FIZZ Options History — January 2013

In January 2013, FIZZ traded between $6.87 and $7.24. ATM implied volatility averaged 19.0%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 5.5% (HV 20d: 24.5%). Max pain ranged from $6.22 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.45.

Notable Days

2013-01-03: Highest Volume — 320 contracts
2013-01-07: Largest IV spike — 38.4% change
2013-01-30: Highest IV Rank — 6.2%
2013-01-04: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.04	$6.87	$7.24	$7.24	$6.91
Max Pain	$7.35	$6.22	$7.50	$6.22	$7.50
ATM IV	19.0%	14.3%	23.9%	16.1%	23.1%
Expected Move	5.7%	4.4%	8.0%	4.6%	6.6%
HV 20d	24.5%	12.9%	67.2%	67.2%	13.1%
HV 60d	51.9%	51.2%	52.3%	52.0%	51.2%
IV Rank	3.5%	0.9%	6.2%	1.9%	5.7%
IV Percentile	8.3%	1.2%	24.6%	2.0%	21.4%
Term Structure	4.5%	-4.8%	13.0%	11.9%	-4.2%
VWIV	21.6%	16.2%	26.4%	16.2%	26.4%
Skew 25d	6.1%	-6.7%	74.9%	8.8%	1.5%
Skew 10d	6.9%	-6.2%	100.1%	-6.2%	3.0%
Call IV 25d	19.4%	13.4%	26.4%	16.8%	22.4%
Put IV 25d	25.6%	18.7%	97.1%	25.6%	23.9%
Bid-Ask Spread %	17.26	10.54	32.72	32.72	10.86
Gamma HHI	0.48	0.30	0.57	0.31	0.55
Net GEX	3.0K	35	4.0K	35	3.4K
Net DEX	-94.9K	-141.9K	-26.8K	-121.8K	-26.8K
Net VEX	-496	-590	-275	-299	-511
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.00	1.67	0.14	1.67
Total Volume	27.238	0	320	0	54
Total OI	564.19	398	704	540	504

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
2013-01-02	$7.24	$6.22	16.1%	4.6%	67.2%	1.9%	0.0%	8.8%	11.9%	35	-121.8K	-299	0.00	32.72	N/A	N/A	0	0	342	198
2013-01-03	$7.15	$6.22	16.1%	4.6%	66.1%	1.9%	16.2%	8.9%	11.7%	78	-110.9K	-275	0.14	13.32	N/A	N/A	280	40	342	198
2013-01-04	$7.09	$0.00	14.3%	8.0%	25.9%	0.9%	0.0%	-4.5%	1.1%	1.8K	-114.3K	-515	0.00	16.48	N/A	N/A	0	0	424	198
2013-01-07	$7.04	$0.00	19.8%	6.2%	25.1%	3.9%	0.0%	-6.7%	2.3%	1.8K	-109.9K	-509	0.00	19.51	N/A	N/A	0	0	424	198
2013-01-08	$7.12	$0.00	21.4%	6.7%	25.5%	4.8%	0.0%	-4.9%	-0.8%	1.9K	-115.3K	-494	0.00	17.81	N/A	N/A	0	0	424	198
2013-01-09	$7.21	$0.00	20.0%	5.5%	25.1%	4.1%	22.1%	74.9%	4.9%	1.8K	-126.1K	-521	0.00	18.54	N/A	N/A	82	0	424	198
2013-01-10	$7.12	$7.50	15.3%	4.4%	25.3%	1.5%	0.0%	5.4%	13.0%	3.9K	-130.6K	-578	0.00	30.25	N/A	N/A	0	0	506	198
2013-01-11	$7.18	$7.50	19.8%	5.7%	22.8%	3.9%	0.0%	-0.7%	4.0%	4.0K	-140.3K	-590	0.00	19.68	N/A	N/A	0	6	506	198
2013-01-14	$7.17	$7.50	17.4%	5.0%	22.8%	2.6%	0.0%	9.1%	12.6%	4.0K	-141.9K	-580	0.00	30.66	N/A	N/A	0	4	506	198
2013-01-15	$7.05	$7.50	17.3%	5.0%	22.3%	2.6%	0.0%	1.6%	11.1%	3.9K	-130.4K	-561	0.00	31.17	N/A	N/A	0	0	506	194
2013-01-16	$6.96	$7.50	17.0%	4.9%	22.8%	2.4%	0.0%	2.3%	12.0%	3.9K	-120.3K	-540	0.00	13.09	N/A	N/A	0	0	506	194
2013-01-17	$6.99	$7.50	18.6%	5.3%	20.9%	3.3%	0.0%	4.0%	10.9%	3.6K	-117.3K	-522	0.00	12.82	N/A	N/A	0	0	506	194
2013-01-18	$6.97	$7.50	18.7%	5.4%	20.9%	3.3%	0.0%	3.5%	10.7%	3.6K	-113.3K	-517	0.00	13.26	N/A	N/A	0	0	506	194
2013-01-22	$6.96	$7.50	18.6%	5.3%	18.6%	3.3%	0.0%	5.1%	8.1%	3.5K	-52.4K	-507	0.00	12.45	N/A	N/A	0	0	296	102
2013-01-23	$6.97	$7.50	18.3%	5.2%	18.5%	3.1%	0.0%	5.5%	-0.1%	3.6K	-50.1K	-495	0.00	12.09	N/A	N/A	0	0	296	102
2013-01-24	$6.97	$7.50	19.6%	5.6%	15.7%	3.8%	0.0%	4.0%	-3.3%	3.7K	-43.3K	-476	0.00	11.65	N/A	N/A	0	0	296	102
2013-01-25	$6.98	$7.50	20.3%	5.8%	15.7%	4.2%	0.0%	7.1%	-0.4%	3.6K	-51.1K	-493	0.00	10.89	N/A	N/A	26	0	296	102
2013-01-28	$6.91	$7.50	21.2%	6.1%	13.5%	4.7%	0.0%	1.4%	-3.1%	3.7K	-60.2K	-493	0.00	12.18	N/A	N/A	0	0	322	102
2013-01-29	$6.91	$7.50	21.8%	6.2%	13.5%	5.0%	0.0%	0.9%	-3.4%	3.8K	-59.3K	-479	0.00	12.43	N/A	N/A	0	0	322	102
2013-01-30	$6.87	$7.50	23.9%	6.9%	12.9%	6.2%	0.0%	1.5%	-4.8%	3.5K	-56.9K	-470	1.67	10.54	N/A	N/A	30	50	322	102
2013-01-31	$6.91	$7.50	23.1%	6.6%	13.1%	5.7%	26.4%	1.5%	-4.2%	3.4K	-26.8K	-511	0.00	10.86	N/A	N/A	0	54	352	152