FIZZ Options History — December 2012

In December 2012, FIZZ traded between $6.95 and $8.86. ATM implied volatility averaged 25.0%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 51.9% (HV 20d: 76.9%). Max pain ranged from $6.22 to $8.75. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 5.35.

Notable Days

2012-12-04: Highest Volume — 570 contracts
2012-12-13: Largest IV spike — 84.9% change
2012-12-04: Highest IV Rank — 15.8%
2012-12-04: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.38	$6.95	$8.86	$8.64	$7.29
Max Pain	$6.60	$6.22	$8.75	$8.75	$6.22
ATM IV	25.0%	12.6%	42.7%	35.2%	23.4%
Expected Move	7.6%	5.3%	12.2%	10.1%	6.7%
HV 20d	76.9%	55.2%	86.1%	55.2%	67.5%
HV 60d	49.7%	35.3%	52.0%	35.9%	52.0%
IV Rank	6.5%	0.0%	15.8%	11.7%	5.9%
IV Percentile	14.3%	0.0%	32.9%	26.2%	15.1%
Term Structure	4.2%	-8.8%	13.2%	-4.0%	4.3%
VWIV	31.5%	23.2%	42.6%	35.6%	23.2%
Skew 25d	14.8%	-5.5%	100.0%	2.6%	1.6%
Skew 10d	20.7%	-4.7%	135.5%	3.9%	0.0%
Call IV 25d	25.5%	17.0%	36.0%	35.1%	25.3%
Put IV 25d	40.3%	18.3%	125.2%	37.7%	26.9%
Bid-Ask Spread %	39.60	18.54	99.69	99.44	21.18
Gamma HHI	0.62	0.29	0.94	0.75	0.31
Net GEX	-4.1K	-15.0K	3.3K	2.3K	169
Net DEX	-30.7K	-216.9K	176.2K	-194.1K	-137.3K
Net VEX	-477	-798	-320	-483	-320
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.35	0.08	21.00	4.57	5.50
Total Volume	90.8	0	570	334	0
Total OI	1,016.2	540	1,336	628	540

Daily Data (20 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
2012-12-03	$8.64	$8.75	35.2%	10.1%	55.2%	11.7%	35.6%	2.6%	-4.0%	2.3K	-194.1K	-483	4.57	99.44	N/A	N/A	60	274	416	212
2012-12-04	$8.86	$8.75	42.7%	12.2%	55.4%	15.8%	42.6%	77.2%	-8.8%	3.3K	-216.9K	-489	2.00	99.69	N/A	N/A	190	380	476	382
2012-12-05	$7.45	$7.47	32.0%	9.2%	85.2%	9.9%	30.3%	1.3%	0.4%	1.5K	-169.3K	-462	0.00	47.26	N/A	N/A	0	112	476	382
2012-12-06	$7.55	$7.47	35.5%	10.2%	85.0%	11.8%	35.5%	6.6%	-1.4%	-7.0K	-117.8K	-798	11.40	18.54	N/A	N/A	10	114	560	720
2012-12-07	$7.49	$6.22	25.1%	9.3%	84.9%	6.2%	0.0%	3.5%	0.8%	-11.3K	-110.7K	-783	21.00	21.44	N/A	N/A	2	42	560	738
2012-12-10	$7.33	$6.22	25.6%	8.0%	85.2%	6.4%	27.9%	0.3%	2.7%	-13.8K	11.1K	-695	2.45	23.61	N/A	N/A	22	54	560	776
2012-12-11	$7.34	$6.22	23.2%	7.9%	85.2%	5.2%	0.0%	0.5%	3.3%	-13.2K	6.3K	-670	0.08	24.38	N/A	N/A	24	2	562	758
2012-12-12	$7.11	$6.22	12.6%	8.0%	86.0%	0.0%	0.0%	-2.7%	2.3%	-1.2K	176.2K	-458	0.00	42.53	N/A	N/A	0	210	572	756
2012-12-13	$7.09	$6.22	23.2%	6.7%	86.0%	5.8%	0.0%	-5.5%	3.9%	-4.9K	71.5K	-577	0.00	27.78	N/A	N/A	0	12	572	698
2012-12-14	$6.95	$6.22	18.6%	5.3%	86.1%	3.3%	0.0%	-0.7%	11.4%	-1.4K	123.8K	-439	0.75	50.30	N/A	N/A	8	6	572	686
2012-12-17	$6.96	$6.22	20.4%	5.9%	85.6%	4.3%	0.0%	2.2%	12.8%	-1.6K	127.4K	-434	0.00	52.97	N/A	N/A	0	16	564	686
2012-12-18	$7.13	$6.22	24.6%	7.1%	84.3%	6.6%	25.2%	-2.6%	4.3%	-5.4K	89.5K	-418	0.40	33.57	N/A	N/A	60	24	564	686
2012-12-19	$7.12	$6.22	19.6%	5.6%	84.1%	3.8%	0.0%	0.3%	13.2%	-3.9K	124.1K	-371	0.00	37.55	N/A	N/A	0	0	544	686
2012-12-20	$7.29	$6.22	27.1%	7.8%	84.6%	7.9%	0.0%	0.1%	4.4%	-12.3K	63.7K	-437	0.00	60.52	N/A	N/A	0	64	544	686
2012-12-21	$7.33	$6.22	23.2%	6.7%	67.2%	5.8%	23.2%	98.1%	7.6%	-15.0K	29.2K	-395	5.50	23.40	N/A	N/A	20	110	544	686
2012-12-24	$7.13	$6.22	19.7%	5.6%	67.4%	3.9%	0.0%	6.9%	9.5%	444	-114.5K	-328	0.00	35.93	N/A	N/A	0	0	342	198
2012-12-26	$7.10	$6.22	19.9%	5.7%	67.4%	4.0%	0.0%	5.9%	11.1%	768	-113.4K	-327	0.00	30.33	N/A	N/A	0	0	342	198
2012-12-27	$7.26	$6.22	23.9%	6.8%	67.5%	6.1%	0.0%	100.0%	2.3%	40	-132.1K	-331	0.00	21.43	N/A	N/A	0	0	342	198
2012-12-28	$7.23	$6.22	23.8%	6.8%	67.5%	6.1%	0.0%	0.9%	2.9%	335	-130.8K	-333	0.00	20.17	N/A	N/A	0	0	342	198
2012-12-31	$7.29	$6.22	23.4%	6.7%	67.5%	5.9%	0.0%	1.6%	4.3%	169	-137.3K	-320	0.00	21.18	N/A	N/A	0	0	342	198