FIZZ Options History — August 2011

In August 2011, FIZZ traded between $6.92 and $8.24. ATM implied volatility averaged 51.2%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 3.6% (HV 20d: 47.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 3.07.

Notable Days

2011-08-30: Highest Volume — 76 contracts
2011-08-04: Largest IV spike — 66.0% change
2011-08-09: Highest IV Rank — 44.3%
2011-08-04: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.65	$6.92	$8.24	$7.64	$8.24
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	51.2%	39.1%	85.2%	40.1%	39.4%
Expected Move	13.7%	11.2%	18.6%	11.5%	11.3%
HV 20d	47.5%	27.4%	62.2%	27.7%	62.0%
HV 60d	33.1%	24.2%	39.6%	24.9%	39.6%
IV Rank	20.1%	11.6%	44.3%	12.3%	11.7%
IV Percentile	77.2%	49.2%	99.2%	58.7%	49.6%
Term Structure	-3.6%	-24.2%	9.5%	1.5%	9.5%
VWIV	53.4%	53.4%	53.4%	53.4%	53.4%
Skew 25d	8.6%	-9.4%	23.7%	7.2%	15.4%
Skew 10d	-12.6%	-102.5%	90.0%	6.0%	90.0%
Call IV 25d	34.9%	29.2%	44.9%	30.7%	31.6%
Put IV 25d	43.5%	35.2%	56.7%	37.9%	46.9%
Bid-Ask Spread %	140.06	132.72	150.50	146.64	140.36
Gamma HHI	0.57	0.43	0.72	0.51	0.70
Net GEX	1.8K	831	3.1K	2.5K	2.6K
Net DEX	-67.6K	-119.9K	-8.3K	-79.9K	-108.5K
Net VEX	-771	-873	-697	-762	-873
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.07	0.00	8.50	1.00	0.00
Total Volume	12.609	0	76	0	10
Total OI	575.217	500	674	500	674

Daily Data (23 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
2011-08-01	$7.64	$7.50	40.1%	11.5%	27.7%	12.3%	0.0%	7.2%	1.5%	2.5K	-79.9K	-762	0.00	146.64	N/A	N/A	0	0	356	144
2011-08-02	$7.54	$7.50	40.3%	11.6%	27.9%	12.4%	0.0%	7.3%	-3.3%	2.7K	-75.8K	-732	0.00	142.76	N/A	N/A	0	38	356	144
2011-08-03	$7.63	$7.50	39.2%	11.2%	27.9%	11.6%	0.0%	6.0%	3.2%	1.9K	-69.3K	-813	0.00	148.51	N/A	N/A	0	0	356	182
2011-08-04	$7.50	$7.50	65.0%	18.6%	27.4%	30.0%	0.0%	8.0%	-22.9%	2.1K	-61.5K	-782	0.00	150.50	N/A	N/A	0	0	356	182
2011-08-05	$7.71	$7.50	77.2%	16.8%	28.3%	38.6%	0.0%	12.4%	-8.2%	2.0K	-84.5K	-814	0.00	144.52	N/A	N/A	0	0	356	182
2011-08-08	$7.34	$7.50	71.6%	15.3%	33.7%	34.6%	0.0%	14.7%	-0.5%	1.6K	-60.2K	-764	0.00	141.52	N/A	N/A	0	2	356	182
2011-08-09	$7.58	$7.50	85.2%	18.3%	33.7%	44.3%	53.4%	15.1%	-11.8%	1.7K	-63.5K	-781	0.00	144.28	N/A	N/A	0	46	356	184
2011-08-10	$6.92	$7.50	69.4%	14.3%	46.2%	33.1%	0.0%	-9.0%	2.7%	913	-8.3K	-725	0.00	139.22	N/A	N/A	0	0	356	224
2011-08-11	$7.21	$7.50	50.5%	14.5%	48.6%	19.6%	0.0%	2.7%	1.5%	969	-26.7K	-758	0.00	132.72	N/A	N/A	0	0	356	224
2011-08-12	$7.51	$7.50	50.3%	14.4%	50.2%	19.5%	0.0%	7.9%	-1.1%	1.2K	-49.6K	-777	0.00	135.32	N/A	N/A	0	20	356	224
2011-08-15	$7.47	$7.50	40.7%	11.7%	50.1%	12.7%	0.0%	2.6%	3.7%	963	-46.9K	-777	0.00	133.45	N/A	N/A	0	0	356	244
2011-08-16	$7.41	$7.50	46.4%	13.3%	50.1%	16.8%	0.0%	4.6%	0.4%	833	-37.6K	-760	0.00	138.27	N/A	N/A	0	0	356	244
2011-08-17	$7.74	$7.50	43.6%	12.5%	52.4%	14.7%	0.0%	10.7%	1.5%	1.4K	-80.9K	-772	0.00	136.63	N/A	N/A	0	0	356	244
2011-08-18	$7.54	$7.50	49.5%	14.2%	53.1%	19.0%	0.0%	6.5%	-2.9%	1.2K	-55.6K	-761	0.00	141.18	N/A	N/A	0	0	356	244
2011-08-19	$7.53	$7.50	50.4%	14.5%	53.1%	19.6%	0.0%	6.3%	-5.8%	831	-51.8K	-744	1.00	141.09	N/A	N/A	2	2	356	244
2011-08-22	$7.50	$7.50	48.6%	13.9%	53.0%	18.3%	0.0%	23.7%	2.2%	1.4K	-52.5K	-729	0.00	135.02	N/A	N/A	0	14	332	212
2011-08-23	$8.13	$7.50	44.1%	12.6%	60.2%	15.1%	0.0%	-9.4%	-24.2%	3.1K	-101.1K	-697	7.00	133.44	N/A	N/A	4	28	332	226
2011-08-24	$7.95	$7.50	42.8%	12.3%	60.2%	14.2%	0.0%	7.6%	-3.9%	2.1K	-84.5K	-781	5.00	135.41	N/A	N/A	2	10	336	254
2011-08-25	$7.66	$7.50	48.5%	13.9%	61.7%	18.2%	0.0%	14.7%	-5.0%	1.5K	-62.6K	-788	0.00	145.60	N/A	N/A	28	0	338	264
2011-08-26	$7.80	$7.50	47.8%	13.7%	61.8%	17.7%	0.0%	14.8%	-7.0%	1.8K	-72.9K	-791	0.00	140.49	N/A	N/A	0	0	344	264
2011-08-29	$8.12	$7.50	46.9%	13.4%	62.2%	17.1%	0.0%	12.1%	-18.6%	2.5K	-101.7K	-776	0.00	137.03	N/A	N/A	8	0	344	264
2011-08-30	$8.23	$7.50	39.1%	11.2%	62.1%	11.6%	0.0%	15.8%	7.3%	2.9K	-119.9K	-771	8.50	137.49	N/A	N/A	8	68	350	264
2011-08-31	$8.24	$7.50	39.4%	11.3%	62.0%	11.7%	0.0%	15.4%	9.5%	2.6K	-108.5K	-873	0.00	140.36	N/A	N/A	10	0	358	316