FIZZ Options History — May 2010 In May 2010, FIZZ traded between $5.54 and $6.00. ATM implied volatility averaged 78.6%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 53.6% (HV 20d: 25.0%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2010-05-27 : Highest Volume — 12 contracts2010-05-20 : Largest IV spike — 357.3% change2010-05-07 : Highest IV Rank — 100.0%2010-05-20 : Largest Expected Move — 53.2%Monthly Statistics Metric Avg Min Max Open Close Price $5.86 $5.54 $6.00 $5.83 $5.97 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 78.6% 28.5% 185.5% 45.9% 112.4% Expected Move 21.6% 8.0% 53.2% 13.2% 32.2% HV 20d 25.0% 17.5% 28.4% 18.6% 28.4% HV 60d 21.3% 18.8% 22.5% 19.3% 22.4% IV Rank 34.9% 2.9% 100.0% 15.1% 54.7% IV Percentile 62.4% 9.9% 100.0% 70.6% 97.6% Term Structure 21.1% -91.8% 147.1% 0.1% 20.1% Skew 25d 6.4% -0.2% 11.3% 11.3% -0.2% Skew 10d 10.3% -3.8% 42.5% 42.5% -3.8% Call IV 25d 45.6% 33.6% 81.4% 81.4% 37.1% Put IV 25d 51.9% 37.0% 92.8% 92.8% 37.0% Bid-Ask Spread % 153.48 106.74 188.51 144.09 183.69 Gamma HHI 0.54 0.42 0.80 0.80 0.53 Net GEX -156 -346 -39 -279 -147 Net DEX 1.4K -4.4K 7.6K 7.6K 3.2K Net VEX -141 -157 -123 -126 -125 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 0.7 0 12 0 0 Total OI 149.3 140 152 150 140
Daily Data (20 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 2010-05-03 $5.83 $6.25 45.9% 13.2% 18.6% 15.1% 0.0% 0.0% 0.1% -279 7.6K -126 0.00 144.09 N/A N/A 0 0 64 86 2010-05-04 $5.78 $6.25 38.1% 10.9% 19.0% 9.7% 0.0% 0.0% 18.1% -175 5.8K -144 0.00 139.64 N/A N/A 0 0 64 86 2010-05-05 $5.67 $6.25 38.2% 10.9% 19.7% 9.8% 0.0% 0.0% 147.1% -69 7.5K -143 0.00 170.39 N/A N/A 0 0 64 86 2010-05-06 $5.61 $6.25 152.4% 0.0% 17.5% 88.5% 0.0% 0.0% 119.2% -65 1.5K -157 0.00 185.47 N/A N/A 0 0 64 86 2010-05-07 $5.54 $0.00 178.5% 51.2% 18.1% 100.0% 0.0% 0.0% -35.1% -39 402 -154 0.00 188.51 N/A N/A 0 0 64 86 2010-05-10 $5.86 $0.00 33.9% 8.0% 26.2% 6.4% 0.0% 0.0% 10.9% -197 5.4K -135 0.00 119.98 N/A N/A 0 0 64 86 2010-05-11 $6.00 $0.00 28.5% 11.4% 27.1% 2.9% 0.0% 0.0% -1.4% -203 844 -141 0.00 106.74 N/A N/A 0 0 64 86 2010-05-12 $6.00 $0.00 31.6% 10.2% 26.1% 4.9% 0.0% 0.0% -0.8% -163 111 -138 0.00 109.13 N/A N/A 0 0 64 86 2010-05-13 $5.97 $0.00 34.8% 10.0% 26.2% 7.0% 0.0% 0.0% 7.8% -163 751 -138 0.00 140.47 N/A N/A 2 0 64 86 2010-05-14 $6.00 $0.00 88.5% 25.4% 26.2% 41.8% 0.0% 0.0% 106.8% -346 -4.4K -155 0.00 177.46 N/A N/A 0 0 66 86 2010-05-17 $5.99 $0.00 117.5% 33.7% 26.2% 60.5% 0.0% 0.0% -48.9% -287 -3.7K -153 0.00 185.02 N/A N/A 0 0 66 86 2010-05-18 $5.95 $0.00 33.7% 9.7% 26.2% 6.3% 0.0% 0.0% 8.9% -190 69 -138 0.00 121.24 N/A N/A 0 0 66 86 2010-05-19 $5.96 $0.00 40.6% 11.6% 26.1% 10.7% 0.0% 0.0% 115.6% -104 -3.4K -152 0.00 164.05 N/A N/A 0 0 66 86 2010-05-20 $5.82 $0.00 185.5% 53.2% 27.5% 100.0% 0.0% 0.0% -49.8% -57 -2.8K -150 0.00 148.83 N/A N/A 0 0 66 86 2010-05-21 $5.91 $0.00 183.1% 52.5% 28.0% 98.5% 0.0% 0.0% -91.8% -206 484 -143 0.00 185.57 N/A N/A 0 0 66 86 2010-05-24 $5.86 $0.00 56.1% 16.1% 28.1% 19.9% 0.0% 11.3% 66.4% -198 -1.6K -144 0.00 180.51 N/A N/A 0 0 64 82 2010-05-25 $5.78 $0.00 106.8% 30.6% 28.1% 51.3% 0.0% 7.2% 9.2% -101 4.2K -130 0.00 185.69 N/A N/A 0 0 64 82 2010-05-26 $5.81 $0.00 32.4% 9.3% 27.9% 5.2% 0.0% 6.7% 8.0% -80 3.6K -125 0.00 116.24 N/A N/A 0 0 64 82 2010-05-27 $5.92 $0.00 33.0% 9.5% 28.4% 5.6% 0.0% 6.7% 10.3% -60 1.9K -123 0.00 116.86 N/A N/A 12 0 64 82 2010-05-28 $5.97 $0.00 112.4% 32.2% 28.4% 54.7% 0.0% -0.2% 20.1% -147 3.2K -125 0.00 183.69 N/A N/A 0 0 58 82
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