FIZZ Options History — February 2012 In February 2012, FIZZ traded between $8.01 and $8.48. ATM implied volatility averaged 121.8%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 36.4%. IV traded above realized volatility by 101.1% (HV 20d: 20.6%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 2 of 20 days.
Notable Days 2012-02-07 : Highest Volume — 58 contracts2012-02-09 : Largest IV spike — 283.3% change2012-02-28 : Highest IV Rank — 87.0%2012-02-28 : Largest Expected Move — 48.9%Monthly Statistics Metric Avg Min Max Open Close Price $8.31 $8.01 $8.48 $8.45 $8.01 Max Pain $8.75 $8.75 $8.75 $8.75 $8.75 ATM IV 121.8% 30.8% 170.5% 90.9% 97.5% Expected Move 36.4% 26.1% 48.9% 26.1% 28.0% HV 20d 20.6% 16.4% 25.2% 25.2% 16.8% HV 60d 24.3% 22.8% 25.6% 25.5% 23.0% IV Rank 58.0% 3.8% 87.0% 39.6% 43.6% IV Percentile 93.3% 3.6% 99.2% 97.6% 91.7% Term Structure -74.6% -172.1% 92.3% 92.3% -73.4% Skew 25d -64.7% -163.6% 12.1% 10.3% 12.1% Skew 10d 19.3% 9.2% 34.5% 14.7% 14.3% Call IV 25d 152.7% 125.1% 187.6% 145.8% 133.4% Put IV 25d 88.0% 19.6% 167.4% 156.1% 145.5% Bid-Ask Spread % 147.48 145.78 151.45 150.74 146.40 Gamma HHI 0.41 0.40 0.46 0.41 0.41 Net GEX -152 -1.1K 311 -503 -53 Net DEX -20.8K -36.4K -4.5K -32.5K -11.1K Net VEX -714 -772 -654 -719 -678 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 5.4 0 58 0 0 Total OI 487.1 452 532 466 452
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 2012-02-01 $8.45 $8.75 90.9% 26.1% 25.2% 39.6% 0.0% 10.3% 92.3% -503 -32.5K -719 0.00 150.74 N/A N/A 0 0 212 254 2012-02-02 $8.48 $8.75 93.7% 26.9% 24.2% 41.3% 0.0% 11.3% 6.1% 104 -36.4K -654 0.00 151.45 N/A N/A 0 0 212 254 2012-02-03 $8.47 $0.00 96.8% 31.0% 24.1% 43.1% 0.0% 10.5% -91.6% -343 -32.8K -696 0.00 147.08 N/A N/A 0 0 212 254 2012-02-06 $8.36 $0.00 106.0% 32.4% 24.5% 48.6% 0.0% 10.8% -100.3% -442 -26.3K -683 0.00 147.48 N/A N/A 0 0 212 254 2012-02-07 $8.38 $0.00 110.7% 32.8% 20.7% 51.4% 0.0% -71.0% -54.5% 257 -22.6K -669 0.00 147.74 N/A N/A 0 58 212 254 2012-02-08 $8.32 $0.00 30.8% 33.3% 20.8% 3.8% 0.0% -68.5% -56.3% -921 -12.6K -707 0.00 147.05 N/A N/A 0 20 212 312 2012-02-09 $8.29 $0.00 117.9% 33.8% 20.8% 55.7% 0.0% -67.6% -57.9% -334 -9.1K -723 0.00 147.59 N/A N/A 0 0 212 320 2012-02-10 $8.23 $0.00 119.9% 34.4% 20.9% 56.9% 0.0% -136.3% -59.8% -1.1K -4.5K -772 0.00 147.75 N/A N/A 0 0 212 320 2012-02-13 $8.40 $0.00 124.1% 35.6% 20.4% 59.4% 0.0% -140.0% -62.1% -448 -16.6K -748 0.00 146.34 N/A N/A 0 0 212 320 2012-02-14 $8.34 $0.00 126.4% 36.2% 20.0% 60.8% 0.0% -143.2% -55.7% -333 -15.2K -763 0.00 147.61 N/A N/A 0 0 212 320 2012-02-15 $8.26 $0.00 129.0% 37.0% 20.0% 62.3% 0.0% -146.7% -67.1% -111 -9.9K -741 0.00 146.89 N/A N/A 0 0 212 320 2012-02-16 $8.40 $0.00 130.1% 37.3% 20.7% 63.0% 0.0% -147.1% -116.8% 275 -16.7K -735 0.00 145.78 N/A N/A 0 0 212 320 2012-02-17 $8.37 $0.00 132.6% 38.0% 20.5% 64.4% 0.0% -150.2% -123.2% 311 -15.2K -730 0.00 148.05 N/A N/A 0 0 212 320 2012-02-21 $8.27 $0.00 143.6% 41.2% 21.1% 71.0% 0.0% -163.6% -79.5% 135 -27.1K -721 0.00 147.04 N/A N/A 0 30 212 240 2012-02-22 $8.21 $0.00 147.0% 42.1% 19.8% 73.0% 0.0% 10.0% -82.9% 72 -26.3K -723 0.00 147.26 N/A N/A 0 0 212 240 2012-02-23 $8.35 $0.00 149.1% 42.7% 20.4% 74.2% 0.0% -157.9% -83.5% 126 -31.6K -720 0.00 146.13 N/A N/A 0 0 212 240 2012-02-24 $8.25 $0.00 153.2% 43.9% 19.2% 76.7% 0.0% 11.0% -88.1% 79 -27.9K -717 0.00 147.22 N/A N/A 0 0 212 240 2012-02-27 $8.23 $0.00 165.0% 47.3% 16.5% 83.7% 0.0% 10.9% -165.2% 149 -23.7K -696 0.00 147.70 N/A N/A 0 0 212 240 2012-02-28 $8.13 $0.00 170.5% 48.9% 16.4% 87.0% 0.0% 11.1% -172.1% 57 -17.9K -688 0.00 146.31 N/A N/A 0 0 212 240 2012-02-29 $8.01 $0.00 97.5% 28.0% 16.8% 43.6% 0.0% 12.1% -73.4% -53 -11.1K -678 0.00 146.40 N/A N/A 0 0 212 240
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