIV 51.1% 51.1% 51.1% 51.1% 51.1% Bid-Ask Spread % 95.82 15.49 116.60 62.64 96.87 Gamma HHI 0.78 0.49 0.96 0.96 0.55 Net GEX 1.7K 397 3.1K 3.1K 452 Net DEX -17.9K -25.8K -9.9K -11.2K -17.8K Net VEX -118 -138 -100 -138 -104 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 2.316 0 20 0 0 Total OI 202.211 94 252 240 94
Daily Data (19 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 2010-02-01 $5.78 $6.25 27.7% 7.9% 62.1% 1.5% 0.0% 0.0% 17.0% 3.1K -11.2K -138 0.00 62.64 N/A N/A 0 0 198 42 2010-02-02 $5.79 $6.25 26.3% 7.5% 61.3% 0.6% 51.1% 0.0% 13.5% 3.1K -9.9K -127 0.00 90.87 N/A N/A 0 16 198 38 2010-02-03 $5.74 $6.25 25.4% 7.3% 61.0% 0.0% 0.0% 0.0% 10.7% 2.4K -13.0K -116 0.00 62.77 N/A N/A 0 0 198 26 2010-02-04 $5.61 $6.25 31.0% 8.9% 59.4% 3.8% 0.0% 0.0% 10.2% 2.2K -16.6K -125 0.00 15.49 N/A N/A 20 0 198 26 2010-02-05 $5.70 $0.00 26.9% 10.8% 59.6% 1.0% 0.0% 0.0% 4.9% 2.1K -19.3K -128 0.00 95.28 N/A N/A 0 0 218 26 2010-02-08 $5.62 $0.00 39.5% 12.9% 58.9% 9.6% 0.0% 0.0% -2.2% 1.7K -17.4K -119 0.00 74.71 N/A N/A 0 0 218 26 2010-02-09 $5.75 $0.00 41.3% 11.0% 59.7% 10.7% 0.0% 0.0% 9.4% 3.0K -25.8K -137 0.00 113.98 N/A N/A 0 0 218 26 2010-02-10 $5.67 $0.00 42.6% 10.2% 20.4% 11.6% 0.0% 0.0% 3.0% 2.3K -21.0K -128 0.00 77.35 N/A N/A 0 0 218 26 2010-02-11 $5.75 $0.00 29.2% 8.4% 21.1% 2.6% 0.0% 0.0% 12.0% 3.0K -25.3K -135 0.00 106.99 N/A N/A 0 0 218 26 2010-02-12 $5.71 $0.00 37.9% 10.9% 21.0% 8.5% 0.0% 0.0% -0.3% 2.7K -24.0K -130 0.00 116.60 N/A N/A 0 0 218 26 2010-02-16 $5.68 $0.00 39.1% 11.2% 20.4% 9.3% 0.0% 0.0% -0.8% 2.4K -20.9K -117 0.00 115.11 N/A N/A 0 0 218 26 2010-02-17 $5.72 $0.00 37.1% 10.6% 19.8% 7.9% 0.0% 0.0% 0.3% 404 -14.0K -100 0.00 115.03 N/A N/A 0 0 218 26 2010-02-18 $5.84 $0.00 36.9% 10.6% 19.7% 7.8% 0.0% 0.0% 9.9% 397 -16.1K -103 0.00 116.22 N/A N/A 8 0 218 26 2010-02-19 $5.69 $0.00 39.2% 11.2% 21.7% 9.3% 0.0% 0.0% -4.0% 441 -16.0K -109 0.00 107.26 N/A N/A 0 0 226 26 2010-02-22 $5.72 $0.00 28.7% 8.2% 21.8% 2.2% 0.0% 0.0% 11.3% 466 -17.5K -105 0.00 112.50 N/A N/A 0 0 72 22 2010-02-23 $5.69 $0.00 33.4% 9.6% 21.5% 5.4% 0.0% 0.0% 5.1% 442 -17.9K -107 0.00 113.54 N/A N/A 0 0 72 22 2010-02-24 $5.74 $0.00 34.8% 10.0% 21.1% 6.4% 0.0% 0.0% -2.1% 505 -18.2K -103 0.00 114.17 N/A N/A 0 0 72 22 2010-02-25 $5.78 $0.00 32.8% 9.4% 21.2% 5.0% 0.0% 0.0% 15.1% 463 -18.1K -104 0.00 113.26 N/A N/A 0 0 72 22 2010-02-26 $5.70 $0.00 35.4% 10.1% 21.6% 6.7% 0.0% 0.0% 1.8% 452 -17.8K -104 0.00 96.87 N/A N/A 0 0 72 22
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