FIZZ Options History — September 2012 In September 2012, FIZZ traded between $7.22 and $7.64. ATM implied volatility averaged 69.2%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 46.3% (HV 20d: 22.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-25 : Highest Volume — 18 contracts2012-09-12 : Largest IV spike — 95.2% change2012-09-05 : Highest IV Rank — 96.8%2012-09-05 : Largest Expected Move — 54.8%Monthly Statistics Metric Avg Min Max Open Close Price $7.50 $7.22 $7.64 $7.33 $7.58 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 69.2% 21.0% 191.1% 114.5% 21.0% Expected Move 20.3% 6.0% 54.8% 32.8% 6.0% HV 20d 22.8% 21.3% 25.4% 22.1% 21.3% HV 60d 27.1% 23.3% 29.0% 27.6% 23.5% IV Rank 30.2% 4.0% 96.8% 55.0% 4.0% IV Percentile 39.1% 2.0% 98.8% 70.6% 2.0% Term Structure 34.5% -131.8% 96.2% -2.1% 96.2% VWIV 14.8% 10.4% 19.9% 10.4% 19.9% Skew 25d -12.8% -125.4% 15.8% 11.7% 7.5% Skew 10d -28.6% -157.3% 22.4% -6.7% 22.4% Call IV 25d 154.6% 95.6% 181.0% 150.9% 154.9% Put IV 25d 141.8% 10.4% 189.9% 162.7% 162.4% Bid-Ask Spread % 151.93 149.22 153.18 151.54 152.20 Gamma HHI 0.86 0.77 0.99 0.77 0.92 Net GEX 2.9K -593 9.1K 2.1K -103 Net DEX -75.8K -92.0K -55.0K -55.0K -70.5K Net VEX -410 -458 -354 -434 -357 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 1.579 0 18 0 0 Total OI 332.105 310 340 340 310
Daily Data (19 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 2012-09-04 $7.33 $7.50 114.5% 32.8% 22.1% 55.0% 0.0% 11.7% -2.1% 2.1K -55.0K -434 0.00 151.54 N/A N/A 0 0 242 98 2012-09-05 $7.22 $7.50 191.1% 54.8% 21.4% 96.8% 0.0% 7.9% -131.8% 2.3K -61.2K -447 0.00 151.10 N/A N/A 0 0 242 98 2012-09-06 $7.52 $7.50 77.0% 0.0% 25.3% 34.5% 0.0% 14.0% -124.9% 2.9K -80.3K -458 0.00 152.99 N/A N/A 0 0 242 98 2012-09-07 $7.50 $7.50 78.0% 22.4% 25.4% 35.0% 0.0% 14.0% 40.6% 3.0K -79.1K -454 0.00 149.22 N/A N/A 0 0 242 98 2012-09-10 $7.51 $7.50 78.9% 22.6% 24.7% 35.6% 0.0% 14.6% 44.2% 3.3K -79.6K -444 0.00 152.78 N/A N/A 0 0 242 98 2012-09-11 $7.49 $7.50 41.4% 22.9% 24.2% 15.1% 0.0% 14.8% 43.9% 3.3K -78.1K -440 0.00 152.07 N/A N/A 0 0 242 98 2012-09-12 $7.53 $7.50 80.8% 23.2% 24.0% 36.6% 0.0% 15.0% 44.2% 3.5K -81.2K -438 0.00 152.54 N/A N/A 0 0 242 98 2012-09-13 $7.53 $7.50 82.0% 23.5% 23.9% 37.2% 0.0% 15.2% 44.0% 3.6K -80.8K -434 0.00 153.18 N/A N/A 0 0 242 98 2012-09-14 $7.43 $7.50 83.5% 23.9% 24.4% 38.0% 0.0% -125.4% 43.2% 3.9K -73.4K -427 0.00 152.40 N/A N/A 0 0 242 98 2012-09-17 $7.50 $7.50 87.0% 24.9% 22.7% 39.9% 0.0% 15.8% 43.2% 4.7K -78.4K -418 0.00 152.44 N/A N/A 0 0 242 98 2012-09-18 $7.50 $7.50 88.3% 25.3% 22.0% 40.7% 0.0% -30.4% 43.2% 5.1K -79.4K -414 0.00 150.50 N/A N/A 0 0 242 98 2012-09-19 $7.64 $7.50 88.8% 25.5% 21.3% 41.0% 0.0% -25.6% 44.4% 4.2K -92.0K -410 0.00 151.50 N/A N/A 0 0 242 98 2012-09-20 $7.54 $7.50 91.0% 26.1% 21.7% 42.1% 0.0% -30.0% 43.1% 6.5K -83.0K -404 0.00 152.00 N/A N/A 0 0 242 98 2012-09-21 $7.50 $7.50 21.5% 6.2% 21.7% 4.2% 10.4% -97.0% 42.5% 9.1K -84.9K -369 0.00 151.44 N/A N/A 0 10 242 98 2012-09-24 $7.57 $7.50 21.7% 6.2% 21.8% 4.3% 0.0% -5.3% 91.7% -373 -71.3K -365 0.00 151.87 N/A N/A 0 0 202 108 2012-09-25 $7.51 $7.50 22.3% 6.4% 21.9% 4.7% 14.0% -65.0% 79.8% -355 -66.3K -362 0.00 152.43 N/A N/A 18 0 202 108 2012-09-26 $7.54 $7.50 22.7% 6.5% 22.0% 4.9% 19.9% -4.3% 76.3% -390 -68.5K -360 0.00 152.81 N/A N/A 2 0 202 108 2012-09-27 $7.63 $7.50 22.8% 6.5% 22.3% 4.9% 0.0% 9.4% 94.1% -593 -78.2K -354 0.00 151.60 N/A N/A 0 0 202 108 2012-09-28 $7.58 $7.50 21.0% 6.0% 21.3% 4.0% 0.0% 7.5% 96.2% -103 -70.5K -357 0.00 152.20 N/A N/A 0 0 202 108
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