FIZZ Options History — November 2012

In November 2012, FIZZ traded between $7.00 and $8.58. ATM implied volatility averaged 25.1%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 8.0% (HV 20d: 33.2%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.42.

Notable Days

2012-11-30: Highest Volume — 260 contracts
2012-11-26: Largest IV spike — 68.4% change
2012-11-14: Highest IV Rank — 15.8%
2012-11-06: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.63	$7.00	$8.58	$7.56	$8.58
Max Pain	$7.63	$7.50	$8.75	$7.50	$8.75
ATM IV	25.1%	15.5%	42.7%	23.5%	22.7%
Expected Move	7.0%	4.5%	7.9%	6.7%	6.5%
HV 20d	33.2%	17.5%	57.5%	17.5%	57.2%
HV 60d	25.2%	19.7%	36.4%	19.7%	36.1%
IV Rank	6.2%	1.0%	15.8%	5.3%	4.9%
IV Percentile	11.9%	0.8%	32.5%	8.3%	9.9%
Term Structure	3.0%	-10.3%	29.9%	2.6%	0.6%
VWIV	24.9%	18.9%	30.2%	24.3%	22.2%
Skew 25d	4.6%	-6.3%	94.4%	-4.8%	-6.3%
Skew 10d	1.5%	-65.6%	136.2%	-7.1%	-11.2%
Call IV 25d	25.3%	20.6%	29.4%	28.3%	27.2%
Put IV 25d	29.9%	21.0%	120.8%	23.5%	21.0%
Bid-Ask Spread %	80.81	30.66	131.03	45.20	112.12
Gamma HHI	0.90	0.53	1.00	1.00	0.55
Net GEX	4.1K	1.6K	6.5K	4.2K	2.1K
Net DEX	-99.3K	-204.3K	-44.6K	-94.6K	-204.3K
Net VEX	-272	-350	-94	-350	-94
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.42	0.07	12.00	12.00	0.73
Total Volume	21.333	0	260	0	260
Total OI	283.143	220	402	260	402

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	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-11-01	$7.56	$7.50	23.5%	6.7%	17.5%	5.3%	0.0%	-4.8%	2.6%	4.2K	-94.6K	-350	0.00	45.20	N/A	N/A	0	0	240	20
2012-11-02	$7.30	$7.50	20.9%	6.0%	21.2%	3.9%	0.0%	7.3%	5.5%	4.9K	-65.3K	-330	0.00	37.66	N/A	N/A	0	0	240	20
2012-11-05	$7.42	$0.00	22.7%	7.8%	21.1%	4.9%	0.0%	2.2%	4.4%	4.1K	-80.3K	-335	0.00	41.13	N/A	N/A	0	0	240	20
2012-11-06	$7.49	$0.00	22.8%	7.9%	21.4%	4.9%	0.0%	2.3%	0.7%	4.9K	-85.6K	-336	0.00	102.73	N/A	N/A	0	0	240	20
2012-11-07	$7.34	$0.00	22.0%	7.7%	22.4%	4.5%	0.0%	0.5%	-1.0%	5.0K	-69.5K	-324	0.00	41.25	N/A	N/A	0	0	240	20
2012-11-08	$7.24	$0.00	24.4%	7.7%	22.8%	5.8%	0.0%	-0.5%	0.9%	4.3K	-61.1K	-310	0.00	106.40	N/A	N/A	0	0	240	20
2012-11-09	$7.17	$0.00	25.5%	7.6%	22.9%	6.4%	0.0%	-2.3%	6.6%	3.7K	-56.7K	-296	0.00	44.12	N/A	N/A	0	0	240	20
2012-11-12	$7.15	$0.00	32.1%	7.5%	22.7%	10.0%	0.0%	-1.4%	3.1%	4.3K	-51.3K	-288	0.00	104.26	N/A	N/A	0	0	240	20
2012-11-13	$7.16	$0.00	36.2%	7.6%	22.7%	12.2%	0.0%	-4.0%	29.9%	2.4K	-56.5K	-279	0.00	30.66	N/A	N/A	0	0	240	20
2012-11-14	$7.12	$0.00	42.7%	6.8%	22.7%	15.8%	0.0%	-4.9%	12.1%	3.3K	-46.3K	-265	0.00	44.05	N/A	N/A	0	0	240	20
2012-11-15	$7.00	$0.00	20.3%	5.8%	23.1%	3.6%	0.0%	2.0%	15.3%	3.4K	-44.6K	-264	0.00	102.32	N/A	N/A	0	0	240	20
2012-11-16	$7.18	$0.00	24.1%	6.9%	25.2%	5.7%	0.0%	-0.3%	7.5%	4.9K	-67.9K	-276	0.00	46.22	N/A	N/A	0	0	240	0
2012-11-19	$7.54	$0.00	25.1%	7.2%	29.0%	6.2%	24.3%	-2.3%	-0.5%	6.5K	-84.1K	-286	12.00	107.89	N/A	N/A	2	24	220	0
2012-11-20	$7.41	$7.50	26.5%	7.6%	29.6%	6.9%	0.0%	94.4%	-2.5%	5.4K	-64.4K	-302	0.00	36.62	N/A	N/A	0	0	220	24
2012-11-21	$7.36	$7.50	24.7%	7.1%	29.3%	6.0%	0.0%	-5.0%	-3.4%	5.5K	-59.5K	-294	0.00	108.61	N/A	N/A	0	0	220	24
2012-11-23	$8.45	$7.50	15.5%	4.5%	57.1%	1.0%	18.9%	12.0%	-0.1%	2.8K	-171.1K	-127	2.31	131.03	N/A	N/A	26	60	220	24
2012-11-26	$8.48	$7.50	26.2%	7.5%	56.7%	6.8%	29.0%	-4.7%	-10.3%	1.6K	-182.5K	-135	0.07	111.30	N/A	N/A	56	4	244	84
2012-11-27	$8.33	$7.50	23.4%	6.7%	57.3%	5.2%	0.0%	1.8%	-4.4%	4.6K	-181.1K	-216	0.00	114.23	N/A	N/A	0	0	300	88
2012-11-28	$8.49	$7.50	22.6%	6.5%	57.5%	4.8%	0.0%	4.0%	-3.1%	4.4K	-178.2K	-301	0.00	114.53	N/A	N/A	0	0	300	88
2012-11-29	$8.50	$7.50	24.0%	6.9%	57.3%	5.6%	30.2%	5.9%	0.2%	4.1K	-180.7K	-295	7.00	114.70	N/A	N/A	2	14	300	88
2012-11-30	$8.58	$8.75	22.7%	6.5%	57.2%	4.9%	22.2%	-6.3%	0.6%	2.1K	-204.3K	-94	0.73	112.12	N/A	N/A	150	110	300	102