FIZZ Options History — January 2011 In January 2011, FIZZ traded between $6.37 and $6.89. ATM implied volatility averaged 39.9%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 8.0% (HV 20d: 31.9%). Max pain ranged from $6.25 to $6.35. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-01-19 : Highest Volume — 152 contracts2011-01-10 : Largest IV spike — 41.1% change2011-01-12 : Highest IV Rank — 21.9%2011-01-13 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.70 $6.37 $6.89 $6.78 $6.72 Max Pain $6.31 $6.25 $6.35 $6.35 $6.25 ATM IV 39.9% 24.0% 56.8% 29.0% 36.8% Expected Move 10.8% 6.9% 15.8% 8.3% 10.5% HV 20d 31.9% 20.8% 52.2% 52.2% 28.0% HV 60d 35.8% 34.4% 37.6% 37.6% 36.2% IV Rank 11.6% 2.0% 21.9% 5.0% 9.7% IV Percentile 60.0% 1.2% 90.9% 18.3% 50.4% Term Structure 2.3% -18.7% 16.1% 9.0% -6.1% VWIV 35.1% 28.5% 41.8% 28.5% 41.8% Skew 25d 10.4% 0.5% 18.9% 5.9% 14.2% Skew 10d 13.0% -6.8% 35.3% 19.8% 22.4% Call IV 25d 31.3% 23.8% 50.3% 36.0% 27.9% Put IV 25d 41.7% 35.3% 52.5% 41.9% 42.1% Bid-Ask Spread % 128.41 43.99 147.69 43.99 146.54 Gamma HHI 0.76 0.55 0.95 0.55 0.76 Net GEX 1.8K 548 7.7K 548 2.0K Net DEX -170.2K -292.6K -38.0K -171.7K -69.9K Net VEX -397 -520 -308 -497 -377 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 19.3 0 152 0 8 Total OI 1,194.7 260 1,652 1,560 308
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 2011-01-03 $6.78 $6.35 29.0% 8.3% 52.2% 5.0% 0.0% 5.9% 9.0% 548 -171.7K -497 0.00 43.99 N/A N/A 0 0 460 1,100 2011-01-04 $6.70 $6.35 24.0% 6.9% 47.9% 2.0% 0.0% 11.0% 6.0% 810 -194.0K -447 0.00 130.17 N/A N/A 0 0 460 1,100 2011-01-05 $6.80 $6.35 27.5% 7.9% 47.9% 4.1% 28.5% 13.7% 6.5% 711 -212.6K -393 0.00 129.25 N/A N/A 2 0 460 1,100 2011-01-06 $6.83 $6.35 36.5% 10.5% 48.0% 9.6% 0.0% 15.9% -8.1% 672 -197.9K -435 0.00 131.10 N/A N/A 0 0 462 1,100 2011-01-07 $6.82 $0.00 36.6% 11.2% 47.5% 9.6% 0.0% 15.7% 2.4% 687 -199.6K -428 0.00 127.62 N/A N/A 0 0 462 1,100 2011-01-10 $6.83 $0.00 51.6% 11.0% 47.5% 18.7% 0.0% 14.0% 3.8% 917 -223.8K -342 0.00 129.32 N/A N/A 100 0 462 1,100 2011-01-11 $6.82 $0.00 42.7% 11.1% 47.6% 13.3% 0.0% 14.9% 2.3% 1.4K -234.7K -459 0.00 130.19 N/A N/A 28 0 524 1,100 2011-01-12 $6.89 $0.00 56.8% 8.4% 23.4% 21.9% 0.0% 15.2% 16.1% 1.6K -242.1K -520 0.00 130.88 N/A N/A 0 0 552 1,100 2011-01-13 $6.86 $0.00 55.0% 15.8% 22.3% 20.8% 0.0% 2.2% -18.7% 1.5K -292.6K -392 0.00 136.10 N/A N/A 24 0 552 1,100 2011-01-14 $6.83 $0.00 40.2% 11.5% 21.8% 11.8% 0.0% 0.7% 0.9% 1.5K -255.8K -455 0.00 131.79 N/A N/A 0 0 542 1,100 2011-01-18 $6.86 $0.00 40.9% 11.7% 20.8% 12.2% 0.0% 0.5% 1.0% 1.4K -269.3K -399 0.00 129.13 N/A N/A 0 0 540 1,100 2011-01-19 $6.70 $0.00 39.6% 11.4% 22.5% 11.5% 0.0% 1.0% 4.1% 1.5K -221.8K -427 0.00 127.28 N/A N/A 0 152 540 1,100 2011-01-20 $6.63 $0.00 41.1% 11.8% 22.7% 12.4% 0.0% 7.8% 3.6% 5.7K -225.6K -398 0.00 126.99 N/A N/A 0 0 540 990 2011-01-21 $6.50 $0.00 45.0% 12.9% 23.5% 14.7% 0.0% 15.0% -2.5% 7.7K -181.4K -387 0.00 118.68 N/A N/A 24 0 540 990 2011-01-24 $6.47 $0.00 39.7% 11.4% 23.5% 11.5% 0.0% 18.9% 4.4% 1.3K -43.2K -323 0.00 125.11 N/A N/A 0 0 192 68 2011-01-25 $6.48 $0.00 37.6% 10.8% 23.0% 10.2% 0.0% 9.1% 8.2% 1.4K -42.2K -317 0.00 140.14 N/A N/A 0 0 192 68 2011-01-26 $6.52 $0.00 40.1% 11.5% 23.1% 11.7% 41.8% 13.4% 4.6% 1.4K -45.8K -319 0.00 147.69 N/A N/A 0 2 192 68 2011-01-27 $6.48 $6.25 39.0% 11.2% 22.6% 11.1% 0.0% 11.9% 4.4% 1.3K -43.0K -314 0.00 140.92 N/A N/A 6 0 192 70 2011-01-28 $6.37 $6.25 38.6% 11.1% 23.2% 10.8% 0.0% 8.2% 3.2% 1.4K -38.0K -308 0.00 145.34 N/A N/A 40 0 198 70 2011-01-31 $6.72 $6.25 36.8% 10.5% 28.0% 9.7% 0.0% 14.2% -6.1% 2.0K -69.9K -377 0.00 146.54 N/A N/A 8 0 238 70
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