FIZZ Options History — February 2011 In February 2011, FIZZ traded between $6.22 and $6.83. ATM implied volatility averaged 43.1%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 13.9% (HV 20d: 29.1%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2011-02-04 : Highest Volume — 40 contracts2011-02-03 : Largest IV spike — 17.2% change2011-02-28 : Highest IV Rank — 16.7%2011-02-28 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $6.39 $6.22 $6.83 $6.83 $6.34 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 43.1% 34.8% 48.3% 41.6% 48.3% Expected Move 12.4% 10.0% 13.9% 11.9% 13.9% HV 20d 29.1% 25.8% 31.4% 26.1% 30.9% HV 60d 36.9% 36.3% 37.1% 36.3% 36.8% IV Rank 13.5% 8.5% 16.7% 12.6% 16.7% IV Percentile 74.9% 41.3% 84.5% 74.6% 84.5% Term Structure -1.6% -13.5% 2.4% -13.4% -1.4% VWIV 49.8% 49.8% 49.8% 49.8% 49.8% Skew 25d 8.7% -6.1% 13.8% 13.8% 9.1% Skew 10d 13.5% 5.7% 23.9% 23.9% 17.7% Call IV 25d 34.5% 26.5% 47.5% 26.5% 36.7% Put IV 25d 43.2% 39.8% 47.8% 40.3% 45.8% Bid-Ask Spread % 146.76 128.70 160.58 144.51 145.73 Gamma HHI 0.77 0.72 0.84 0.76 0.83 Net GEX 2.5K 1.9K 3.1K 1.9K 3.1K Net DEX -73.4K -91.1K -58.5K -79.4K -83.8K Net VEX -443 -505 -369 -389 -479 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 6.421 0 40 0 2 Total OI 377.684 314 432 314 432
Daily Data (19 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 2011-02-01 $6.83 $6.25 41.6% 11.9% 26.1% 12.6% 0.0% 13.8% -13.4% 1.9K -79.4K -389 0.00 144.51 N/A N/A 0 0 244 70 2011-02-02 $6.79 $6.25 34.8% 10.0% 25.8% 8.5% 0.0% -6.1% 1.7% 1.9K -79.2K -395 0.00 145.51 N/A N/A 0 0 244 70 2011-02-03 $6.53 $6.25 40.8% 11.7% 28.9% 12.2% 0.0% 13.6% -13.5% 1.9K -66.4K -386 0.00 145.27 N/A N/A 0 0 244 70 2011-02-04 $6.46 $0.00 38.0% 11.6% 28.9% 10.5% 0.0% 10.2% 1.1% 1.9K -58.5K -369 0.00 134.41 N/A N/A 40 0 244 70 2011-02-07 $6.40 $0.00 41.8% 12.4% 29.0% 12.8% 0.0% 11.0% -1.0% 2.3K -72.7K -436 0.00 128.70 N/A N/A 0 0 284 70 2011-02-08 $6.45 $0.00 43.2% 11.9% 29.2% 13.6% 0.0% 10.9% 0.4% 2.3K -73.2K -431 0.00 146.24 N/A N/A 0 0 284 70 2011-02-09 $6.30 $0.00 42.1% 12.1% 30.0% 13.0% 0.0% 9.4% 0.4% 2.2K -66.8K -419 0.00 147.15 N/A N/A 0 0 284 70 2011-02-10 $6.29 $0.00 43.1% 12.4% 29.6% 13.6% 0.0% 7.9% -0.3% 2.2K -64.1K -418 0.00 147.84 N/A N/A 0 0 284 70 2011-02-11 $6.25 $0.00 43.1% 12.4% 29.6% 13.6% 0.0% 5.3% 0.9% 2.2K -63.3K -416 0.00 130.75 N/A N/A 0 10 284 70 2011-02-14 $6.25 $0.00 45.0% 12.9% 29.6% 14.7% 0.0% 8.0% -1.3% 2.2K -59.6K -423 0.00 148.38 N/A N/A 30 0 284 80 2011-02-15 $6.28 $0.00 43.9% 12.6% 29.6% 14.0% 0.0% 4.6% -1.8% 2.6K -67.8K -446 0.00 139.01 N/A N/A 20 0 314 80 2011-02-16 $6.28 $0.00 43.8% 12.6% 28.8% 14.0% 0.0% 8.0% -0.7% 2.8K -76.2K -479 0.00 152.51 N/A N/A 0 0 334 80 2011-02-17 $6.30 $0.00 43.4% 12.4% 28.8% 13.7% 0.0% 8.4% -1.1% 2.9K -77.5K -475 0.00 152.68 N/A N/A 0 10 334 80 2011-02-18 $6.36 $0.00 41.5% 11.9% 28.3% 12.6% 0.0% 8.2% 2.4% 2.7K -79.7K -493 0.00 154.73 N/A N/A 0 0 334 90 2011-02-22 $6.25 $0.00 46.0% 13.2% 28.9% 15.3% 0.0% 11.2% -0.4% 2.8K -74.9K -480 0.00 151.41 N/A N/A 0 0 334 88 2011-02-23 $6.22 $0.00 45.9% 13.2% 28.9% 15.3% 0.0% 11.8% -0.6% 2.8K -73.8K -476 0.00 152.48 N/A N/A 10 0 334 88 2011-02-24 $6.43 $0.00 47.3% 13.6% 31.4% 16.1% 0.0% 10.8% -1.7% 2.9K -91.1K -505 0.00 160.58 N/A N/A 0 0 344 88 2011-02-25 $6.42 $0.00 44.2% 12.7% 31.3% 14.2% 0.0% 8.8% -0.4% 3.1K -86.5K -495 0.00 160.48 N/A N/A 0 0 344 88 2011-02-28 $6.34 $0.00 48.3% 13.9% 30.9% 16.7% 49.8% 9.1% -1.4% 3.1K -83.8K -479 0.00 145.73 N/A N/A 0 2 344 88
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