FIZZ Options History — January 2012

In January 2012, FIZZ traded between $7.83 and $8.40. ATM implied volatility averaged 87.1%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 63.3% (HV 20d: 23.7%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.10.

Notable Days

2012-01-13: Highest Volume — 238 contracts
2012-01-05: Largest IV spike — 314.6% change
2012-01-05: Highest IV Rank — 100.0%
2012-01-05: Largest Expected Move — 52.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.11	$7.83	$8.40	$8.06	$8.37
Max Pain	$8.00	$7.50	$8.75	$7.50	$8.75
ATM IV	87.1%	42.9%	192.3%	42.9%	88.3%
Expected Move	25.1%	12.3%	52.3%	12.3%	25.3%
HV 20d	23.7%	20.5%	26.7%	26.1%	25.0%
HV 60d	27.1%	25.7%	28.1%	27.3%	25.7%
IV Rank	37.9%	13.5%	100.0%	13.5%	38.1%
IV Percentile	92.1%	60.7%	100.0%	60.7%	97.6%
Term Structure	-9.7%	-93.1%	91.9%	-19.0%	91.9%
VWIV	56.7%	17.7%	123.1%	17.7%	123.1%
Skew 25d	-38.0%	-161.8%	13.0%	2.7%	10.3%
Skew 10d	-8.8%	-71.5%	27.5%	-71.5%	11.3%
Call IV 25d	147.0%	23.7%	183.1%	24.1%	145.9%
Put IV 25d	109.1%	21.2%	195.3%	26.8%	156.2%
Bid-Ask Spread %	148.99	142.05	150.76	142.05	150.15
Gamma HHI	0.44	0.39	0.57	0.41	0.41
Net GEX	-889	-5.0K	313	-166	-474
Net DEX	-21.5K	-56.3K	29.3K	-30.6K	-26.8K
Net VEX	-681	-777	-521	-668	-718
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.19	0.00	0.19
Total Volume	15.2	0	238	0	20
Total OI	669.5	446	820	760	466

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
2012-01-03	$8.06	$7.50	42.9%	12.3%	26.1%	13.5%	0.0%	2.7%	-19.0%	-166	-30.6K	-668	0.00	142.05	N/A	N/A	0	0	320	440
2012-01-04	$7.93	$7.50	44.0%	12.6%	26.6%	14.3%	0.0%	11.0%	-18.9%	-643	-11.8K	-659	0.00	144.17	N/A	N/A	0	0	320	440
2012-01-05	$7.90	$7.50	182.6%	52.3%	25.4%	100.0%	0.0%	11.0%	-72.5%	-1.7K	-19.4K	-612	0.00	150.76	N/A	N/A	0	0	320	440
2012-01-06	$7.83	$0.00	192.3%	35.1%	25.4%	100.0%	0.0%	10.6%	-41.3%	-2.1K	-14.5K	-616	0.00	150.41	N/A	N/A	0	2	320	440
2012-01-09	$8.14	$0.00	106.4%	32.8%	26.7%	48.8%	0.0%	11.2%	-93.1%	27	-42.9K	-661	0.00	149.13	N/A	N/A	0	0	320	442
2012-01-10	$8.18	$0.00	110.0%	33.1%	25.4%	51.0%	0.0%	11.2%	-64.5%	178	-48.8K	-645	0.00	149.53	N/A	N/A	0	0	320	442
2012-01-11	$8.13	$0.00	48.5%	33.6%	24.0%	14.4%	0.0%	11.2%	-66.5%	217	-56.3K	-593	0.00	149.04	N/A	N/A	2	0	320	442
2012-01-12	$8.12	$0.00	64.9%	18.6%	23.9%	24.1%	17.7%	-40.5%	-44.0%	-691	-54.8K	-521	0.00	150.00	N/A	N/A	0	22	318	442
2012-01-13	$7.95	$7.50	74.6%	21.4%	23.7%	29.9%	29.4%	-109.3%	-47.6%	-1.4K	-14.7K	-585	0.19	147.04	N/A	N/A	200	38	318	464
2012-01-17	$7.86	$7.50	76.5%	21.9%	21.6%	31.1%	0.0%	-145.4%	-54.9%	-5.0K	29.3K	-700	0.00	148.92	N/A	N/A	0	0	318	502
2012-01-18	$7.96	$7.50	77.4%	22.2%	22.1%	31.6%	0.0%	-143.2%	-54.7%	-3.8K	15.0K	-777	0.00	150.11	N/A	N/A	0	0	318	502
2012-01-19	$7.99	$7.50	82.2%	23.6%	22.0%	34.4%	0.0%	-138.5%	-56.0%	-570	-5.2K	-740	0.00	150.43	N/A	N/A	0	0	318	502
2012-01-20	$8.09	$7.50	77.9%	22.3%	21.4%	31.9%	0.0%	-147.1%	-56.1%	-136	-9.7K	-745	0.00	149.61	N/A	N/A	0	0	318	502
2012-01-23	$8.13	$7.50	77.3%	22.2%	20.5%	31.5%	123.1%	-161.8%	-43.1%	313	-16.8K	-722	0.00	150.38	N/A	N/A	0	20	212	234
2012-01-24	$8.30	$8.75	74.9%	21.5%	21.4%	30.1%	0.0%	4.2%	87.8%	-431	-23.9K	-752	0.00	149.53	N/A	N/A	0	0	212	254
2012-01-25	$8.37	$8.75	76.5%	21.9%	21.5%	31.0%	0.0%	9.6%	88.1%	-7	-26.0K	-696	0.00	150.18	N/A	N/A	0	0	212	254
2012-01-26	$8.18	$8.75	77.9%	22.3%	23.1%	31.9%	0.0%	10.4%	89.8%	-469	-20.2K	-741	0.00	149.14	N/A	N/A	0	0	212	254
2012-01-27	$8.40	$8.75	79.9%	22.9%	24.2%	33.1%	0.0%	13.0%	89.2%	-440	-29.2K	-739	0.00	149.14	N/A	N/A	0	0	212	254
2012-01-30	$8.29	$8.75	85.9%	24.6%	24.9%	36.6%	0.0%	10.3%	91.6%	-465	-22.0K	-726	0.00	150.04	N/A	N/A	0	0	212	254
2012-01-31	$8.37	$8.75	88.3%	25.3%	25.0%	38.1%	0.0%	10.3%	91.9%	-474	-26.8K	-718	0.00	150.15	N/A	N/A	0	20	212	254