FIZZ Options History — February 2014

In February 2014, FIZZ traded between $9.44 and $10.97. ATM implied volatility averaged 58.4%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 20.4% (HV 20d: 38.0%). Max pain ranged from $8.75 to $11.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.11.

Notable Days

2014-02-14: Highest Volume — 574 contracts
2014-02-28: Largest IV spike — 142.0% change
2014-02-12: Highest IV Rank — 56.1%
2014-02-06: Largest Expected Move — 27.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.27	$9.44	$10.97	$9.95	$10.52
Max Pain	$9.54	$8.75	$11.25	$10.00	$8.75
ATM IV	58.4%	32.6%	111.2%	56.8%	81.9%
Expected Move	15.3%	9.3%	27.0%	16.3%	23.5%
HV 20d	38.0%	27.0%	47.9%	29.0%	45.5%
HV 60d	32.4%	28.8%	35.7%	28.9%	34.1%
IV Rank	25.3%	9.9%	56.1%	25.0%	38.9%
IV Percentile	85.9%	74.6%	96.4%	89.3%	92.9%
Term Structure	-13.4%	-53.3%	8.9%	-8.9%	-41.2%
VWIV	39.8%	33.5%	43.6%	33.5%	43.6%
Skew 25d	6.7%	-37.6%	60.3%	-2.2%	24.6%
Skew 10d	17.8%	-36.9%	106.5%	3.5%	-25.2%
Call IV 25d	50.0%	27.6%	109.1%	43.0%	44.7%
Put IV 25d	56.7%	36.2%	118.8%	40.8%	69.3%
Bid-Ask Spread %	115.85	90.09	145.16	117.39	130.99
Gamma HHI	0.52	0.41	0.77	0.53	0.41
Net GEX	22.2K	5.0K	51.3K	14.8K	21.4K
Net DEX	-500.1K	-1.2M	154.9K	-240.7K	-574.3K
Net VEX	-5.2K	-5.7K	-4.4K	-5.3K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	1.00	0.02	0.00
Total Volume	57.895	0	574	120	22
Total OI	3,662	3,394	4,012	3,394	3,638

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
2014-02-03	$9.95	$10.00	56.8%	16.3%	29.0%	25.0%	33.5%	-2.2%	-8.9%	14.8K	-240.7K	-5.3K	0.02	117.39	N/A	N/A	118	2	2,046	1,348
2014-02-04	$9.95	$10.00	85.3%	24.4%	27.5%	41.5%	0.0%	60.3%	-30.4%	14.8K	-284.0K	-5.6K	0.00	121.94	N/A	N/A	0	0	2,144	1,346
2014-02-05	$9.81	$10.00	90.4%	25.9%	27.0%	44.5%	0.0%	59.0%	-23.5%	11.2K	-41.2K	-5.2K	0.00	138.79	N/A	N/A	0	0	2,144	1,346
2014-02-06	$9.85	$10.00	94.3%	27.0%	27.1%	46.8%	0.0%	9.7%	-53.3%	13.6K	-501.6K	-5.7K	0.00	142.47	N/A	N/A	0	0	2,144	1,346
2014-02-07	$9.70	$11.25	95.6%	17.5%	27.4%	47.5%	0.0%	-7.3%	-24.8%	9.6K	-59.6K	-5.3K	0.00	138.82	N/A	N/A	0	10	2,144	1,346
2014-02-10	$9.44	$11.25	48.4%	9.3%	28.2%	20.1%	0.0%	-0.3%	-4.5%	5.0K	154.9K	-4.4K	0.00	108.11	N/A	N/A	0	16	2,144	1,356
2014-02-11	$9.71	$11.25	72.9%	20.4%	30.8%	33.6%	0.0%	9.3%	-19.0%	7.8K	-46.4K	-5.1K	0.00	145.16	N/A	N/A	184	0	2,144	1,372
2014-02-12	$9.84	$11.25	111.2%	19.4%	31.3%	56.1%	42.4%	-37.6%	-23.4%	16.6K	-403.0K	-5.5K	0.00	137.87	N/A	N/A	0	2	2,328	1,372
2014-02-13	$10.21	$8.75	36.5%	10.5%	34.5%	12.2%	0.0%	14.4%	-5.2%	21.5K	-368.7K	-5.2K	0.00	104.11	N/A	N/A	52	0	2,328	1,374
2014-02-14	$10.97	$8.75	38.3%	11.0%	43.4%	13.3%	43.6%	-6.9%	-4.2%	43.2K	-1.2M	-5.3K	0.08	90.09	N/A	N/A	532	42	2,298	1,374
2014-02-18	$10.94	$8.75	37.9%	10.9%	43.1%	13.0%	0.0%	-0.5%	-4.8%	51.3K	-1.1M	-5.3K	0.00	96.65	N/A	N/A	20	0	2,576	1,416
2014-02-19	$10.48	$8.75	37.6%	10.8%	45.6%	12.8%	0.0%	-2.3%	-4.5%	30.7K	-709.9K	-5.2K	0.00	101.99	N/A	N/A	40	0	2,596	1,416
2014-02-20	$10.73	$8.75	40.0%	11.5%	45.8%	14.2%	0.0%	5.5%	-7.4%	41.5K	-883.8K	-5.3K	0.00	102.15	N/A	N/A	0	0	2,614	1,390
2014-02-21	$10.43	$8.75	35.9%	10.3%	47.0%	11.8%	0.0%	-1.0%	2.7%	27.9K	-678.0K	-5.2K	0.00	100.45	N/A	N/A	12	0	2,614	1,390
2014-02-24	$10.71	$8.75	40.8%	11.7%	47.9%	14.7%	0.0%	-3.6%	-8.2%	25.4K	-740.0K	-5.0K	1.00	98.46	N/A	N/A	20	20	2,224	1,366
2014-02-25	$10.72	$8.75	39.3%	11.3%	47.9%	13.8%	0.0%	2.4%	-7.6%	24.8K	-729.6K	-5.0K	0.00	106.64	N/A	N/A	0	0	2,244	1,386
2014-02-26	$10.53	$8.75	32.6%	9.3%	47.5%	9.9%	0.0%	-4.3%	8.9%	21.5K	-551.9K	-4.9K	0.00	105.93	N/A	N/A	0	4	2,244	1,386
2014-02-27	$10.62	$8.75	33.9%	9.7%	45.9%	10.6%	0.0%	7.6%	4.7%	19.8K	-566.9K	-4.7K	0.00	113.13	N/A	N/A	4	0	2,244	1,390
2014-02-28	$10.52	$8.75	81.9%	23.5%	45.5%	38.9%	0.0%	24.6%	-41.2%	21.4K	-574.3K	-4.8K	0.00	130.99	N/A	N/A	22	0	2,248	1,390