FIZZ Options History — March 2013 In March 2013, FIZZ traded between $6.76 and $7.08. ATM implied volatility averaged 23.9%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.5% (HV 20d: 18.5%). Max pain ranged from $6.25 to $7.47. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-03-01 : Highest Volume — 50 contracts2013-03-11 : Largest IV spike — 67.7% change2013-03-13 : Highest IV Rank — 18.8%2013-03-01 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $6.96 $6.76 $7.08 $6.76 $7.03 Max Pain $7.41 $6.25 $7.47 $6.25 $7.47 ATM IV 23.9% 15.8% 47.2% 23.2% 17.1% Expected Move 5.1% 4.5% 6.6% 6.6% 4.9% HV 20d 18.5% 13.1% 20.4% 13.1% 19.6% HV 60d 19.6% 15.4% 40.0% 39.9% 15.6% IV Rank 6.2% 1.7% 18.8% 5.8% 2.5% IV Percentile 21.4% 2.8% 52.8% 25.4% 6.3% Term Structure 8.7% -4.9% 13.6% -4.9% 11.3% VWIV 12.4% 12.4% 12.4% 12.4% 12.4% Skew 25d 4.0% -0.5% 8.8% 2.5% 5.0% Skew 10d 4.0% -1.6% 9.5% 1.3% 8.1% Call IV 25d 16.5% 13.7% 21.1% 21.1% 16.6% Put IV 25d 20.5% 17.3% 25.4% 23.7% 21.6% Bid-Ask Spread % 29.95 12.32 102.57 12.32 15.63 Gamma HHI 0.42 0.35 0.58 0.40 0.51 Net GEX 2.7K 1.4K 4.1K 1.4K 4.1K Net DEX -14.2K -39.9K 16.5K 16.5K -9.6K Net VEX -536 -613 -409 -409 -509 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 7.2 0 50 50 0 Total OI 654.6 616 686 616 664
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 2013-03-01 $6.76 $6.25 23.2% 6.6% 13.1% 5.8% 0.0% 2.5% -4.9% 1.4K 16.5K -409 0.00 12.32 N/A N/A 50 0 364 252 2013-03-04 $6.95 $7.47 24.3% 5.2% 16.4% 6.4% 0.0% 7.0% 13.6% 2.7K -18.1K -561 0.00 36.61 N/A N/A 6 0 414 252 2013-03-05 $6.92 $7.47 24.6% 5.7% 16.4% 6.6% 0.0% 0.2% 9.5% 2.3K -23.0K -585 0.00 51.93 N/A N/A 0 0 408 252 2013-03-06 $6.83 $7.47 34.8% 6.5% 17.2% 12.1% 0.0% 0.0% 1.5% 2.1K -6.5K -533 0.00 35.35 N/A N/A 0 0 408 252 2013-03-07 $6.96 $7.47 27.1% 5.2% 18.5% 7.9% 0.0% 6.7% 13.6% 3.0K -15.3K -548 0.00 34.78 N/A N/A 30 0 408 252 2013-03-08 $7.07 $7.47 25.2% 4.6% 19.1% 6.9% 0.0% 5.2% 11.7% 3.3K -39.9K -613 0.00 36.40 N/A N/A 0 0 426 252 2013-03-11 $6.92 $7.47 42.3% 5.4% 20.4% 16.2% 0.0% -0.5% 7.9% 2.7K -22.7K -586 0.00 50.72 N/A N/A 0 0 426 252 2013-03-12 $6.91 $7.47 39.9% 4.5% 20.3% 14.8% 0.0% 0.7% 10.3% 3.0K -11.0K -526 0.00 16.46 N/A N/A 0 0 426 252 2013-03-13 $6.92 $7.47 47.2% 4.6% 20.3% 18.8% 0.0% 1.3% 8.9% 2.4K -19.7K -541 0.00 18.90 N/A N/A 8 0 426 252 2013-03-14 $6.99 $7.47 17.9% 5.1% 20.3% 2.9% 0.0% 5.3% 9.5% 3.1K -26.3K -563 0.00 16.95 N/A N/A 0 0 434 252 2013-03-15 $6.97 $7.47 18.0% 5.2% 18.9% 3.0% 0.0% 4.6% 8.3% 2.5K -24.5K -550 0.00 16.95 N/A N/A 0 0 434 252 2013-03-18 $6.99 $7.47 17.3% 4.9% 18.8% 2.6% 0.0% 4.3% 8.7% 2.5K -17.7K -538 0.00 17.16 N/A N/A 0 0 378 252 2013-03-19 $6.98 $7.47 17.4% 5.0% 18.6% 2.7% 0.0% 4.1% 12.4% 2.9K -6.3K -533 0.00 34.14 N/A N/A 16 0 378 252 2013-03-20 $7.04 $7.47 15.8% 4.5% 17.8% 1.7% 0.0% 7.5% 13.5% 2.8K -12.8K -531 0.00 15.55 N/A N/A 0 0 378 252 2013-03-21 $7.00 $7.47 16.5% 4.7% 18.1% 2.1% 0.0% 1.6% 10.3% 3.0K -6.1K -526 0.00 15.67 N/A N/A 0 0 378 252 2013-03-22 $6.99 $7.47 18.5% 5.3% 17.9% 3.2% 0.0% 8.8% 8.7% 3.0K 10.9K -441 0.00 102.57 N/A N/A 14 0 378 252 2013-03-25 $6.88 $7.47 17.0% 4.9% 18.6% 2.4% 0.0% 1.5% 8.1% 3.1K 10.6K -474 0.00 38.20 N/A N/A 0 0 392 252 2013-03-26 $6.99 $7.47 17.8% 5.1% 19.4% 2.8% 0.0% 6.9% 0.6% 1.5K -34.4K -573 0.00 16.21 N/A N/A 0 0 392 252 2013-03-27 $7.08 $7.47 16.6% 4.8% 19.3% 2.2% 12.4% 7.2% 11.2% 2.8K -27.5K -577 0.00 16.41 N/A N/A 20 0 392 252 2013-03-28 $7.03 $7.47 17.1% 4.9% 19.6% 2.5% 0.0% 5.0% 11.3% 4.1K -9.6K -509 0.00 15.63 N/A N/A 0 0 412 252
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