FIZZ Options History — December 2011

In December 2011, FIZZ traded between $7.99 and $8.63. ATM implied volatility averaged 35.5%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.1% (HV 20d: 28.4%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.94.

Notable Days

2011-12-02: Highest Volume — 68 contracts
2011-12-14: Largest IV spike — 91.9% change
2011-12-08: Highest IV Rank — 24.2%
2011-12-14: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.27	$7.99	$8.63	$8.41	$8.04
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	35.5%	24.4%	57.0%	34.4%	40.9%
Expected Move	9.8%	6.9%	13.2%	9.9%	11.7%
HV 20d	28.4%	25.6%	30.5%	26.6%	26.4%
HV 60d	31.1%	27.3%	33.0%	32.0%	27.3%
IV Rank	8.8%	1.1%	24.2%	8.2%	12.1%
IV Percentile	25.6%	0.8%	90.9%	15.1%	51.2%
Term Structure	1.1%	-21.3%	13.2%	6.8%	-15.7%
VWIV	32.4%	27.5%	35.9%	33.8%	27.5%
Skew 25d	-0.4%	-25.6%	13.9%	13.9%	10.8%
Skew 10d	-42.5%	-103.6%	18.1%	18.1%	6.0%
Call IV 25d	32.4%	21.8%	56.2%	27.7%	23.9%
Put IV 25d	32.0%	25.8%	45.0%	41.6%	34.8%
Bid-Ask Spread %	137.98	124.50	145.93	138.09	143.06
Gamma HHI	0.45	0.35	0.61	0.60	0.42
Net GEX	1.5K	-707	5.6K	4.4K	-268
Net DEX	-61.5K	-113.8K	-20.0K	-100.3K	-28.9K
Net VEX	-618	-727	-506	-678	-682
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.94	0.00	7.50	2.50	0.00
Total Volume	13.81	0	68	28	0
Total OI	742.286	654	810	716	760

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
2011-12-01	$8.41	$7.50	34.4%	9.9%	26.6%	8.2%	0.0%	13.9%	6.8%	4.4K	-100.3K	-678	2.50	138.09	N/A	N/A	8	20	360	356
2011-12-02	$8.49	$7.50	36.0%	10.3%	25.8%	9.4%	33.8%	12.8%	0.5%	4.7K	-110.6K	-697	7.50	136.82	N/A	N/A	8	60	360	376
2011-12-05	$8.48	$7.50	30.9%	10.3%	25.6%	5.7%	35.9%	11.3%	4.0%	4.9K	-101.0K	-704	7.50	124.50	N/A	N/A	4	30	368	416
2011-12-06	$8.63	$7.50	29.8%	10.4%	26.4%	5.0%	0.0%	3.0%	3.0%	5.4K	-113.8K	-690	0.00	131.83	N/A	N/A	0	0	364	446
2011-12-07	$8.62	$7.50	30.1%	10.3%	26.4%	5.2%	0.0%	11.3%	3.7%	5.6K	-110.4K	-695	0.00	129.30	N/A	N/A	0	0	364	446
2011-12-08	$8.30	$7.50	57.0%	9.8%	28.5%	24.2%	0.0%	3.0%	7.1%	1.7K	-63.7K	-727	0.00	136.68	N/A	N/A	0	0	364	446
2011-12-09	$8.49	$7.50	42.6%	7.2%	28.9%	14.1%	0.0%	1.3%	10.8%	4.0K	-102.6K	-617	0.00	136.33	N/A	N/A	10	0	364	446
2011-12-12	$8.28	$7.50	30.2%	6.9%	30.2%	5.2%	0.0%	0.3%	11.1%	373	-43.2K	-579	0.00	132.46	N/A	N/A	2	0	354	446
2011-12-13	$8.23	$7.50	24.4%	7.6%	28.9%	1.1%	27.5%	-17.1%	11.5%	-534	-35.0K	-619	0.00	141.37	N/A	N/A	0	40	356	446
2011-12-14	$8.05	$7.50	46.8%	13.2%	28.7%	17.0%	0.0%	-11.2%	-4.3%	-707	-20.0K	-650	0.00	131.11	N/A	N/A	0	0	356	416
2011-12-15	$8.27	$7.50	31.1%	8.9%	30.0%	5.9%	0.0%	-25.6%	10.5%	298	-56.1K	-570	0.00	140.78	N/A	N/A	2	0	356	416
2011-12-16	$8.18	$7.50	31.1%	8.9%	30.2%	5.9%	0.0%	-9.3%	13.2%	34	-44.5K	-577	0.00	142.10	N/A	N/A	0	0	356	416
2011-12-19	$8.22	$7.50	29.3%	8.4%	29.7%	4.6%	0.0%	-7.1%	10.5%	208	-52.1K	-522	0.00	142.97	N/A	N/A	4	0	268	386
2011-12-20	$8.37	$7.50	27.3%	7.8%	29.7%	3.2%	0.0%	-23.4%	13.2%	862	-74.5K	-506	0.00	141.49	N/A	N/A	0	0	272	386
2011-12-21	$8.21	$7.50	31.6%	9.1%	30.5%	6.3%	0.0%	-10.8%	2.3%	214	-51.3K	-532	0.00	140.75	N/A	N/A	8	0	272	386
2011-12-22	$8.12	$7.50	37.3%	10.7%	30.5%	9.5%	0.0%	5.4%	-10.6%	-36	-42.3K	-560	0.00	140.53	N/A	N/A	0	0	280	386
2011-12-23	$8.09	$7.50	37.4%	10.7%	30.1%	9.6%	0.0%	5.9%	-9.6%	-136	-38.8K	-554	0.00	143.31	N/A	N/A	0	0	280	386
2011-12-27	$8.10	$7.50	39.3%	11.3%	28.6%	10.9%	0.0%	6.8%	-12.1%	-147	-41.0K	-512	0.00	141.73	N/A	N/A	40	0	280	386
2011-12-28	$7.99	$7.50	39.0%	11.2%	28.6%	10.7%	0.0%	0.5%	-21.3%	106	-38.6K	-583	0.00	136.51	N/A	N/A	0	54	320	386
2011-12-29	$8.01	$7.50	38.7%	11.1%	26.5%	10.5%	0.0%	10.1%	-11.8%	-347	-22.5K	-718	0.00	145.93	N/A	N/A	0	0	320	440
2011-12-30	$8.04	$7.50	40.9%	11.7%	26.4%	12.1%	0.0%	10.8%	-15.7%	-268	-28.9K	-682	0.00	143.06	N/A	N/A	0	0	320	440