FIZZ Options History — February 2013 In February 2013, FIZZ traded between $6.68 and $6.92. ATM implied volatility averaged 24.0%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 12.7% (HV 20d: 11.4%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2013-02-11 : Highest Volume — 62 contracts2013-02-07 : Largest IV drop — 46.1% change2013-02-06 : Highest IV Rank — 10.9%2013-02-28 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $6.79 $6.68 $6.92 $6.91 $6.69 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 24.0% 13.8% 32.6% 22.4% 26.2% Expected Move 6.3% 4.0% 7.5% 4.8% 7.5% HV 20d 11.4% 8.3% 12.7% 12.6% 12.6% HV 60d 47.3% 39.9% 51.1% 51.1% 39.9% IV Rank 6.2% 0.7% 10.9% 5.3% 7.4% IV Percentile 24.9% 1.2% 37.7% 17.9% 37.7% Term Structure 0.4% -7.8% 11.3% 7.5% -7.7% VWIV 21.8% 18.6% 25.9% 18.6% 25.9% Skew 25d 1.7% -3.5% 14.9% 14.9% -0.2% Skew 10d 3.3% 0.1% 11.7% 11.7% 0.1% Call IV 25d 19.3% 15.8% 24.0% 15.8% 23.2% Put IV 25d 21.0% 17.8% 30.6% 30.6% 23.0% Bid-Ask Spread % 24.22 11.18 51.60 32.23 12.82 Gamma HHI 0.40 0.24 0.58 0.50 0.36 Net GEX 2.1K 160 3.4K 3.1K 1.5K Net DEX 14.6K -24.5K 51.6K -21.9K 51.6K Net VEX -534 -593 -491 -558 -491 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 10.105 0 62 16 20 Total OI 607.684 528 658 528 658
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 2013-02-01 $6.91 $7.50 22.4% 4.8% 12.6% 5.3% 18.6% 14.9% 7.5% 3.1K -21.9K -558 0.00 32.23 N/A N/A 16 0 352 176 2013-02-04 $6.88 $7.50 31.6% 6.4% 12.4% 10.3% 0.0% 3.3% -0.1% 3.0K -24.5K -543 0.00 28.43 N/A N/A 0 0 368 176 2013-02-05 $6.84 $7.50 32.5% 6.3% 12.3% 10.8% 0.0% 2.2% -0.9% 3.1K -19.4K -537 0.00 28.92 N/A N/A 6 0 368 176 2013-02-06 $6.89 $7.50 32.6% 5.5% 11.9% 10.9% 0.0% 1.5% 7.8% 3.4K -18.9K -522 0.00 44.75 N/A N/A 0 0 374 176 2013-02-07 $6.88 $7.50 17.6% 5.0% 10.8% 2.7% 0.0% 2.1% 9.6% 3.3K -22.9K -525 0.00 28.95 N/A N/A 0 0 374 176 2013-02-08 $6.92 $7.50 13.8% 4.0% 10.6% 0.7% 0.0% 1.8% 10.7% 3.4K -21.8K -509 0.00 28.09 N/A N/A 0 0 374 176 2013-02-11 $6.88 $7.50 17.5% 5.0% 9.9% 2.7% 20.8% 2.6% 11.3% 3.1K -23.5K -520 0.00 11.88 N/A N/A 0 62 374 176 2013-02-12 $6.86 $7.50 22.9% 6.6% 9.9% 5.6% 0.0% 0.6% -0.4% 2.0K 11.1K -559 0.00 11.85 N/A N/A 0 4 374 238 2013-02-13 $6.81 $7.50 21.5% 6.2% 8.3% 4.8% 0.0% 3.0% 2.6% 2.1K 17.9K -532 0.00 30.02 N/A N/A 0 0 374 234 2013-02-14 $6.68 $7.50 26.1% 7.5% 9.8% 7.4% 25.9% -3.5% -7.7% 2.1K 26.3K -509 0.00 28.50 N/A N/A 0 34 374 234 2013-02-15 $6.71 $7.50 22.1% 6.3% 9.9% 5.2% 0.0% 2.1% 4.9% 1.9K 34.4K -544 0.00 30.67 N/A N/A 0 50 374 264 2013-02-19 $6.79 $7.50 25.5% 7.3% 11.0% 7.0% 0.0% 0.5% -2.4% 160 19.5K -593 0.00 51.60 N/A N/A 0 0 344 314 2013-02-20 $6.70 $7.50 24.6% 7.0% 11.8% 6.5% 0.0% -1.4% -5.5% 1.1K 42.4K -557 0.00 30.33 N/A N/A 0 0 344 314 2013-02-21 $6.72 $7.50 23.4% 6.7% 11.8% 5.9% 0.0% 0.1% -6.5% 1.2K 41.8K -555 0.00 12.18 N/A N/A 0 0 344 314 2013-02-22 $6.78 $7.50 22.7% 6.5% 12.3% 5.5% 0.0% 0.7% -0.6% 1.1K 44.6K -539 0.00 13.32 N/A N/A 0 0 344 314 2013-02-25 $6.71 $7.50 24.9% 7.1% 12.7% 6.7% 0.0% -0.3% -7.7% 1.3K 46.1K -522 0.00 12.25 N/A N/A 0 0 344 314 2013-02-26 $6.74 $7.50 26.0% 7.5% 12.5% 7.3% 0.0% 1.3% -7.8% 1.2K 45.2K -522 0.00 12.24 N/A N/A 0 0 344 314 2013-02-27 $6.68 $7.50 22.9% 6.6% 12.7% 5.6% 0.0% 1.0% -0.6% 1.5K 49.0K -515 0.00 11.18 N/A N/A 0 0 344 314 2013-02-28 $6.69 $7.50 26.2% 7.5% 12.6% 7.4% 0.0% -0.2% -7.7% 1.5K 51.6K -491 0.00 12.82 N/A N/A 20 0 344 314
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