FIZZ Options History — May 2012

In May 2012, FIZZ traded between $6.88 and $7.46. ATM implied volatility averaged 120.2%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 36.0%. IV traded above realized volatility by 79.2% (HV 20d: 41.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-05-17: Highest Volume — 30 contracts
2012-05-07: Largest IV spike — 299.1% change
2012-05-01: Highest IV Rank — 87.0%
2012-05-01: Largest Expected Move — 48.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.20	$6.88	$7.46	$7.26	$7.23
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	120.2%	33.9%	170.5%	170.5%	109.3%
Expected Move	36.0%	24.2%	48.9%	48.9%	31.3%
HV 20d	41.1%	27.6%	50.9%	50.1%	29.5%
HV 60d	34.1%	32.7%	35.1%	32.8%	34.9%
IV Rank	57.1%	5.6%	87.0%	87.0%	50.6%
IV Percentile	79.7%	8.3%	96.8%	96.8%	76.2%
Term Structure	4.4%	-59.4%	90.2%	-37.5%	90.1%
VWIV	157.6%	157.6%	157.6%	157.6%	157.6%
Skew 25d	-18.8%	-151.9%	13.8%	-4.3%	9.7%
Skew 10d	24.7%	-5.8%	35.3%	35.3%	-5.8%
Call IV 25d	165.4%	136.3%	195.8%	169.2%	146.4%
Put IV 25d	146.6%	19.8%	199.0%	164.8%	156.1%
Bid-Ask Spread %	150.58	146.07	152.35	146.07	150.50
Gamma HHI	0.41	0.37	0.54	0.39	0.40
Net GEX	347	-199	2.3K	-75	-30
Net DEX	18.9K	-1.6K	47.5K	-557	14.0K
Net VEX	-536	-627	-475	-627	-475
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	1.364	0	30	0	0
Total OI	452.273	400	510	480	400

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2012-05-01	$7.26	$7.50	170.5%	48.9%	50.1%	87.0%	0.0%	-4.3%	-37.5%	-75	-557	-627	146.07	N/A	N/A	0	222	258
2012-05-02	$7.22	$7.50	169.8%	48.7%	49.9%	86.6%	0.0%	-5.7%	-42.3%	442	33.1K	-594	147.97	N/A	N/A	0	222	258
2012-05-03	$7.11	$7.50	162.7%	46.6%	49.9%	82.4%	0.0%	-145.8%	-49.7%	320	34.6K	-574	146.66	N/A	N/A	0	222	258
2012-05-04	$6.88	$0.00	33.9%	37.5%	50.8%	5.6%	0.0%	-150.0%	-48.8%	-192	47.5K	-532	149.18	N/A	N/A	0	222	258
2012-05-07	$6.95	$0.00	135.1%	38.7%	50.9%	65.9%	0.0%	-18.1%	-51.5%	-199	46.4K	-523	150.96	N/A	N/A	0	222	258
2012-05-08	$7.14	$0.00	112.6%	38.7%	49.6%	52.5%	0.0%	-9.6%	-50.3%	338	36.5K	-553	150.82	N/A	N/A	0	222	258
2012-05-09	$7.29	$0.00	135.3%	38.8%	50.1%	66.0%	0.0%	-3.0%	-49.7%	888	24.2K	-571	151.54	N/A	N/A	0	222	258
2012-05-10	$7.32	$0.00	136.9%	39.3%	49.9%	67.0%	0.0%	-2.2%	-50.8%	895	23.8K	-569	151.70	N/A	N/A	0	222	258
2012-05-11	$7.46	$0.00	137.6%	39.4%	49.0%	67.4%	0.0%	-151.9%	-50.3%	1.2K	4.9K	-582	151.19	N/A	N/A	0	222	258
2012-05-14	$7.39	$0.00	144.2%	41.3%	48.4%	71.4%	0.0%	1.0%	-55.4%	164	499	-565	152.24	N/A	N/A	0	222	258
2012-05-15	$7.34	$0.00	146.9%	42.1%	48.5%	73.0%	0.0%	8.7%	-57.7%	1.4K	26.2K	-538	151.88	N/A	N/A	0	222	258
2012-05-16	$7.43	$0.00	148.4%	42.6%	47.5%	73.9%	0.0%	11.0%	-58.1%	2.3K	12.0K	-548	152.35	N/A	N/A	0	222	258
2012-05-17	$7.25	$0.00	151.1%	43.3%	47.5%	75.4%	157.6%	12.5%	-59.4%	-114	40.9K	-512	151.41	N/A	N/A	30	222	258
2012-05-18	$7.28	$7.50	84.4%	24.2%	33.2%	35.7%	0.0%	12.3%	77.1%	73	30.0K	-532	151.48	N/A	N/A	0	252	258
2012-05-21	$7.36	$7.50	85.7%	24.6%	27.8%	36.5%	0.0%	12.1%	84.8%	59	-1.6K	-524	151.65	N/A	N/A	0	182	218
2012-05-22	$7.09	$7.50	91.0%	26.1%	29.0%	39.7%	0.0%	13.7%	79.1%	21	6.3K	-509	151.40	N/A	N/A	0	182	218
2012-05-23	$7.11	$7.50	92.9%	26.6%	28.9%	40.8%	0.0%	13.8%	79.4%	25	5.8K	-506	150.74	N/A	N/A	0	182	218
2012-05-24	$7.05	$7.50	95.0%	27.2%	29.0%	42.0%	0.0%	13.6%	79.9%	17	7.5K	-500	149.94	N/A	N/A	0	182	218
2012-05-25	$7.00	$7.50	93.1%	26.7%	28.2%	40.9%	0.0%	-12.1%	88.3%	28	8.9K	-495	150.96	N/A	N/A	0	182	218
2012-05-29	$7.11	$7.50	103.0%	29.5%	28.4%	46.8%	0.0%	-8.3%	89.5%	30	6.2K	-485	151.41	N/A	N/A	0	182	218
2012-05-30	$7.03	$7.50	105.9%	30.4%	27.6%	48.5%	0.0%	-11.5%	90.2%	27	8.6K	-478	150.78	N/A	N/A	0	182	218
2012-05-31	$7.23	$7.50	109.3%	31.3%	29.5%	50.6%	0.0%	9.7%	90.1%	-30	14.0K	-475	150.50	N/A	N/A	0	182	218