FIZZ Options History — June 2010

In June 2010, FIZZ traded between $5.74 and $6.42. ATM implied volatility averaged 56.4%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 28.5% (HV 20d: 27.9%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.15.

Notable Days

2010-06-28: Highest Volume — 58 contracts
2010-06-17: Largest IV spike — 374.1% change
2010-06-17: Highest IV Rank — 99.4%
2010-06-17: Largest Expected Move — 52.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.04	$5.74	$6.42	$5.88	$6.14
Max Pain	$6.25	$6.25	$6.25	$6.25	$6.25
ATM IV	56.4%	20.8%	184.5%	29.4%	36.1%
Expected Move	14.9%	6.0%	52.9%	8.4%	10.4%
HV 20d	27.9%	23.3%	35.6%	29.0%	34.0%
HV 60d	24.5%	22.5%	28.1%	22.5%	28.1%
IV Rank	20.7%	0.0%	99.4%	3.4%	9.3%
IV Percentile	52.8%	0.0%	99.6%	14.3%	42.5%
Term Structure	21.5%	-96.8%	117.0%	13.4%	1.6%
VWIV	33.9%	24.0%	39.0%	33.8%	24.0%
Skew 25d	12.2%	-4.3%	64.2%	8.0%	6.7%
Skew 10d	11.3%	-13.1%	56.6%	10.3%	0.6%
Call IV 25d	57.3%	18.5%	169.5%	31.7%	31.4%
Put IV 25d	69.6%	29.0%	182.6%	39.6%	38.0%
Bid-Ask Spread %	139.94	69.52	197.48	115.47	159.84
Gamma HHI	0.48	0.34	0.70	0.45	0.65
Net GEX	125	-809	2.0K	-71	2.0K
Net DEX	-2.5K	-36.0K	19.3K	3.5K	-28.6K
Net VEX	-152	-229	-102	-116	-203
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	1.00	1.00	0.00
Total Volume	12.455	0	58	0	56
Total OI	183.273	140	256	140	256

Daily Data (22 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
2010-06-01	$5.88	$0.00	29.4%	8.4%	29.0%	3.4%	0.0%	8.0%	13.4%	-71	3.5K	-116	0.00	115.47	N/A	N/A	0	0	58	82
2010-06-02	$6.06	$0.00	29.2%	8.4%	30.6%	3.2%	0.0%	8.0%	19.9%	-63	1.9K	-113	0.00	119.69	N/A	N/A	0	0	58	82
2010-06-03	$5.99	$0.00	104.3%	29.9%	30.2%	49.7%	0.0%	-2.2%	-32.0%	-98	-305	-133	1.00	183.00	N/A	N/A	20	20	58	82
2010-06-04	$5.82	$6.25	35.5%	10.9%	31.7%	7.1%	0.0%	15.0%	-4.6%	-430	15.1K	-127	0.00	118.40	N/A	N/A	0	0	58	102
2010-06-07	$5.74	$6.25	41.0%	9.5%	31.8%	10.6%	0.0%	16.0%	3.2%	-453	19.3K	-112	0.00	122.74	N/A	N/A	0	0	58	102
2010-06-08	$5.80	$6.25	40.9%	9.5%	24.7%	10.5%	0.0%	15.1%	2.9%	-442	17.6K	-113	0.00	122.06	N/A	N/A	0	0	58	102
2010-06-09	$5.86	$6.25	40.8%	9.0%	23.3%	10.4%	33.8%	3.8%	4.7%	-452	16.2K	-111	0.00	113.81	N/A	N/A	20	0	58	102
2010-06-10	$6.00	$6.25	38.0%	10.9%	24.9%	8.7%	0.0%	7.3%	-0.2%	-808	15.8K	-103	0.00	119.86	N/A	N/A	0	0	38	102
2010-06-11	$6.04	$6.25	38.7%	11.1%	25.0%	9.1%	0.0%	6.6%	-1.7%	-809	14.8K	-102	0.00	121.82	N/A	N/A	20	0	38	102
2010-06-14	$6.16	$6.25	38.4%	11.0%	25.9%	9.0%	38.6%	7.7%	-1.3%	-631	7.7K	-131	0.00	69.52	N/A	N/A	40	0	58	102
2010-06-15	$6.15	$6.25	40.5%	11.6%	25.9%	10.2%	0.0%	6.7%	-3.0%	-105	-1.4K	-178	0.00	99.34	N/A	N/A	0	0	96	102
2010-06-16	$6.15	$6.25	38.9%	11.2%	25.7%	9.3%	39.0%	6.0%	-2.3%	-130	-706	-173	0.00	102.13	N/A	N/A	20	0	96	102
2010-06-17	$6.14	$6.25	184.5%	52.9%	25.7%	99.4%	0.0%	13.0%	-96.8%	94	-17.0K	-221	0.00	197.48	N/A	N/A	0	0	116	102
2010-06-18	$6.04	$6.25	20.8%	6.0%	25.0%	0.0%	24.0%	64.2%	77.9%	545	574	-187	0.00	113.81	N/A	N/A	0	20	116	102
2010-06-21	$5.99	$6.25	25.6%	7.3%	24.7%	2.9%	0.0%	16.7%	109.7%	930	-1.5K	-132	0.00	113.21	N/A	N/A	0	0	116	82
2010-06-22	$5.94	$6.25	106.7%	30.6%	24.7%	52.2%	0.0%	9.0%	117.0%	301	-14.7K	-191	0.00	173.67	N/A	N/A	0	0	116	82
2010-06-23	$6.07	$6.25	32.1%	9.2%	25.1%	6.9%	0.0%	4.0%	2.5%	938	-5.7K	-145	0.00	144.74	N/A	N/A	0	0	116	82
2010-06-24	$6.01	$6.25	117.1%	33.6%	25.4%	58.5%	0.0%	13.1%	96.6%	299	-16.5K	-189	0.00	194.05	N/A	N/A	0	0	116	82
2010-06-25	$6.39	$6.25	128.1%	0.0%	32.5%	65.2%	0.0%	24.8%	93.6%	454	-25.2K	-191	0.00	196.12	N/A	N/A	0	0	116	82
2010-06-28	$6.42	$6.25	36.0%	10.3%	32.5%	9.3%	0.0%	23.7%	-22.5%	354	-20.3K	-146	0.04	194.54	N/A	N/A	56	2	116	82
2010-06-29	$6.16	$6.25	38.5%	11.0%	35.6%	10.8%	0.0%	-4.3%	93.4%	1.3K	-36.0K	-229	0.00	183.38	N/A	N/A	0	0	172	84
2010-06-30	$6.14	$6.25	36.1%	10.4%	34.0%	9.3%	0.0%	6.7%	1.6%	2.0K	-28.6K	-203	0.00	159.84	N/A	N/A	56	0	172	84