FIZZ Options History — October 2011

In October 2011, FIZZ traded between $7.50 and $8.57. ATM implied volatility averaged 49.1%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 12.6% (HV 20d: 36.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.16.

Notable Days

2011-10-06: Highest Volume — 154 contracts
2011-10-13: Largest IV drop — 26.7% change
2011-10-04: Highest IV Rank — 42.9%
2011-10-04: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.17	$7.50	$8.57	$7.50	$8.46
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	49.1%	34.4%	83.3%	69.8%	42.4%
Expected Move	14.0%	9.9%	23.9%	20.0%	12.2%
HV 20d	36.5%	32.1%	39.9%	33.6%	33.6%
HV 60d	44.8%	43.5%	45.3%	43.5%	44.9%
IV Rank	18.7%	8.2%	42.9%	33.3%	13.9%
IV Percentile	59.8%	17.1%	98.0%	96.8%	56.0%
Term Structure	0.7%	-14.7%	9.7%	-9.0%	-2.2%
VWIV	55.8%	28.0%	88.5%	88.5%	30.7%
Skew 25d	13.6%	0.4%	29.8%	29.4%	17.9%
Skew 10d	10.1%	-29.6%	53.1%	8.4%	-29.6%
Call IV 25d	37.2%	29.6%	63.6%	37.3%	29.6%
Put IV 25d	50.8%	33.0%	93.3%	66.7%	47.5%
Bid-Ask Spread %	129.92	121.76	137.06	134.08	132.43
Gamma HHI	0.41	0.31	0.55	0.49	0.38
Net GEX	1.1K	-230	3.4K	993	692
Net DEX	-82.3K	-121.7K	-25.1K	-25.1K	-74.1K
Net VEX	-821	-966	-723	-752	-747
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	0.93	0.93	0.00
Total Volume	22.667	0	154	20	6
Total OI	850	572	1,024	704	612

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
2011-10-03	$7.50	$7.50	69.8%	20.0%	33.6%	33.3%	0.0%	29.4%	-9.0%	993	-25.1K	-752	0.00	134.08	N/A	N/A	0	20	378	326
2011-10-04	$7.97	$7.50	83.3%	23.9%	39.9%	42.9%	88.5%	29.8%	-6.6%	1.5K	-78.7K	-810	0.00	124.35	N/A	N/A	0	80	378	346
2011-10-05	$8.02	$7.50	81.5%	23.4%	39.6%	41.7%	67.4%	26.0%	-8.4%	912	-68.3K	-854	0.00	127.05	N/A	N/A	0	80	378	426
2011-10-06	$8.10	$7.50	67.2%	19.3%	39.4%	31.5%	64.5%	20.7%	-14.7%	1.2K	-73.7K	-833	0.93	135.14	N/A	N/A	80	74	378	498
2011-10-07	$7.90	$7.50	54.8%	15.1%	38.6%	22.7%	0.0%	7.5%	1.6%	671	-59.5K	-966	0.50	128.05	N/A	N/A	40	20	438	556
2011-10-10	$8.04	$7.50	53.3%	15.7%	38.1%	21.7%	0.0%	14.9%	4.1%	1.2K	-77.3K	-955	0.00	125.90	N/A	N/A	0	0	438	576
2011-10-11	$8.07	$7.50	50.9%	15.1%	37.8%	19.9%	0.0%	18.8%	3.4%	-50	-88.5K	-898	0.00	121.76	N/A	N/A	0	0	438	576
2011-10-12	$8.12	$7.50	57.9%	14.4%	37.8%	24.9%	28.0%	13.2%	-0.6%	1.8K	-96.5K	-917	0.00	132.92	N/A	N/A	2	0	438	576
2011-10-13	$8.14	$7.50	42.4%	12.2%	37.7%	13.9%	0.0%	13.4%	1.2%	1.2K	-96.1K	-929	0.00	130.56	N/A	N/A	0	4	440	576
2011-10-14	$8.24	$7.50	39.8%	11.4%	38.0%	12.1%	0.0%	14.6%	2.9%	3.1K	-121.7K	-865	0.00	125.01	N/A	N/A	0	0	440	580
2011-10-17	$8.15	$7.50	41.8%	12.0%	38.1%	13.5%	0.0%	10.2%	1.1%	2.4K	-113.1K	-816	0.00	129.17	N/A	N/A	16	0	440	580
2011-10-18	$8.24	$7.50	39.6%	11.4%	37.9%	11.9%	0.0%	13.2%	4.4%	3.4K	-119.8K	-826	0.00	129.09	N/A	N/A	0	0	444	580
2011-10-19	$8.16	$7.50	39.7%	11.4%	37.6%	12.0%	0.0%	11.1%	4.0%	2.2K	-106.3K	-809	0.00	129.09	N/A	N/A	10	0	444	580
2011-10-20	$8.07	$7.50	49.2%	14.1%	34.4%	18.7%	0.0%	15.7%	-2.6%	-230	-96.7K	-768	0.00	130.52	N/A	N/A	0	0	434	580
2011-10-21	$8.30	$7.50	38.7%	11.1%	34.2%	11.3%	0.0%	11.0%	3.7%	53	-115.0K	-756	0.00	126.40	N/A	N/A	0	0	434	580
2011-10-24	$8.51	$7.50	35.5%	10.2%	34.6%	9.0%	0.0%	0.4%	2.9%	266	-63.0K	-723	0.00	128.81	N/A	N/A	20	0	228	344
2011-10-25	$8.24	$7.50	36.2%	10.4%	36.8%	9.5%	0.0%	3.0%	9.7%	467	-52.3K	-760	0.00	133.39	N/A	N/A	0	0	248	344
2011-10-26	$8.28	$7.50	37.2%	10.7%	32.1%	10.2%	0.0%	5.4%	9.3%	461	-54.3K	-753	0.00	132.22	N/A	N/A	0	12	248	344
2011-10-27	$8.55	$7.50	35.8%	10.3%	33.7%	9.2%	0.0%	4.4%	4.6%	683	-73.0K	-757	0.00	137.06	N/A	N/A	2	0	248	356
2011-10-28	$8.57	$7.50	34.4%	9.9%	33.5%	8.2%	0.0%	5.0%	6.9%	739	-75.2K	-737	0.00	135.39	N/A	N/A	10	0	246	356
2011-10-31	$8.46	$7.50	42.4%	12.2%	33.6%	13.9%	30.7%	17.9%	-2.2%	692	-74.1K	-747	0.00	132.43	N/A	N/A	6	0	256	356