FIZZ Options History — July 2011

In July 2011, FIZZ traded between $7.24 and $7.73. ATM implied volatility averaged 42.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 21.8% (HV 20d: 21.0%). Max pain ranged from $6.35 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.51.

Notable Days

2011-07-15: Highest Volume — 206 contracts
2011-07-14: Largest IV drop — 31.9% change
2011-07-11: Highest IV Rank — 32.2%
2011-07-20: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.51	$7.24	$7.73	$7.32	$7.39
Max Pain	$7.40	$6.35	$7.50	$6.35	$7.50
ATM IV	42.8%	31.8%	68.1%	38.1%	38.6%
Expected Move	11.1%	9.1%	12.6%	10.9%	11.1%
HV 20d	21.0%	14.7%	25.1%	14.7%	25.1%
HV 60d	23.6%	22.6%	24.2%	22.6%	24.0%
IV Rank	14.2%	6.4%	32.2%	10.9%	11.2%
IV Percentile	60.7%	15.9%	98.4%	52.4%	51.6%
Term Structure	3.4%	-2.0%	11.9%	11.9%	3.2%
VWIV	38.3%	34.2%	43.9%	34.2%	43.9%
Skew 25d	6.6%	-4.0%	15.5%	3.0%	5.2%
Skew 10d	-18.4%	-63.7%	17.7%	-11.3%	7.3%
Call IV 25d	30.4%	27.4%	39.7%	30.1%	31.8%
Put IV 25d	37.0%	31.9%	46.5%	33.1%	37.0%
Bid-Ask Spread %	132.97	124.14	162.73	162.73	134.95
Gamma HHI	0.50	0.34	0.81	0.36	0.49
Net GEX	4.3K	1.3K	15.6K	4.1K	2.3K
Net DEX	-119.4K	-251.0K	-40.5K	-146.0K	-61.6K
Net VEX	-425	-768	-206	-236	-743
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	3.40	1.00	0.00
Total Volume	40.7	0	206	0	0
Total OI	410	190	526	378	500

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
2011-07-01	$7.32	$6.35	38.1%	10.9%	14.7%	10.9%	0.0%	3.0%	11.9%	4.1K	-146.0K	-236	0.00	162.73	N/A	N/A	0	0	316	62
2011-07-05	$7.24	$0.00	45.1%	11.0%	15.4%	15.8%	0.0%	0.7%	2.3%	4.0K	-139.1K	-222	0.00	134.68	N/A	N/A	0	0	316	62
2011-07-06	$7.33	$0.00	42.9%	11.6%	15.7%	14.2%	0.0%	4.5%	2.2%	4.1K	-148.0K	-219	0.00	129.88	N/A	N/A	0	0	316	62
2011-07-07	$7.51	$0.00	44.1%	11.6%	17.2%	15.1%	0.0%	-4.0%	1.0%	4.6K	-162.6K	-212	1.00	130.88	N/A	N/A	4	4	316	62
2011-07-08	$7.38	$0.00	56.0%	11.7%	18.7%	23.6%	0.0%	4.6%	1.2%	4.2K	-152.0K	-220	0.00	130.73	N/A	N/A	20	0	320	64
2011-07-11	$7.38	$0.00	68.1%	12.1%	18.2%	32.2%	0.0%	3.6%	1.0%	4.8K	-156.0K	-206	0.00	133.48	N/A	N/A	38	0	330	64
2011-07-12	$7.63	$0.00	56.9%	12.4%	20.1%	24.2%	0.0%	9.1%	-2.0%	6.1K	-192.4K	-209	0.15	132.66	N/A	N/A	40	6	354	64
2011-07-13	$7.70	$0.00	49.1%	10.2%	19.8%	18.6%	0.0%	8.6%	7.3%	7.3K	-202.8K	-208	0.05	130.44	N/A	N/A	76	4	358	70
2011-07-14	$7.55	$0.00	33.4%	9.6%	21.5%	7.5%	34.2%	8.0%	11.3%	9.0K	-178.6K	-260	0.32	129.88	N/A	N/A	62	20	380	74
2011-07-15	$7.73	$7.50	39.6%	11.4%	22.5%	11.9%	0.0%	11.5%	3.3%	15.6K	-251.0K	-266	0.03	124.14	N/A	N/A	200	6	432	94
2011-07-18	$7.63	$7.50	35.9%	10.3%	23.3%	9.2%	36.9%	9.6%	6.1%	1.3K	-40.5K	-273	0.12	125.72	N/A	N/A	100	12	156	34
2011-07-19	$7.65	$7.50	38.2%	11.0%	23.2%	10.9%	0.0%	9.7%	5.6%	2.2K	-79.1K	-493	3.40	126.54	N/A	N/A	10	34	256	46
2011-07-20	$7.55	$7.50	43.9%	12.6%	23.3%	14.9%	43.9%	10.0%	-1.9%	1.9K	-72.0K	-543	0.00	127.73	N/A	N/A	24	0	266	80
2011-07-21	$7.63	$7.50	37.6%	10.8%	23.3%	10.5%	0.0%	9.1%	5.1%	2.5K	-83.0K	-566	0.00	132.81	N/A	N/A	0	48	290	80
2011-07-22	$7.63	$7.50	31.8%	9.1%	22.9%	6.4%	0.0%	4.1%	4.6%	2.0K	-65.9K	-652	1.00	128.18	N/A	N/A	32	32	290	128
2011-07-25	$7.54	$7.50	35.8%	10.3%	23.4%	9.2%	0.0%	5.7%	3.2%	2.0K	-66.1K	-723	0.00	135.64	N/A	N/A	42	0	314	144
2011-07-26	$7.51	$7.50	40.7%	11.7%	22.5%	12.7%	0.0%	8.5%	-1.8%	2.4K	-72.4K	-768	0.00	141.05	N/A	N/A	0	0	356	144
2011-07-27	$7.35	$7.50	40.2%	11.5%	23.9%	12.3%	0.0%	15.5%	3.0%	2.3K	-58.6K	-746	0.00	129.47	N/A	N/A	0	0	356	144
2011-07-28	$7.48	$7.50	39.0%	11.2%	24.7%	11.4%	0.0%	4.1%	1.2%	2.4K	-60.0K	-741	0.00	137.93	N/A	N/A	0	0	356	144
2011-07-29	$7.39	$7.50	38.6%	11.1%	25.1%	11.2%	0.0%	5.2%	3.2%	2.3K	-61.6K	-743	0.00	134.95	N/A	N/A	0	0	356	144