FIZZ Options History — October 2010

In October 2010, FIZZ traded between $7.01 and $7.37. ATM implied volatility averaged 37.4%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.7% (HV 20d: 28.7%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2010-10-06: Highest Volume — 40 contracts
2010-10-12: Largest IV spike — 37.9% change
2010-10-12: Highest IV Rank — 30.8%
2010-10-28: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.19	$7.01	$7.37	$7.06	$7.15
Max Pain	$6.41	$6.25	$7.50	$6.25	$6.25
ATM IV	37.4%	24.9%	71.4%	36.9%	36.2%
Expected Move	9.2%	7.7%	10.6%	10.6%	10.4%
HV 20d	28.7%	18.3%	33.1%	18.3%	33.0%
HV 60d	36.1%	35.0%	36.7%	35.7%	36.2%
IV Rank	10.1%	2.5%	30.8%	9.8%	9.4%
IV Percentile	45.8%	1.6%	92.5%	52.4%	48.0%
Term Structure	3.4%	-1.8%	9.6%	1.6%	4.4%
VWIV	38.2%	31.3%	45.0%	31.3%	45.0%
Skew 25d	1.8%	-7.2%	6.4%	4.4%	3.0%
Skew 10d	2.2%	-8.2%	6.5%	6.5%	-0.2%
Call IV 25d	28.7%	23.9%	32.6%	23.9%	32.3%
Put IV 25d	30.6%	19.7%	36.2%	28.3%	35.4%
Bid-Ask Spread %	139.41	108.89	161.84	161.84	152.85
Gamma HHI	0.52	0.50	0.56	0.56	0.52
Net GEX	-2.5K	-6.2K	421	-6.2K	-3.0K
Net DEX	-26.2K	-63.2K	29.3K	29.3K	-14.6K
Net VEX	-1.3K	-1.5K	-1.2K	-1.5K	-1.2K
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	6.762	0	40	0	2
Total OI	1,336.19	1,106	1,572	1,520	1,114

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2010-10-01	$7.06	$6.25	36.9%	10.6%	18.3%	9.8%	0.0%	4.4%	1.6%	-6.2K	29.3K	-1.5K	161.84	N/A	N/A	0	412	1,108
2010-10-04	$7.11	$0.00	36.9%	7.7%	18.4%	9.8%	0.0%	-7.2%	4.3%	-4.7K	9.1K	-1.5K	108.89	N/A	N/A	0	412	1,108
2010-10-05	$7.37	$0.00	24.9%	9.1%	22.9%	2.5%	0.0%	0.5%	0.0%	421	-54.3K	-1.3K	112.52	N/A	N/A	12	412	1,108
2010-10-06	$7.20	$0.00	31.0%	8.8%	24.3%	6.2%	0.0%	0.7%	0.9%	-1.2K	-40.8K	-1.4K	108.89	N/A	N/A	40	424	1,108
2010-10-07	$7.01	$0.00	36.3%	8.1%	25.8%	9.5%	0.0%	-2.5%	2.5%	-3.4K	-13.9K	-1.4K	121.58	N/A	N/A	30	464	1,108
2010-10-08	$7.26	$0.00	45.8%	8.4%	29.1%	15.2%	31.3%	-1.4%	-0.1%	-1.2K	-51.5K	-1.3K	110.29	N/A	N/A	10	434	1,108
2010-10-11	$7.04	$7.50	51.8%	7.7%	30.8%	18.8%	0.0%	1.3%	5.6%	-4.0K	-8.5K	-1.4K	126.10	N/A	N/A	4	428	1,108
2010-10-12	$7.06	$7.50	71.4%	8.9%	30.6%	30.8%	45.0%	4.8%	7.1%	-5.3K	7.0K	-1.4K	141.08	N/A	N/A	14	432	1,108
2010-10-13	$7.28	$6.25	49.5%	9.6%	30.2%	17.4%	0.0%	0.1%	0.1%	295	-63.2K	-1.4K	140.18	N/A	N/A	2	446	1,108
2010-10-14	$7.25	$6.25	32.7%	9.4%	30.3%	7.2%	0.0%	-0.2%	0.1%	-419	-54.7K	-1.4K	145.67	N/A	N/A	20	444	1,108
2010-10-15	$7.25	$6.25	30.8%	8.8%	29.8%	6.1%	0.0%	0.4%	2.3%	-1.2K	-53.6K	-1.3K	147.67	N/A	N/A	0	432	1,108
2010-10-18	$7.34	$6.25	30.3%	8.7%	29.6%	5.8%	0.0%	0.9%	2.1%	-1.6K	-50.3K	-1.3K	151.09	N/A	N/A	8	358	748
2010-10-19	$7.21	$6.25	30.2%	8.7%	30.0%	5.7%	0.0%	6.4%	9.6%	-2.4K	-22.3K	-1.3K	151.86	N/A	N/A	0	366	748
2010-10-20	$7.30	$6.25	35.8%	10.3%	30.1%	9.2%	0.0%	2.5%	-1.8%	-1.8K	-45.1K	-1.2K	151.72	N/A	N/A	0	366	748
2010-10-21	$7.14	$6.25	33.3%	9.5%	30.7%	7.6%	0.0%	3.4%	5.7%	-2.6K	-17.3K	-1.3K	147.35	N/A	N/A	0	366	748
2010-10-22	$7.21	$6.25	31.7%	9.1%	30.6%	6.7%	0.0%	5.5%	6.7%	-2.4K	-26.7K	-1.2K	153.96	N/A	N/A	0	366	748
2010-10-25	$7.25	$6.25	33.6%	9.6%	30.6%	7.8%	0.0%	4.2%	4.5%	-2.1K	-37.1K	-1.2K	154.43	N/A	N/A	0	366	748
2010-10-26	$7.26	$6.25	33.5%	9.6%	30.6%	7.7%	0.0%	4.7%	6.3%	-2.1K	-37.5K	-1.2K	155.54	N/A	N/A	0	366	748
2010-10-27	$7.03	$6.25	35.6%	10.2%	32.9%	9.0%	0.0%	3.8%	5.5%	-3.7K	7.6K	-1.2K	132.06	N/A	N/A	0	366	748
2010-10-28	$7.11	$6.25	36.9%	10.6%	33.1%	9.8%	0.0%	3.5%	3.4%	-2.9K	-11.1K	-1.2K	152.15	N/A	N/A	0	366	748
2010-10-29	$7.15	$6.25	36.2%	10.4%	33.0%	9.4%	0.0%	3.0%	4.4%	-3.0K	-14.6K	-1.2K	152.85	N/A	N/A	2	366	748