FIZZ Options History — June 2012

In June 2012, FIZZ traded between $6.85 and $7.50. ATM implied volatility averaged 73.2%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 29.4%. IV traded above realized volatility by 45.3% (HV 20d: 27.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2012-06-08: Highest Volume — 60 contracts
2012-06-14: Largest IV spike — 94.2% change
2012-06-22: Highest IV Rank — 90.9%
2012-06-22: Largest Expected Move — 50.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.27	$6.85	$7.50	$7.06	$7.47
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	73.2%	15.9%	176.3%	112.8%	36.7%
Expected Move	29.4%	10.5%	50.5%	32.3%	10.5%
HV 20d	27.9%	22.8%	35.3%	30.2%	35.3%
HV 60d	35.7%	34.8%	39.0%	34.8%	39.0%
IV Rank	31.9%	0.0%	90.9%	52.6%	11.8%
IV Percentile	45.4%	0.0%	98.4%	77.4%	12.7%
Term Structure	6.4%	-50.8%	90.7%	90.7%	77.1%
VWIV	96.0%	40.3%	133.1%	114.6%	40.3%
Skew 25d	2.3%	-18.5%	45.2%	-10.3%	3.6%
Skew 10d	8.3%	-5.4%	23.1%	-5.4%	14.8%
Call IV 25d	161.6%	114.0%	184.0%	165.5%	157.4%
Put IV 25d	163.9%	144.5%	198.1%	155.2%	160.9%
Bid-Ask Spread %	151.05	148.66	153.01	150.83	151.82
Gamma HHI	0.53	0.38	0.88	0.38	0.63
Net GEX	2.7K	-2.9K	15.6K	25	-2.9K
Net DEX	17.4K	-25.2K	70.1K	8.0K	47.8K
Net VEX	-404	-472	-289	-472	-309
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	4.476	0	60	0	0
Total OI	401.429	370	460	400	376

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-06-01	$7.06	$7.50	112.8%	32.3%	30.2%	52.6%	0.0%	-10.3%	90.7%	25	8.0K	-472	150.83	N/A	N/A	0	0	182	218
2012-06-04	$7.29	$7.50	22.5%	33.0%	29.8%	0.0%	0.0%	-1.3%	-40.0%	1.3K	6.3K	-466	151.19	N/A	N/A	0	0	182	218
2012-06-05	$7.26	$7.50	24.6%	33.4%	29.9%	1.3%	0.0%	-3.0%	-41.3%	1.3K	8.0K	-459	150.55	N/A	N/A	0	0	182	218
2012-06-06	$7.38	$7.50	20.8%	23.7%	28.8%	0.0%	0.0%	13.2%	28.0%	1.7K	10.5K	-460	149.39	N/A	N/A	0	0	182	218
2012-06-07	$7.39	$7.50	15.9%	33.9%	27.9%	0.0%	114.6%	4.0%	-41.6%	1.9K	3.4K	-459	151.68	N/A	N/A	20	0	182	218
2012-06-08	$7.50	$7.50	22.6%	34.1%	28.4%	3.8%	0.0%	7.4%	-41.1%	2.4K	-5.1K	-463	151.42	N/A	N/A	60	0	182	218
2012-06-11	$7.45	$7.50	35.6%	24.1%	27.7%	11.2%	0.0%	45.2%	33.7%	7.6K	11.0K	-419	149.63	N/A	N/A	0	0	242	218
2012-06-12	$7.49	$7.50	36.7%	35.0%	27.6%	11.8%	0.0%	8.0%	-40.4%	9.8K	-25.2K	-463	153.01	N/A	N/A	0	0	242	218
2012-06-13	$7.46	$7.50	40.9%	22.2%	27.5%	14.2%	0.0%	1.8%	-42.1%	11.0K	-6.9K	-442	151.92	N/A	N/A	0	0	242	218
2012-06-14	$7.49	$7.50	79.5%	22.8%	27.3%	36.0%	0.0%	15.1%	49.0%	13.9K	-13.9K	-441	152.39	N/A	N/A	0	0	242	218
2012-06-15	$7.43	$7.50	130.5%	37.4%	25.8%	64.9%	0.0%	5.0%	-50.8%	15.6K	-7.2K	-432	152.81	N/A	N/A	0	0	242	218
2012-06-18	$7.47	$7.50	136.0%	39.0%	25.8%	68.0%	0.0%	18.5%	-25.3%	-346	7.7K	-410	152.35	N/A	N/A	0	0	152	218
2012-06-19	$7.46	$7.50	138.1%	39.6%	25.5%	69.3%	0.0%	6.0%	-24.2%	-342	7.9K	-406	152.86	N/A	N/A	0	0	152	218
2012-06-20	$7.32	$7.50	138.4%	39.7%	22.8%	69.5%	133.1%	-1.7%	-20.5%	-350	12.6K	-394	151.40	N/A	N/A	8	0	152	218
2012-06-21	$7.08	$7.50	100.1%	28.7%	25.8%	47.7%	0.0%	-10.5%	-42.9%	-413	28.2K	-377	150.59	N/A	N/A	0	0	152	218
2012-06-22	$6.85	$7.50	176.3%	50.5%	28.4%	90.9%	40.3%	13.9%	-43.9%	-364	29.2K	-364	148.66	N/A	N/A	0	6	152	218
2012-06-25	$6.92	$7.50	98.9%	28.3%	28.6%	47.0%	0.0%	-17.3%	76.5%	-621	45.5K	-342	149.27	N/A	N/A	0	0	152	224
2012-06-26	$6.89	$7.50	52.6%	15.1%	28.0%	20.8%	0.0%	-18.5%	78.5%	-1.5K	70.1K	-289	149.87	N/A	N/A	0	0	152	224
2012-06-27	$6.99	$7.50	55.8%	16.0%	28.2%	22.6%	0.0%	-14.9%	78.4%	-1.5K	64.5K	-304	150.36	N/A	N/A	0	0	152	224
2012-06-28	$6.96	$7.50	61.4%	17.6%	26.1%	25.8%	0.0%	-15.8%	76.8%	-1.3K	62.8K	-304	150.06	N/A	N/A	0	0	152	224
2012-06-29	$7.47	$7.50	36.7%	10.5%	35.3%	11.8%	0.0%	3.6%	77.1%	-2.9K	47.8K	-309	151.82	N/A	N/A	0	0	152	224