FIZZ Options History — July 2012

In July 2012, FIZZ traded between $7.04 and $7.51. ATM implied volatility averaged 106.3%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 35.4%. IV traded above realized volatility by 73.6% (HV 20d: 32.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2012-07-23: Highest Volume — 140 contracts
2012-07-12: Largest IV spike — 184.2% change
2012-07-31: Highest IV Rank — 100.0%
2012-07-31: Largest Expected Move — 55.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.29	$7.04	$7.51	$7.51	$7.25
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	106.3%	34.9%	192.9%	115.4%	192.9%
Expected Move	35.4%	10.1%	55.3%	33.1%	55.3%
HV 20d	32.7%	25.1%	35.9%	33.6%	25.1%
HV 60d	33.3%	28.9%	39.0%	39.0%	29.4%
IV Rank	51.2%	10.8%	100.0%	56.4%	100.0%
IV Percentile	65.3%	9.1%	100.0%	75.4%	100.0%
Term Structure	-6.3%	-113.1%	98.9%	77.9%	-78.2%
VWIV	30.8%	26.2%	35.4%	35.4%	26.2%
Skew 25d	4.8%	-7.8%	23.6%	5.2%	-4.6%
Skew 10d	24.5%	17.0%	34.0%	17.0%	34.0%
Call IV 25d	160.4%	121.3%	195.6%	161.4%	158.0%
Put IV 25d	165.2%	131.8%	197.4%	166.6%	153.4%
Bid-Ask Spread %	148.68	146.36	152.79	152.79	148.43
Gamma HHI	0.73	0.42	0.93	0.42	0.67
Net GEX	-2.2K	-7.8K	1.8K	-470	747
Net DEX	21.3K	-64.2K	71.0K	20.1K	-64.2K
Net VEX	-326	-517	-196	-347	-511
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	10.952	0	140	0	0
Total OI	346.762	156	412	376	316

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
2012-07-02	$7.51	$7.50	115.4%	33.1%	33.6%	56.4%	0.0%	5.2%	77.9%	-470	20.1K	-347	152.79	N/A	N/A	0	0	152	224
2012-07-03	$7.49	$7.50	114.0%	32.7%	33.6%	55.6%	0.0%	4.0%	87.4%	-492	21.9K	-337	152.47	N/A	N/A	0	0	152	224
2012-07-05	$7.46	$7.50	35.4%	10.1%	33.1%	11.0%	35.4%	3.6%	89.9%	-5.9K	53.7K	-270	152.48	N/A	N/A	6	0	152	224
2012-07-06	$7.41	$0.00	38.2%	36.2%	33.3%	12.7%	0.0%	1.5%	-46.7%	-3.7K	55.1K	-271	148.97	N/A	N/A	0	4	152	224
2012-07-09	$7.49	$0.00	41.5%	39.1%	33.0%	14.5%	0.0%	-0.1%	-49.3%	-3.7K	47.5K	-258	148.26	N/A	N/A	0	0	152	220
2012-07-10	$7.42	$0.00	34.9%	38.0%	33.1%	10.8%	0.0%	1.9%	-108.9%	-5.0K	56.8K	-247	149.00	N/A	N/A	0	0	152	220
2012-07-11	$7.33	$0.00	48.0%	37.5%	33.2%	18.2%	0.0%	23.6%	-103.8%	-4.0K	59.4K	-224	148.26	N/A	N/A	0	0	152	220
2012-07-12	$7.38	$0.00	136.4%	39.1%	33.3%	68.3%	0.0%	0.2%	-113.1%	-4.0K	58.0K	-238	148.50	N/A	N/A	2	0	152	220
2012-07-13	$7.47	$0.00	137.4%	39.4%	33.6%	68.9%	0.0%	4.3%	-56.7%	-7.8K	52.1K	-236	148.39	N/A	N/A	0	0	154	220
2012-07-16	$7.43	$0.00	143.9%	41.3%	33.5%	72.6%	0.0%	2.7%	-60.4%	-5.5K	54.7K	-219	149.25	N/A	N/A	0	0	154	220
2012-07-17	$7.21	$0.00	148.3%	42.5%	35.1%	75.1%	0.0%	1.0%	-66.2%	-3.4K	68.4K	-207	147.08	N/A	N/A	0	0	154	220
2012-07-18	$7.04	$0.00	152.4%	43.7%	35.9%	77.3%	0.0%	10.7%	-71.2%	-2.3K	71.0K	-196	146.36	N/A	N/A	38	0	154	220
2012-07-19	$7.05	$0.00	154.8%	44.4%	35.4%	78.7%	0.0%	10.6%	-73.3%	-2.7K	63.5K	-260	148.34	N/A	N/A	0	0	192	220
2012-07-20	$7.18	$0.00	92.3%	26.5%	34.0%	43.3%	0.0%	10.5%	54.3%	-3.9K	67.3K	-253	147.68	N/A	N/A	0	0	190	220
2012-07-23	$7.05	$0.00	88.4%	25.3%	32.3%	41.1%	0.0%	11.5%	83.0%	-147	7.5K	-229	147.24	N/A	N/A	140	0	58	98
2012-07-24	$7.07	$0.00	87.4%	25.1%	32.2%	40.5%	0.0%	12.9%	98.4%	927	-46.2K	-506	147.60	N/A	N/A	0	0	198	98
2012-07-25	$7.12	$0.00	89.2%	25.6%	32.2%	41.6%	0.0%	12.9%	98.6%	1.8K	-39.6K	-503	147.98	N/A	N/A	0	0	198	98
2012-07-26	$7.16	$0.00	91.2%	26.1%	31.9%	42.7%	0.0%	-7.8%	98.9%	1.5K	-41.6K	-509	147.61	N/A	N/A	20	0	198	98
2012-07-27	$7.43	$0.00	99.9%	28.6%	34.4%	47.6%	26.2%	1.9%	84.9%	678	-61.1K	-513	147.76	N/A	N/A	20	0	198	98
2012-07-30	$7.25	$7.50	189.8%	54.4%	25.2%	98.6%	0.0%	-4.5%	-78.1%	1.6K	-56.3K	-517	147.79	N/A	N/A	0	0	218	98
2012-07-31	$7.25	$7.50	192.9%	55.3%	25.1%	100.0%	0.0%	-4.6%	-78.2%	747	-64.2K	-511	148.43	N/A	N/A	0	0	218	98