FIZZ Options History — April 2013

In April 2013, FIZZ traded between $6.92 and $7.37. ATM implied volatility averaged 20.6%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.2% (HV 20d: 15.4%). Max pain ranged from $7.47 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.01.

Notable Days

2013-04-26: Highest Volume — 170 contracts
2013-04-26: Largest IV drop — 26.4% change
2013-04-10: Highest IV Rank — 7.6%
2013-04-08: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.08	$6.92	$7.37	$6.92	$7.37
Max Pain	$7.49	$7.47	$7.50	$7.47	$7.50
ATM IV	20.6%	16.2%	26.6%	19.7%	20.1%
Expected Move	5.7%	4.6%	6.8%	5.7%	5.8%
HV 20d	15.4%	13.1%	20.4%	20.4%	13.1%
HV 60d	15.5%	14.7%	16.0%	15.8%	15.9%
IV Rank	4.4%	2.0%	7.6%	3.9%	4.1%
IV Percentile	21.1%	4.4%	47.6%	15.5%	21.0%
Term Structure	6.7%	-4.7%	70.9%	-1.0%	6.2%
VWIV	15.1%	15.1%	15.1%	15.1%	15.1%
Skew 25d	5.6%	-5.7%	15.5%	1.9%	11.3%
Skew 10d	4.1%	-3.2%	16.5%	3.9%	7.1%
Call IV 25d	18.7%	14.6%	26.0%	20.0%	19.8%
Put IV 25d	24.3%	20.0%	31.1%	22.0%	31.1%
Bid-Ask Spread %	36.97	13.99	109.58	15.18	35.19
Gamma HHI	0.49	0.40	0.59	0.47	0.57
Net GEX	4.9K	2.3K	9.9K	2.5K	5.6K
Net DEX	-42.0K	-173.9K	10.0K	-16.2K	-173.9K
Net VEX	-503	-761	-378	-494	-672
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.04	0.00	0.00
Total Volume	13	0	170	0	0
Total OI	589	408	672	664	528

Daily Data (22 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
2013-04-01	$6.92	$7.47	19.7%	5.7%	20.4%	3.9%	0.0%	1.9%	-1.0%	2.5K	-16.2K	-494	0.00	15.18	N/A	N/A	0	0	412	252
2013-04-02	$6.97	$7.47	20.6%	5.9%	18.2%	4.3%	0.0%	4.8%	-2.5%	3.3K	-11.9K	-519	0.00	15.71	N/A	N/A	0	0	412	252
2013-04-03	$6.94	$7.47	21.6%	6.2%	18.3%	4.9%	0.0%	3.9%	-4.7%	2.3K	-14.3K	-527	0.00	13.99	N/A	N/A	0	4	412	252
2013-04-04	$6.97	$7.47	21.7%	6.2%	17.5%	5.0%	0.0%	7.3%	-3.2%	3.5K	2.4K	-480	0.00	15.26	N/A	N/A	0	0	412	254
2013-04-05	$6.99	$0.00	22.9%	5.1%	16.0%	5.6%	0.0%	15.5%	8.6%	3.6K	6.0K	-451	0.00	39.73	N/A	N/A	0	0	412	252
2013-04-08	$7.00	$0.00	26.3%	6.8%	15.1%	7.4%	0.0%	-5.7%	-3.1%	4.1K	1.3K	-451	0.00	42.19	N/A	N/A	0	0	412	252
2013-04-09	$7.04	$0.00	21.9%	5.5%	13.3%	5.1%	0.0%	2.6%	4.2%	4.2K	-895	-454	0.00	45.90	N/A	N/A	0	0	412	252
2013-04-10	$7.04	$0.00	26.6%	6.0%	13.2%	7.6%	0.0%	-2.6%	-0.2%	4.3K	-5.2K	-462	0.00	25.07	N/A	N/A	0	0	412	252
2013-04-11	$7.09	$0.00	23.0%	6.6%	13.4%	5.7%	0.0%	7.0%	70.9%	3.0K	-39.1K	-527	0.00	47.38	N/A	N/A	0	0	412	252
2013-04-12	$7.11	$0.00	18.5%	5.3%	13.1%	3.2%	15.1%	5.1%	6.3%	4.9K	-11.8K	-461	0.00	35.35	N/A	N/A	8	0	412	252
2013-04-15	$6.99	$7.50	18.7%	5.4%	14.5%	3.3%	0.0%	1.5%	7.8%	4.3K	-8.9K	-451	0.00	33.45	N/A	N/A	0	0	420	252
2013-04-16	$7.04	$7.50	18.8%	5.4%	14.7%	3.4%	0.0%	3.7%	6.3%	4.6K	549	-424	0.00	33.80	N/A	N/A	0	0	420	252
2013-04-17	$6.92	$7.50	19.1%	5.5%	15.9%	3.5%	0.0%	3.5%	7.7%	3.6K	10.0K	-398	0.00	32.98	N/A	N/A	0	0	420	252
2013-04-18	$6.97	$7.50	20.9%	6.0%	15.8%	4.5%	0.0%	5.9%	6.3%	3.7K	-33.3K	-378	0.00	34.65	N/A	N/A	0	0	420	182
2013-04-19	$7.07	$7.50	20.9%	6.0%	16.4%	4.5%	0.0%	5.7%	9.8%	3.9K	-46.7K	-420	0.04	40.70	N/A	N/A	100	4	420	182
2013-04-22	$7.10	$7.50	18.9%	5.4%	16.5%	3.5%	0.0%	8.0%	5.4%	7.0K	-67.1K	-513	0.00	46.66	N/A	N/A	0	0	358	50
2013-04-23	$7.22	$7.50	18.9%	5.4%	16.1%	3.4%	0.0%	9.6%	7.2%	7.4K	-88.3K	-557	0.00	36.43	N/A	N/A	0	0	358	50
2013-04-24	$7.21	$7.50	18.3%	5.2%	15.2%	3.1%	0.0%	10.8%	8.5%	6.9K	-84.2K	-545	0.00	34.06	N/A	N/A	0	0	358	50
2013-04-25	$7.28	$7.50	22.0%	6.3%	15.0%	5.1%	0.0%	3.9%	-0.7%	7.5K	-96.9K	-568	0.00	43.32	N/A	N/A	0	0	358	50
2013-04-26	$7.29	$7.50	16.2%	4.6%	14.6%	2.0%	0.0%	10.4%	3.1%	8.2K	-96.2K	-560	0.00	109.58	N/A	N/A	170	0	358	50
2013-04-29	$7.30	$7.50	17.5%	5.0%	13.1%	2.7%	0.0%	9.2%	4.8%	9.9K	-149.7K	-761	0.00	36.66	N/A	N/A	0	0	478	50
2013-04-30	$7.37	$7.50	20.1%	5.8%	13.1%	4.1%	0.0%	11.3%	6.2%	5.6K	-173.9K	-672	0.00	35.19	N/A	N/A	0	0	478	50