FIZZ Options History — May 2011

In May 2011, FIZZ traded between $6.74 and $7.16. ATM implied volatility averaged 41.7%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 16.6% (HV 20d: 25.1%). Max pain ranged from $6.25 to $8.75. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.08.

Notable Days

2011-05-24: Highest Volume — 70 contracts
2011-05-12: Largest IV drop — 36.4% change
2011-05-09: Highest IV Rank — 27.6%
2011-05-05: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.92	$6.74	$7.16	$6.79	$7.08
Max Pain	$6.73	$6.25	$8.75	$8.75	$6.25
ATM IV	41.7%	33.6%	66.2%	45.8%	37.3%
Expected Move	10.9%	9.6%	13.9%	13.1%	10.7%
HV 20d	25.1%	20.4%	27.5%	24.7%	26.9%
HV 60d	23.0%	21.1%	24.5%	21.9%	24.5%
IV Rank	12.7%	7.8%	27.6%	15.2%	10.1%
IV Percentile	54.6%	26.6%	93.3%	78.6%	46.8%
Term Structure	1.6%	-19.3%	13.7%	-17.5%	9.3%
VWIV	28.9%	23.4%	38.0%	23.4%	25.0%
Skew 25d	5.4%	-3.4%	14.4%	13.1%	1.1%
Skew 10d	10.0%	2.7%	14.4%	11.5%	9.0%
Call IV 25d	33.1%	26.8%	41.4%	26.8%	36.5%
Put IV 25d	38.5%	25.8%	44.5%	39.9%	37.6%
Bid-Ask Spread %	136.03	131.70	138.71	136.35	134.96
Gamma HHI	0.33	0.28	0.39	0.32	0.28
Net GEX	561	-700	1.9K	1.9K	1.6K
Net DEX	-71.6K	-95.9K	-49.4K	-71.5K	-95.9K
Net VEX	-356	-398	-327	-327	-327
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.17	0.00	0.17
Total Volume	13.048	0	70	0	0
Total OI	440.952	328	490	328	490

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	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-05-02	$6.79	$8.75	45.8%	13.1%	24.7%	15.2%	0.0%	13.1%	-17.5%	1.9K	-71.5K	-327	0.00	136.35	N/A	N/A	0	0	250	78
2011-05-03	$6.84	$8.75	47.2%	13.5%	24.8%	16.1%	0.0%	14.4%	-18.1%	1.9K	-75.1K	-327	0.00	137.61	N/A	N/A	0	60	250	78
2011-05-04	$6.82	$8.75	47.9%	13.7%	22.3%	16.5%	0.0%	5.9%	-19.0%	876	-66.3K	-359	0.00	137.07	N/A	N/A	0	20	250	138
2011-05-05	$6.80	$8.75	48.3%	13.9%	20.6%	16.7%	0.0%	14.2%	-19.3%	777	-58.9K	-382	0.00	137.87	N/A	N/A	0	0	250	158
2011-05-06	$6.79	$6.25	53.9%	12.3%	20.4%	20.1%	0.0%	13.4%	-8.4%	812	-60.6K	-377	0.00	131.70	N/A	N/A	0	0	250	158
2011-05-09	$6.95	$6.25	66.2%	9.8%	21.6%	27.6%	23.4%	-3.4%	9.1%	847	-72.7K	-358	0.00	135.75	N/A	N/A	0	40	250	158
2011-05-10	$7.16	$6.25	47.3%	9.9%	23.1%	16.1%	38.0%	8.3%	8.9%	770	-84.6K	-356	0.00	132.61	N/A	N/A	0	20	250	198
2011-05-11	$6.95	$6.25	53.2%	10.0%	25.5%	19.7%	0.0%	2.2%	8.0%	315	-69.0K	-370	0.00	136.17	N/A	N/A	0	0	250	198
2011-05-12	$7.05	$6.25	33.8%	9.7%	26.2%	7.9%	0.0%	4.0%	11.9%	575	-77.8K	-360	0.00	136.50	N/A	N/A	0	0	250	198
2011-05-13	$6.89	$6.25	35.6%	10.2%	27.2%	9.0%	29.2%	1.3%	7.7%	251	-65.4K	-365	0.00	134.70	N/A	N/A	0	20	250	198
2011-05-16	$6.93	$6.25	35.1%	10.1%	27.3%	8.7%	0.0%	1.6%	8.1%	6	-67.5K	-355	0.00	138.31	N/A	N/A	0	0	250	218
2011-05-17	$7.00	$6.25	34.6%	9.9%	26.4%	8.4%	25.0%	3.6%	11.8%	238	-74.9K	-346	0.00	136.39	N/A	N/A	0	40	250	218
2011-05-18	$7.00	$6.25	34.3%	9.8%	25.3%	8.2%	0.0%	6.3%	13.6%	177	-74.2K	-343	0.00	138.71	N/A	N/A	0	0	250	218
2011-05-19	$7.04	$6.25	33.6%	9.6%	25.0%	7.8%	0.0%	7.2%	13.6%	414	-79.3K	-329	0.00	132.44	N/A	N/A	0	0	250	218
2011-05-20	$6.99	$6.25	35.4%	10.1%	25.1%	8.9%	0.0%	5.7%	13.7%	220	-73.1K	-338	0.00	136.57	N/A	N/A	0	0	250	218
2011-05-23	$6.95	$6.25	36.2%	10.4%	25.0%	9.4%	0.0%	6.3%	9.7%	37	-71.0K	-327	0.00	136.44	N/A	N/A	4	0	230	218
2011-05-24	$6.74	$6.25	36.6%	10.5%	27.4%	9.7%	0.0%	3.5%	-12.6%	-700	-49.4K	-350	0.17	137.67	N/A	N/A	60	10	234	218
2011-05-25	$6.88	$6.25	36.9%	10.6%	27.5%	9.9%	0.0%	-1.3%	2.1%	319	-69.6K	-393	0.00	136.10	N/A	N/A	0	0	262	228
2011-05-26	$6.83	$6.25	39.8%	11.4%	27.1%	11.6%	0.0%	4.9%	-6.4%	-67	-69.3K	-398	0.00	135.60	N/A	N/A	0	0	262	228
2011-05-27	$6.92	$6.25	35.9%	10.3%	27.3%	9.2%	0.0%	2.1%	7.1%	433	-77.2K	-383	0.00	137.16	N/A	N/A	0	0	262	228
2011-05-31	$7.08	$6.25	37.3%	10.7%	26.9%	10.1%	0.0%	1.1%	9.3%	1.6K	-95.9K	-327	0.00	134.96	N/A	N/A	0	0	262	228