FIZZ Options History — June 2013

In June 2013, FIZZ traded between $8.43 and $8.99. ATM implied volatility averaged 23.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 22.9% (HV 20d: 46.2%). Max pain ranged from $7.47 to $8.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 6.67.

Notable Days

2013-06-04: Highest Volume — 320 contracts
2013-06-13: Largest IV spike — 30.7% change
2013-06-17: Highest IV Rank — 8.2%
2013-06-17: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.71	$8.43	$8.99	$8.64	$8.73
Max Pain	$7.73	$7.47	$8.75	$8.75	$7.47
ATM IV	23.3%	19.4%	27.8%	19.4%	23.4%
Expected Move	6.8%	5.6%	8.0%	5.6%	6.7%
HV 20d	46.2%	32.4%	55.5%	52.0%	32.4%
HV 60d	34.0%	32.5%	35.0%	32.5%	34.8%
IV Rank	5.8%	3.7%	8.2%	3.7%	5.9%
IV Percentile	44.4%	19.4%	64.7%	19.4%	48.0%
Term Structure	-0.5%	-4.4%	8.2%	4.2%	-1.6%
VWIV	25.0%	20.5%	28.2%	25.3%	23.4%
Skew 25d	4.7%	-5.8%	76.5%	-5.8%	1.8%
Skew 10d	7.8%	-8.6%	131.3%	-8.6%	3.0%
Call IV 25d	24.3%	19.8%	27.3%	23.6%	23.9%
Put IV 25d	29.0%	17.9%	99.0%	17.9%	25.8%
Bid-Ask Spread %	101.50	35.50	110.66	67.67	35.50
Gamma HHI	0.51	0.38	0.67	0.42	0.58
Net GEX	36.9K	12.8K	60.8K	37.7K	16.6K
Net DEX	-624.1K	-955.3K	-321.7K	-680.2K	-470.1K
Net VEX	-1.7K	-2.1K	-1.4K	-1.6K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.67	0.00	10.00	0.00	10.00
Total Volume	34.7	0	320	20	10
Total OI	2,295.8	1,986	2,528	2,142	1,986

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
2013-06-03	$8.64	$8.75	19.4%	5.6%	52.0%	3.7%	0.0%	-5.8%	4.2%	37.7K	-680.2K	-1.6K	0.00	67.67	N/A	N/A	0	20	1,422	720
2013-06-04	$8.47	$8.75	23.6%	6.8%	52.9%	6.0%	25.3%	0.2%	1.1%	31.6K	-578.4K	-1.9K	0.00	108.06	N/A	N/A	320	0	1,422	720
2013-06-05	$8.69	$8.75	23.8%	6.8%	53.3%	6.1%	0.0%	2.1%	0.1%	42.5K	-751.4K	-1.8K	0.00	108.87	N/A	N/A	0	0	1,542	720
2013-06-06	$8.92	$8.75	19.8%	5.7%	53.7%	3.9%	20.5%	1.4%	8.2%	51.3K	-940.2K	-1.4K	10.00	110.66	N/A	N/A	2	20	1,542	720
2013-06-07	$8.84	$7.47	24.0%	7.4%	53.6%	6.2%	25.7%	76.5%	-2.4%	47.6K	-847.3K	-1.6K	0.00	102.80	N/A	N/A	0	100	1,540	740
2013-06-10	$8.99	$7.47	20.0%	7.9%	53.6%	4.0%	28.2%	7.8%	-2.6%	42.3K	-955.3K	-1.5K	10.00	108.62	N/A	N/A	14	140	1,540	840
2013-06-11	$8.88	$7.47	25.0%	6.6%	54.3%	6.8%	0.0%	4.7%	1.1%	38.1K	-809.4K	-1.9K	0.00	106.67	N/A	N/A	0	0	1,540	980
2013-06-12	$8.89	$7.47	20.9%	7.2%	54.3%	4.5%	25.1%	4.7%	-0.9%	44.3K	-833.5K	-1.8K	0.00	108.08	N/A	N/A	0	40	1,540	980
2013-06-13	$8.95	$7.47	27.3%	7.8%	53.0%	8.0%	0.0%	4.3%	-2.9%	51.8K	-849.0K	-1.7K	0.00	101.44	N/A	N/A	0	10	1,540	980
2013-06-14	$8.60	$7.47	25.5%	7.3%	55.5%	7.0%	0.0%	0.3%	-0.9%	39.5K	-556.6K	-2.1K	0.00	108.88	N/A	N/A	0	0	1,540	970
2013-06-17	$8.69	$7.47	27.8%	8.0%	55.5%	8.2%	0.0%	0.6%	-3.3%	45.1K	-601.2K	-1.9K	0.00	106.89	N/A	N/A	0	0	1,540	970
2013-06-18	$8.73	$7.47	26.6%	7.6%	55.5%	7.6%	26.6%	2.4%	-2.3%	60.8K	-667.1K	-1.9K	0.00	109.10	N/A	N/A	0	18	1,540	970
2013-06-19	$8.61	$7.47	21.1%	6.0%	44.8%	4.6%	0.0%	1.3%	1.0%	39.0K	-552.5K	-1.8K	0.00	106.81	N/A	N/A	0	0	1,540	988
2013-06-20	$8.43	$7.47	21.7%	6.2%	32.8%	5.0%	0.0%	-2.7%	2.5%	28.6K	-321.7K	-1.8K	0.00	108.60	N/A	N/A	0	0	1,462	988
2013-06-21	$8.63	$7.47	25.5%	7.3%	33.6%	7.0%	0.0%	-0.1%	-2.8%	57.6K	-463.1K	-1.5K	0.00	110.05	N/A	N/A	0	0	1,462	988
2013-06-24	$8.54	$7.47	21.8%	6.3%	33.9%	5.0%	0.0%	-0.8%	-2.6%	12.8K	-382.9K	-1.6K	0.00	107.01	N/A	N/A	0	0	1,062	924
2013-06-25	$8.63	$7.47	21.9%	6.3%	33.5%	5.1%	0.0%	-3.2%	-1.7%	17.6K	-389.2K	-1.4K	0.00	106.25	N/A	N/A	0	0	1,062	924
2013-06-26	$8.63	$7.47	25.0%	7.2%	32.8%	6.7%	0.0%	1.2%	-4.4%	13.8K	-410.8K	-1.6K	0.00	101.61	N/A	N/A	0	0	1,062	924
2013-06-27	$8.65	$7.47	21.7%	6.2%	32.4%	5.0%	0.0%	-3.5%	-0.3%	18.3K	-421.7K	-1.4K	0.00	106.45	N/A	N/A	0	0	1,062	924
2013-06-28	$8.73	$7.47	23.4%	6.7%	32.4%	5.9%	23.4%	1.8%	-1.6%	16.6K	-470.1K	-1.4K	0.00	35.50	N/A	N/A	0	10	1,062	924