FIZZ Options History — April 2012

In April 2012, FIZZ traded between $6.67 and $8.11. ATM implied volatility averaged 131.7%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 38.5%. IV traded above realized volatility by 100.3% (HV 20d: 31.4%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2012-04-11: Highest Volume — 74 contracts
2012-04-13: Largest IV spike — 127.3% change
2012-04-05: Highest IV Rank — 96.7%
2012-04-05: Largest Expected Move — 53.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.33	$6.67	$8.11	$8.11	$7.43
Max Pain	$7.79	$7.50	$8.75	$8.75	$7.50
ATM IV	131.7%	46.9%	186.8%	85.4%	46.9%
Expected Move	38.5%	13.5%	53.5%	24.5%	13.5%
HV 20d	31.4%	17.2%	50.0%	18.9%	50.0%
HV 60d	25.7%	20.3%	32.5%	21.3%	32.5%
IV Rank	63.9%	13.4%	96.7%	36.3%	13.4%
IV Percentile	88.1%	49.6%	99.6%	82.5%	49.6%
Term Structure	-35.3%	-124.6%	92.3%	-57.2%	55.3%
VWIV	79.6%	24.6%	167.5%	24.6%	26.8%
Skew 25d	-1.8%	-129.9%	12.5%	9.7%	-10.2%
Skew 10d	11.7%	-7.0%	28.7%	3.4%	24.3%
Call IV 25d	152.4%	114.7%	187.9%	148.6%	175.7%
Put IV 25d	150.6%	24.4%	183.8%	158.2%	165.4%
Bid-Ask Spread %	146.65	143.38	148.37	147.22	145.69
Gamma HHI	0.48	0.34	0.77	0.48	0.61
Net GEX	-1.5K	-5.9K	639	-586	639
Net DEX	41.8K	-8.6K	97.2K	-4.3K	5.0K
Net VEX	-540	-619	-467	-467	-615
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	2.70	0.00	2.00
Total Volume	15.1	0	74	24	30
Total OI	470.6	390	534	420	450

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
2012-04-02	$8.11	$8.75	85.4%	24.5%	18.9%	36.3%	0.0%	9.7%	-57.2%	-586	-4.3K	-467	0.00	147.22	N/A	N/A	0	24	180	240
2012-04-03	$7.97	$8.75	168.5%	48.3%	18.9%	85.8%	24.6%	9.7%	-63.1%	-1.2K	8.3K	-514	0.00	146.44	N/A	N/A	10	0	180	264
2012-04-04	$7.83	$8.75	180.7%	51.8%	18.0%	93.1%	0.0%	9.6%	-69.6%	-1.8K	18.0K	-500	0.00	146.88	N/A	N/A	0	0	170	264
2012-04-05	$7.83	$8.75	186.8%	53.5%	17.2%	96.7%	0.0%	9.6%	-74.1%	-2.0K	18.5K	-494	0.00	145.08	N/A	N/A	0	42	170	264
2012-04-09	$7.71	$0.00	75.1%	36.7%	17.8%	30.2%	0.0%	9.6%	-54.5%	-2.9K	35.1K	-546	0.00	146.72	N/A	N/A	0	0	170	306
2012-04-10	$7.35	$0.00	133.1%	38.1%	23.8%	64.7%	0.0%	-0.2%	-61.2%	-5.9K	65.0K	-519	0.00	147.58	N/A	N/A	0	20	170	306
2012-04-11	$7.25	$0.00	132.7%	38.1%	23.1%	64.5%	136.9%	-3.1%	-58.3%	-5.1K	74.9K	-503	2.70	147.01	N/A	N/A	20	54	170	306
2012-04-12	$7.33	$7.50	61.2%	17.6%	23.2%	21.9%	0.0%	7.4%	16.9%	-1.6K	53.2K	-619	0.00	143.54	N/A	N/A	0	0	190	342
2012-04-13	$7.11	$7.50	139.2%	39.9%	25.0%	68.4%	0.0%	-4.1%	-124.6%	-2.4K	84.5K	-547	0.00	148.37	N/A	N/A	0	0	190	342
2012-04-16	$6.96	$7.50	146.9%	42.1%	25.0%	72.9%	0.0%	12.4%	-74.7%	-892	97.2K	-514	0.00	146.12	N/A	N/A	2	0	190	342
2012-04-17	$7.01	$7.50	76.3%	21.9%	24.9%	30.9%	0.0%	11.3%	68.8%	-901	91.9K	-519	0.00	147.64	N/A	N/A	0	0	192	342
2012-04-18	$6.83	$7.50	170.8%	49.0%	25.8%	87.2%	0.0%	12.5%	-69.7%	-676	94.5K	-505	0.00	146.65	N/A	N/A	0	0	192	342
2012-04-19	$6.67	$7.50	176.2%	50.5%	26.5%	90.4%	0.0%	12.4%	-71.3%	-846	93.5K	-493	0.00	146.34	N/A	N/A	0	0	192	342
2012-04-20	$7.33	$7.50	95.5%	27.4%	45.2%	42.3%	42.1%	9.3%	38.5%	-2.5K	84.7K	-537	0.00	143.38	N/A	N/A	40	0	192	342
2012-04-23	$6.97	$7.50	87.5%	25.1%	47.8%	37.6%	0.0%	11.7%	92.3%	-49	20.2K	-537	0.00	147.40	N/A	N/A	0	0	172	218
2012-04-24	$7.20	$7.50	164.3%	47.1%	48.9%	83.3%	0.0%	-5.6%	-48.8%	-493	17.5K	-537	0.00	147.70	N/A	N/A	40	0	172	218
2012-04-25	$7.24	$7.50	161.7%	46.4%	49.1%	81.8%	0.0%	-4.1%	-39.5%	19	-8.5K	-617	0.00	147.62	N/A	N/A	0	0	212	218
2012-04-26	$7.21	$7.50	172.9%	49.6%	49.0%	88.5%	0.0%	-5.0%	-57.1%	43	-8.6K	-613	0.00	148.19	N/A	N/A	0	0	212	218
2012-04-27	$7.34	$7.50	171.6%	49.2%	49.6%	87.7%	167.5%	-129.9%	-54.1%	-19	-4.3K	-610	0.00	147.37	N/A	N/A	0	20	212	218
2012-04-30	$7.43	$7.50	46.9%	13.5%	50.0%	13.4%	26.8%	-10.2%	55.3%	639	5.0K	-615	2.00	145.69	N/A	N/A	10	20	212	238