FIZZ Options History — March 2010

In March 2010, FIZZ traded between $5.56 and $5.84. ATM implied volatility averaged 35.2%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 16.2% (HV 20d: 19.1%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.13.

Notable Days

2010-03-01: Highest Volume — 52 contracts
2010-03-19: Largest IV spike — 44.0% change
2010-03-10: Highest IV Rank — 15.9%
2010-03-03: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.71	$5.56	$5.84	$5.78	$5.56
Max Pain	$5.17	$5.00	$6.25	$6.25	$5.00
ATM IV	35.2%	24.8%	48.8%	40.7%	39.4%
Expected Move	9.4%	7.1%	12.4%	11.7%	11.3%
HV 20d	19.1%	16.7%	22.2%	22.2%	19.5%
HV 60d	41.7%	38.9%	44.2%	44.2%	38.9%
IV Rank	6.9%	0.0%	15.9%	10.3%	10.1%
IV Percentile	26.8%	0.0%	61.9%	44.4%	45.2%
Term Structure	2.1%	-19.0%	16.5%	-7.5%	-7.5%
VWIV	39.6%	32.9%	46.3%	46.3%	32.9%
Bid-Ask Spread %	99.10	30.45	116.77	82.81	113.13
Gamma HHI	0.81	0.54	0.94	0.54	0.69
Net GEX	1.2K	478	2.2K	478	749
Net DEX	-24.6K	-42.9K	-14.8K	-18.2K	-15.1K
Net VEX	-152	-178	-101	-101	-149
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	0.00	0.00
Total Volume	8.087	0	52	52	0
Total OI	199.043	94	240	94	196

Daily Data (23 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
2010-03-01	$5.78	$0.00	40.7%	11.7%	22.2%	10.3%	46.3%	0.0%	-7.5%	478	-18.2K	-101	0.00	82.81	N/A	N/A	52	0	72	22
2010-03-02	$5.79	$6.25	34.6%	9.9%	22.2%	6.2%	0.0%	0.0%	0.1%	1.2K	-26.8K	-134	0.00	73.59	N/A	N/A	10	0	120	22
2010-03-03	$5.79	$6.25	43.3%	12.4%	22.2%	12.1%	0.0%	0.0%	-19.0%	1.2K	-27.3K	-132	1.00	105.75	N/A	N/A	20	20	120	22
2010-03-04	$5.75	$6.25	41.6%	11.9%	22.0%	10.9%	0.0%	0.0%	-14.7%	1.3K	-32.8K	-165	0.00	103.02	N/A	N/A	0	0	140	42
2010-03-05	$5.83	$5.00	42.5%	10.1%	20.5%	11.6%	0.0%	0.0%	1.9%	1.4K	-35.9K	-165	0.00	67.44	N/A	N/A	40	0	140	42
2010-03-08	$5.84	$5.00	47.6%	8.4%	19.9%	15.0%	0.0%	0.0%	16.4%	2.2K	-42.9K	-178	0.00	98.93	N/A	N/A	2	0	180	42
2010-03-09	$5.82	$5.00	47.2%	10.2%	19.2%	14.8%	0.0%	0.0%	-0.5%	2.2K	-40.9K	-172	0.00	81.89	N/A	N/A	2	0	182	42
2010-03-10	$5.75	$5.00	48.8%	7.7%	18.0%	15.9%	0.0%	0.0%	9.9%	2.2K	-37.2K	-163	0.00	116.77	N/A	N/A	0	0	184	42
2010-03-11	$5.75	$5.00	32.9%	9.4%	17.3%	5.1%	0.0%	0.0%	-0.6%	2.0K	-35.3K	-165	0.00	92.32	N/A	N/A	0	0	184	42
2010-03-12	$5.67	$5.00	28.6%	8.2%	17.4%	2.1%	0.0%	0.0%	7.4%	1.8K	-30.9K	-154	0.00	116.33	N/A	N/A	0	4	184	42
2010-03-15	$5.62	$5.00	30.3%	8.7%	17.5%	3.3%	32.9%	0.0%	5.9%	1.5K	-26.2K	-142	0.00	115.98	N/A	N/A	8	0	184	44
2010-03-16	$5.70	$5.00	26.4%	7.6%	18.3%	0.7%	0.0%	0.0%	16.3%	1.7K	-25.7K	-139	0.00	116.23	N/A	N/A	0	20	176	44
2010-03-17	$5.75	$5.00	26.6%	7.6%	18.3%	0.8%	0.0%	0.0%	16.5%	914	-19.1K	-164	0.00	101.93	N/A	N/A	0	0	176	64
2010-03-18	$5.74	$5.00	24.8%	7.1%	16.7%	0.0%	0.0%	0.0%	10.7%	878	-18.4K	-155	0.00	98.83	N/A	N/A	0	0	176	64
2010-03-19	$5.58	$5.00	35.8%	10.2%	16.8%	7.4%	0.0%	0.0%	1.2%	818	-14.8K	-156	0.00	115.23	N/A	N/A	0	0	176	64
2010-03-22	$5.70	$5.00	25.6%	7.3%	18.2%	0.5%	0.0%	0.0%	15.8%	776	-16.6K	-150	0.00	30.45	N/A	N/A	0	0	126	62
2010-03-23	$5.75	$5.00	27.3%	7.8%	18.4%	1.7%	0.0%	0.0%	9.6%	853	-18.0K	-149	0.00	114.36	N/A	N/A	0	0	126	62
2010-03-24	$5.67	$5.00	26.1%	7.5%	18.8%	0.9%	0.0%	0.0%	8.4%	754	-16.0K	-148	0.00	113.60	N/A	N/A	8	0	126	62
2010-03-25	$5.61	$5.00	33.6%	9.6%	18.9%	6.1%	0.0%	0.0%	-7.6%	782	-17.1K	-153	0.00	94.66	N/A	N/A	0	0	134	62
2010-03-26	$5.62	$5.00	34.2%	9.8%	18.4%	6.5%	0.0%	0.0%	2.0%	809	-16.3K	-155	0.00	112.89	N/A	N/A	0	0	134	62
2010-03-29	$5.71	$5.00	33.3%	9.5%	18.6%	5.9%	0.0%	0.0%	-11.4%	873	-18.4K	-152	0.00	97.81	N/A	N/A	0	0	134	62
2010-03-30	$5.63	$5.00	39.2%	11.2%	19.1%	10.0%	0.0%	0.0%	-5.2%	824	-16.7K	-151	0.00	115.40	N/A	N/A	0	0	134	62
2010-03-31	$5.56	$5.00	39.4%	11.3%	19.5%	10.1%	0.0%	0.0%	-7.5%	749	-15.1K	-149	0.00	113.13	N/A	N/A	0	0	134	62