FIZZ Options History — August 2012 In August 2012, FIZZ traded between $7.05 and $7.47. ATM implied volatility averaged 79.3%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 31.3%. IV traded above realized volatility by 52.6% (HV 20d: 26.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2012-08-17 : Highest Volume — 20 contracts2012-08-15 : Largest IV spike — 207.8% change2012-08-02 : Highest IV Rank — 100.0%2012-08-02 : Largest Expected Move — 56.5%Monthly Statistics Metric Avg Min Max Open Close Price $7.29 $7.05 $7.47 $7.18 $7.44 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 79.3% 13.8% 197.0% 190.0% 105.0% Expected Move 31.3% 4.0% 56.5% 54.5% 30.1% HV 20d 26.7% 21.9% 29.5% 25.2% 21.9% HV 60d 28.8% 27.4% 29.5% 29.4% 27.6% IV Rank 35.9% 0.0% 100.0% 98.4% 49.8% IV Percentile 46.3% 0.0% 100.0% 99.2% 67.1% Term Structure -22.2% -108.8% 103.7% -52.7% 1.5% VWIV 20.5% 18.6% 22.4% 18.6% 22.4% Skew 25d -8.9% -119.3% 15.8% -7.1% 12.9% Skew 10d -20.1% -159.4% 6.2% -11.6% -2.2% Call IV 25d 168.1% 141.0% 190.5% 161.0% 145.4% Put IV 25d 159.2% 51.4% 194.9% 153.9% 158.2% Bid-Ask Spread % 151.18 147.87 153.11 147.87 152.53 Gamma HHI 0.70 0.58 0.84 0.76 0.78 Net GEX 1.3K 453 2.6K 1.4K 2.3K Net DEX -62.3K -79.7K -40.8K -57.4K -71.5K Net VEX -483 -512 -460 -504 -480 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 1.913 0 20 0 0 Total OI 324 316 340 316 340
Daily Data (23 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 2012-08-01 $7.18 $7.50 190.0% 54.5% 25.2% 98.4% 0.0% -7.1% -52.7% 1.4K -57.4K -504 0.00 147.87 N/A N/A 0 0 218 98 2012-08-02 $7.22 $7.50 197.0% 56.5% 25.3% 100.0% 0.0% -5.9% -55.8% 1.5K -58.8K -504 0.00 148.47 N/A N/A 0 0 218 98 2012-08-03 $7.46 $7.50 13.8% 4.0% 28.1% 0.0% 0.0% 3.3% 103.7% 1.8K -69.6K -512 0.00 147.91 N/A N/A 0 0 218 98 2012-08-06 $7.37 $0.00 19.4% 34.7% 28.2% 3.0% 0.0% -0.1% -25.9% 1.9K -64.8K -501 0.00 151.79 N/A N/A 0 0 218 98 2012-08-07 $7.21 $0.00 20.9% 35.4% 29.0% 3.9% 0.0% -6.1% -27.7% 2.3K -49.0K -493 0.00 150.23 N/A N/A 0 0 218 98 2012-08-08 $7.13 $0.00 27.8% 36.0% 29.0% 7.7% 0.0% -9.6% -29.1% 2.5K -40.8K -481 0.00 151.25 N/A N/A 0 0 218 98 2012-08-09 $7.14 $0.00 28.9% 36.4% 28.8% 8.3% 0.0% -9.3% -99.3% 1.1K -52.8K -481 0.00 151.21 N/A N/A 0 0 218 98 2012-08-10 $7.05 $0.00 34.6% 37.1% 28.6% 11.4% 0.0% -13.4% -102.2% 734 -49.2K -470 0.00 151.40 N/A N/A 0 0 218 98 2012-08-13 $7.17 $0.00 28.6% 38.1% 29.5% 8.1% 0.0% -8.4% -104.3% 951 -53.1K -472 0.00 151.10 N/A N/A 0 0 218 98 2012-08-14 $7.13 $0.00 44.5% 38.7% 27.5% 16.8% 0.0% -10.6% -106.7% 666 -51.1K -464 0.00 151.26 N/A N/A 0 0 218 98 2012-08-15 $7.10 $0.00 137.1% 39.3% 26.3% 67.3% 0.0% -11.8% -108.8% 457 -50.2K -460 0.00 151.70 N/A N/A 0 0 218 98 2012-08-16 $7.15 $0.00 81.8% 23.5% 26.4% 37.1% 0.0% 8.1% 3.7% 453 -51.9K -463 0.00 151.31 N/A N/A 0 0 218 98 2012-08-17 $7.34 $0.00 76.3% 21.9% 27.4% 34.1% 18.6% 15.0% 16.7% 1.1K -59.1K -466 0.00 151.06 N/A N/A 20 0 218 98 2012-08-20 $7.46 $7.50 78.0% 22.4% 26.9% 35.1% 0.0% -119.3% 20.1% 746 -70.0K -480 0.00 151.07 N/A N/A 0 0 218 98 2012-08-21 $7.30 $7.50 81.8% 23.4% 28.3% 37.1% 22.4% 15.8% 15.1% 533 -66.3K -471 0.00 151.79 N/A N/A 20 0 218 98 2012-08-22 $7.38 $7.50 88.0% 25.2% 28.5% 40.5% 0.0% -35.3% 5.3% 1.1K -72.9K -492 0.00 151.90 N/A N/A 0 0 238 98 2012-08-23 $7.36 $7.50 89.5% 25.7% 28.5% 41.3% 0.0% -37.0% 4.9% 776 -75.9K -486 0.00 151.75 N/A N/A 4 0 238 98 2012-08-24 $7.42 $7.50 87.8% 25.2% 25.3% 40.4% 0.0% -33.5% 11.1% 1.7K -73.1K -499 0.00 152.00 N/A N/A 0 0 242 98 2012-08-27 $7.40 $7.50 92.0% 26.4% 23.6% 42.7% 0.0% 12.3% 12.1% 1.2K -75.0K -486 0.00 152.13 N/A N/A 0 0 242 98 2012-08-28 $7.41 $7.50 97.9% 28.1% 23.6% 45.9% 0.0% 12.4% 4.0% 978 -77.5K -481 0.00 152.09 N/A N/A 0 0 242 98 2012-08-29 $7.47 $7.50 100.4% 28.8% 23.4% 47.3% 0.0% 12.7% 2.6% 1.0K -79.7K -481 0.00 153.11 N/A N/A 0 0 242 98 2012-08-30 $7.33 $7.50 103.2% 29.6% 24.5% 48.8% 0.0% 11.3% 0.9% 2.6K -63.7K -479 0.00 152.30 N/A N/A 0 0 242 98 2012-08-31 $7.44 $7.50 105.0% 30.1% 21.9% 49.8% 0.0% 12.9% 1.5% 2.3K -71.5K -480 0.00 152.53 N/A N/A 0 0 242 98
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