FIZZ Options History — April 2010 In April 2010, FIZZ traded between $5.41 and $5.84. ATM implied volatility averaged 37.9%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 17.7% (HV 20d: 20.2%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2010-04-14 : Highest Volume — 20 contracts2010-04-15 : Largest IV drop — 59.5% change2010-04-14 : Highest IV Rank — 39.1%2010-04-01 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $5.64 $5.41 $5.84 $5.57 $5.80 Max Pain $6.03 $5.00 $6.25 $5.00 $6.25 ATM IV 37.9% 24.0% 81.3% 40.4% 30.2% Expected Move 8.6% 6.9% 11.6% 11.6% 8.7% HV 20d 20.2% 18.6% 22.9% 19.4% 18.9% HV 60d 24.1% 19.5% 38.8% 38.8% 20.0% IV Rank 9.2% 0.0% 39.1% 10.8% 4.3% IV Percentile 33.7% 0.0% 89.3% 49.6% 14.7% Term Structure 6.4% -8.5% 16.9% -8.5% 6.0% VWIV 33.6% 33.3% 34.0% 34.0% 33.3% Bid-Ask Spread % 109.19 29.95 140.94 114.87 115.28 Gamma HHI 0.66 0.45 0.83 0.71 0.58 Net GEX 116 -194 761 761 -171 Net DEX -2.5K -15.1K 8.5K -15.1K 4.5K Net VEX -143 -158 -124 -143 -151 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 2.476 0 20 0 0 Total OI 177.714 150 224 196 150
Daily Data (21 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 2010-04-01 $5.57 $5.00 40.4% 11.6% 19.4% 10.8% 0.0% 0.0% -8.5% 761 -15.1K -143 0.00 114.87 N/A N/A 0 0 134 62 2010-04-05 $5.53 $0.00 42.0% 7.8% 18.7% 11.9% 0.0% 0.0% 9.2% 517 -12.1K -133 0.00 115.64 N/A N/A 0 0 134 62 2010-04-06 $5.52 $0.00 44.4% 9.0% 18.6% 13.5% 0.0% 0.0% 9.2% 576 -12.2K -139 0.00 117.31 N/A N/A 0 0 134 62 2010-04-07 $5.59 $0.00 42.5% 11.0% 19.4% 12.2% 34.0% 0.0% 7.1% 483 -13.5K -134 0.00 101.95 N/A N/A 2 0 134 62 2010-04-08 $5.45 $0.00 45.7% 10.3% 21.1% 14.5% 0.0% 0.0% 0.1% 506 -11.2K -133 0.00 98.39 N/A N/A 0 0 134 62 2010-04-09 $5.47 $5.00 46.9% 8.4% 21.3% 15.3% 0.0% 0.0% 14.1% 436 -11.3K -129 0.00 114.38 N/A N/A 0 0 136 62 2010-04-12 $5.41 $5.00 57.5% 10.0% 21.2% 22.7% 33.3% 0.0% 8.6% 467 -10.3K -126 0.00 91.44 N/A N/A 0 10 136 62 2010-04-13 $5.46 $6.25 56.2% 8.3% 21.6% 21.7% 0.0% 0.0% 9.2% 220 -7.7K -124 0.00 101.17 N/A N/A 0 0 136 68 2010-04-14 $5.60 $6.25 81.3% 7.9% 22.9% 39.1% 0.0% 0.0% -0.7% 549 -13.1K -132 0.00 132.60 N/A N/A 0 20 136 68 2010-04-15 $5.63 $6.25 33.0% 9.5% 22.7% 5.7% 0.0% 0.0% -3.9% -157 -5.2K -154 0.00 118.29 N/A N/A 0 0 136 88 2010-04-16 $5.66 $6.25 28.3% 8.1% 22.8% 2.4% 0.0% 0.0% 0.1% -165 -6.3K -158 0.00 118.55 N/A N/A 20 0 136 88 2010-04-19 $5.70 $6.25 25.1% 7.2% 20.8% 0.2% 0.0% 0.0% 13.5% -171 8.1K -153 0.00 113.45 N/A N/A 0 0 64 86 2010-04-20 $5.75 $6.25 28.5% 8.2% 20.0% 2.5% 0.0% 0.0% 14.9% -176 7.3K -154 0.00 95.62 N/A N/A 0 0 64 86 2010-04-21 $5.79 $6.25 28.3% 8.1% 19.9% 2.4% 0.0% 0.0% 8.6% -165 4.9K -158 0.00 113.48 N/A N/A 0 0 64 86 2010-04-22 $5.75 $6.25 29.3% 8.4% 19.4% 3.1% 0.0% 0.0% 7.9% -172 6.9K -154 0.00 140.94 N/A N/A 0 0 64 86 2010-04-23 $5.75 $6.25 29.9% 8.6% 19.0% 3.5% 0.0% 0.0% 7.8% -194 8.3K -137 0.00 115.82 N/A N/A 0 0 64 86 2010-04-26 $5.79 $6.25 24.0% 6.9% 19.1% 0.0% 0.0% 0.0% 16.9% -181 5.8K -151 0.00 29.95 N/A N/A 0 0 64 86 2010-04-27 $5.71 $6.25 27.8% 8.0% 19.2% 2.6% 0.0% 0.0% -1.2% -182 8.5K -144 0.00 114.64 N/A N/A 0 0 64 86 2010-04-28 $5.77 $6.25 30.7% 8.8% 18.9% 4.7% 0.0% 0.0% -0.4% -172 6.5K -149 0.00 114.25 N/A N/A 0 0 64 86 2010-04-29 $5.84 $6.25 24.2% 6.9% 18.6% 0.1% 0.0% 0.0% 15.0% -183 4.8K -152 0.00 114.95 N/A N/A 0 0 64 86 2010-04-30 $5.80 $6.25 30.2% 8.7% 18.9% 4.3% 0.0% 0.0% 6.0% -171 4.5K -151 0.00 115.28 N/A N/A 0 0 64 86
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