FIZZ Options History — November 2011

In November 2011, FIZZ traded between $8.04 and $8.61. ATM implied volatility averaged 40.1%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 10.6% (HV 20d: 29.6%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.00.

Notable Days

2011-11-03: Highest Volume — 66 contracts
2011-11-10: Largest IV drop — 29.6% change
2011-11-09: Highest IV Rank — 20.1%
2011-11-25: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.37	$8.04	$8.61	$8.22	$8.36
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	40.1%	34.1%	51.1%	42.6%	34.8%
Expected Move	11.2%	9.8%	13.2%	12.2%	10.0%
HV 20d	29.6%	25.9%	32.6%	28.6%	28.0%
HV 60d	36.1%	31.8%	44.1%	44.1%	32.1%
IV Rank	12.3%	8.0%	20.1%	14.1%	8.5%
IV Percentile	41.8%	13.1%	82.5%	56.3%	15.9%
Term Structure	1.0%	-16.1%	8.9%	6.7%	6.6%
Skew 25d	10.8%	-11.1%	16.3%	13.6%	11.0%
Skew 10d	4.0%	-80.0%	21.1%	-2.2%	14.2%
Call IV 25d	33.3%	29.2%	45.4%	35.7%	29.2%
Put IV 25d	44.1%	33.5%	49.7%	49.3%	40.2%
Bid-Ask Spread %	132.74	122.90	140.52	136.97	136.64
Gamma HHI	0.46	0.33	0.56	0.36	0.54
Net GEX	1.9K	397	3.3K	477	3.3K
Net DEX	-76.1K	-98.4K	-42.1K	-54.1K	-83.4K
Net VEX	-776	-856	-661	-776	-661
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.00	0.00	20.00	20.00	0.00
Total Volume	10.19	0	66	0	30
Total OI	709.143	616	760	616	686

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
2011-11-01	$8.22	$7.50	42.6%	12.2%	28.6%	14.1%	0.0%	13.6%	6.7%	477	-54.1K	-776	0.00	136.97	N/A	N/A	0	0	260	356
2011-11-02	$8.43	$7.50	41.4%	11.9%	29.7%	13.2%	0.0%	16.3%	6.1%	703	-68.2K	-749	20.00	136.75	N/A	N/A	2	40	260	356
2011-11-03	$8.61	$7.50	41.2%	11.8%	30.3%	13.1%	0.0%	14.3%	0.2%	397	-77.5K	-741	0.00	132.73	N/A	N/A	66	0	260	396
2011-11-04	$8.54	$7.50	41.6%	10.8%	28.9%	13.3%	0.0%	13.8%	1.8%	2.0K	-94.5K	-849	0.00	124.73	N/A	N/A	0	0	326	396
2011-11-07	$8.54	$7.50	40.4%	11.6%	28.4%	12.5%	0.0%	15.1%	0.6%	2.0K	-98.4K	-818	0.00	125.56	N/A	N/A	0	20	326	396
2011-11-08	$8.54	$7.50	42.2%	10.6%	28.4%	13.8%	0.0%	12.5%	4.8%	2.1K	-94.9K	-842	0.00	127.62	N/A	N/A	0	4	326	416
2011-11-09	$8.35	$7.50	51.1%	11.8%	29.8%	20.1%	0.0%	14.7%	-0.3%	1.5K	-73.4K	-856	0.00	134.88	N/A	N/A	0	4	326	420
2011-11-10	$8.49	$7.50	35.9%	10.3%	30.3%	9.3%	0.0%	12.3%	3.4%	2.0K	-87.8K	-846	0.00	132.86	N/A	N/A	0	0	326	424
2011-11-11	$8.54	$7.50	39.9%	11.4%	30.2%	12.1%	0.0%	14.8%	0.7%	2.1K	-96.3K	-842	0.00	129.87	N/A	N/A	0	8	326	424
2011-11-14	$8.33	$7.50	38.6%	11.1%	31.4%	11.2%	0.0%	11.8%	-0.3%	1.6K	-69.9K	-824	0.00	126.04	N/A	N/A	30	0	326	424
2011-11-15	$8.52	$7.50	38.1%	10.9%	32.1%	10.8%	0.0%	11.6%	-3.2%	2.7K	-98.1K	-747	0.00	128.95	N/A	N/A	0	0	326	424
2011-11-16	$8.37	$7.50	36.9%	10.6%	32.6%	10.0%	0.0%	11.2%	-2.6%	2.1K	-80.2K	-789	0.00	127.78	N/A	N/A	10	0	326	424
2011-11-17	$8.34	$7.50	40.0%	11.5%	32.3%	12.2%	0.0%	12.9%	-4.0%	2.0K	-75.2K	-798	0.00	130.85	N/A	N/A	0	0	336	424
2011-11-18	$8.46	$7.50	37.7%	10.8%	31.1%	10.6%	0.0%	0.8%	-3.8%	2.7K	-93.9K	-739	0.00	134.39	N/A	N/A	0	0	336	424
2011-11-21	$8.29	$7.50	43.9%	12.6%	30.5%	14.9%	0.0%	8.4%	-8.2%	2.1K	-76.2K	-751	0.00	122.90	N/A	N/A	0	0	330	356
2011-11-22	$8.25	$7.50	34.1%	9.8%	28.3%	8.0%	0.0%	-11.1%	8.9%	2.3K	-65.1K	-755	0.00	138.79	N/A	N/A	0	0	330	356
2011-11-23	$8.15	$7.50	38.0%	10.9%	28.6%	10.7%	0.0%	10.7%	7.8%	1.9K	-54.7K	-763	0.00	137.83	N/A	N/A	0	0	330	356
2011-11-25	$8.04	$7.50	46.2%	13.2%	25.9%	16.6%	0.0%	9.9%	-16.1%	1.5K	-42.1K	-737	0.00	140.52	N/A	N/A	0	0	330	356
2011-11-28	$8.25	$7.50	39.1%	11.2%	27.7%	11.5%	0.0%	12.3%	5.6%	2.4K	-66.3K	-711	0.00	140.46	N/A	N/A	0	0	330	356
2011-11-29	$8.13	$7.50	39.0%	11.2%	27.8%	11.5%	0.0%	9.9%	6.7%	2.0K	-46.5K	-708	0.00	140.43	N/A	N/A	0	0	330	356
2011-11-30	$8.36	$7.50	34.8%	10.0%	28.0%	8.5%	0.0%	11.0%	6.6%	3.3K	-83.4K	-661	0.00	136.64	N/A	N/A	30	0	330	356