FIZZ Options History — April 2011 In April 2011, FIZZ traded between $6.67 and $7.21. ATM implied volatility averaged 41.5%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 18.4% (HV 20d: 23.1%). Max pain ranged from $6.35 to $8.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-04-21 : Highest Volume — 40 contracts2011-04-12 : Largest IV spike — 67.6% change2011-04-13 : Highest IV Rank — 25.8%2011-04-04 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $6.95 $6.67 $7.21 $6.89 $6.96 Max Pain $8.63 $6.35 $8.75 $6.35 $8.75 ATM IV 41.5% 30.9% 63.2% 30.9% 38.4% Expected Move 10.8% 8.9% 12.5% 8.9% 11.0% HV 20d 23.1% 19.5% 26.4% 22.2% 23.0% HV 60d 24.5% 22.8% 25.3% 23.6% 22.8% IV Rank 12.6% 6.1% 25.8% 6.1% 10.7% IV Percentile 56.8% 20.6% 92.1% 20.6% 50.8% Term Structure 2.7% -10.8% 9.8% 8.4% 6.3% VWIV 28.3% 28.3% 28.3% 28.3% 28.3% Skew 25d 7.6% -0.1% 15.6% 9.3% 6.2% Skew 10d 11.5% 6.0% 19.0% 16.4% 11.9% Call IV 25d 30.6% 26.8% 35.6% 33.8% 33.3% Put IV 25d 38.2% 31.9% 43.8% 43.1% 39.5% Bid-Ask Spread % 135.56 116.81 146.11 146.11 140.94 Gamma HHI 0.53 0.31 0.86 0.71 0.31 Net GEX 2.2K 1.3K 2.8K 2.6K 2.0K Net DEX -86.2K -101.9K -63.2K -98.4K -82.1K Net VEX -311 -344 -271 -344 -337 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 6.1 0 40 20 0 Total OI 336 258 390 390 328
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 2011-04-01 $6.89 $6.35 30.9% 8.9% 22.2% 6.1% 28.3% 9.3% 8.4% 2.6K -98.4K -344 0.00 146.11 N/A N/A 20 0 302 88 2011-04-04 $6.87 $8.75 48.6% 12.5% 22.3% 16.9% 0.0% 15.4% -1.1% 2.5K -93.4K -337 0.00 132.24 N/A N/A 0 0 296 88 2011-04-05 $6.67 $8.75 50.8% 11.8% 25.2% 18.2% 0.0% 14.9% 2.7% 2.7K -78.9K -332 0.00 126.13 N/A N/A 0 0 296 88 2011-04-06 $6.83 $8.75 32.7% 12.4% 26.4% 7.2% 0.0% 15.0% 3.4% 2.8K -93.1K -318 0.00 130.70 N/A N/A 0 0 296 88 2011-04-07 $6.88 $8.75 45.6% 10.4% 25.4% 15.1% 0.0% 2.6% 6.4% 2.6K -95.0K -319 0.00 137.38 N/A N/A 8 0 296 88 2011-04-08 $6.96 $8.75 43.2% 10.0% 25.1% 13.6% 0.0% 3.4% 6.6% 2.3K -94.2K -305 0.00 136.34 N/A N/A 4 0 288 88 2011-04-11 $7.10 $8.75 36.3% 10.1% 25.2% 9.4% 0.0% 4.5% 8.6% 1.7K -101.9K -316 0.00 136.40 N/A N/A 16 0 284 88 2011-04-12 $7.14 $8.75 60.9% 10.5% 25.1% 24.4% 0.0% 1.0% 3.2% 1.3K -93.9K -302 0.00 134.85 N/A N/A 0 0 268 88 2011-04-13 $7.16 $8.75 63.2% 10.3% 24.9% 25.8% 0.0% -0.1% 3.3% 1.3K -93.6K -299 0.00 134.53 N/A N/A 0 0 268 88 2011-04-14 $7.20 $8.75 36.1% 10.4% 24.2% 9.3% 0.0% 3.4% 3.2% 2.3K -90.1K -295 0.00 134.90 N/A N/A 0 0 268 88 2011-04-15 $7.21 $8.75 34.4% 9.9% 19.5% 8.3% 0.0% 0.8% 4.8% 2.2K -92.7K -291 0.00 131.20 N/A N/A 0 0 268 88 2011-04-18 $7.05 $8.75 35.0% 10.0% 20.1% 8.7% 0.0% 3.4% 9.2% 2.3K -86.1K -288 0.00 137.80 N/A N/A 0 0 230 28 2011-04-19 $6.91 $8.75 36.3% 10.4% 21.2% 9.4% 0.0% 2.9% 9.8% 2.3K -78.3K -282 0.00 116.81 N/A N/A 0 4 230 28 2011-04-20 $6.84 $8.75 39.7% 11.4% 21.5% 11.5% 0.0% 6.2% -8.5% 2.3K -75.4K -279 0.00 139.80 N/A N/A 0 0 230 28 2011-04-21 $6.80 $8.75 40.0% 11.5% 21.5% 11.7% 0.0% 14.8% -8.5% 2.4K -73.1K -271 0.00 140.81 N/A N/A 0 40 230 28 2011-04-25 $6.75 $8.75 40.9% 11.7% 21.6% 12.2% 0.0% 14.2% -9.9% 1.8K -63.2K -299 0.00 141.30 N/A N/A 20 0 230 68 2011-04-26 $6.79 $8.75 41.9% 12.0% 21.8% 12.8% 0.0% 15.6% -10.8% 2.0K -73.4K -338 0.00 138.21 N/A N/A 0 0 250 68 2011-04-27 $6.93 $8.75 37.4% 10.7% 22.8% 10.1% 0.0% 9.3% 7.5% 2.1K -81.4K -331 0.00 137.50 N/A N/A 0 10 250 68 2011-04-28 $7.03 $8.75 37.2% 10.7% 22.7% 10.0% 0.0% 9.2% 8.7% 2.0K -85.4K -333 0.00 137.19 N/A N/A 0 0 250 78 2011-04-29 $6.96 $8.75 38.4% 11.0% 23.0% 10.7% 0.0% 6.2% 6.3% 2.0K -82.1K -337 0.00 140.94 N/A N/A 0 0 250 78
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