FIZZ Options History — July 2014

In July 2014, FIZZ traded between $8.57 and $9.79. ATM implied volatility averaged 56.1%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 25.2% (HV 20d: 30.9%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2014-07-23: Highest Volume — 400 contracts
2014-07-03: Largest IV spike — 155.7% change
2014-07-07: Highest IV Rank — 53.7%
2014-07-08: Largest Expected Move — 30.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.22	$8.57	$9.79	$9.71	$8.57
Max Pain	$8.97	$8.75	$10.00	$10.00	$8.75
ATM IV	56.1%	30.8%	107.5%	30.8%	67.3%
Expected Move	16.0%	8.4%	30.4%	8.8%	19.3%
HV 20d	30.9%	26.0%	39.6%	39.6%	27.1%
HV 60d	38.9%	37.9%	40.3%	40.3%	37.9%
IV Rank	23.2%	8.3%	53.7%	8.3%	29.9%
IV Percentile	66.1%	36.1%	94.0%	41.3%	75.4%
Term Structure	-8.8%	-89.7%	22.2%	0.2%	-5.4%
VWIV	31.0%	15.6%	37.9%	37.2%	33.2%
Skew 25d	5.2%	-70.9%	37.9%	-4.8%	37.9%
Skew 10d	7.9%	-55.1%	62.8%	-5.2%	47.0%
Call IV 25d	49.9%	24.1%	148.4%	33.3%	62.3%
Put IV 25d	55.1%	19.7%	113.9%	28.5%	100.1%
Bid-Ask Spread %	123.78	104.79	142.40	108.41	131.62
Gamma HHI	0.54	0.24	0.96	0.30	0.90
Net GEX	-2.8K	-16.0K	2.7K	955	-8.4K
Net DEX	60.5K	-40.2K	217.5K	11.9K	217.5K
Net VEX	-286	-712	-83	-140	-712
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	26.636	0	400	0	20
Total OI	523.636	122	642	556	642

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-07-01	$9.71	$10.00	30.8%	8.8%	39.6%	8.3%	0.0%	-4.8%	0.2%	955	11.9K	-140	108.41	N/A	N/A	0	0	356	200
2014-07-02	$9.74	$10.00	37.7%	10.8%	38.7%	12.3%	0.0%	-3.9%	6.8%	1.6K	3.0K	-155	104.79	N/A	N/A	0	0	356	200
2014-07-03	$9.79	$10.00	96.4%	27.6%	35.7%	47.0%	0.0%	16.7%	1.8%	2.7K	-40.2K	-380	123.31	N/A	N/A	0	0	356	200
2014-07-07	$9.56	$0.00	107.5%	10.4%	36.8%	53.7%	0.0%	10.4%	0.9%	2.6K	-33.0K	-289	130.17	N/A	N/A	0	0	356	200
2014-07-08	$9.47	$0.00	35.9%	30.4%	32.9%	11.2%	0.0%	-70.9%	-89.7%	735	16.1K	-105	118.49	N/A	N/A	0	16	356	200
2014-07-09	$9.41	$0.00	32.0%	8.4%	32.7%	9.0%	0.0%	8.2%	-0.5%	-78	30.2K	-99	109.23	N/A	N/A	6	0	356	216
2014-07-10	$9.40	$0.00	32.9%	9.4%	30.3%	9.5%	0.0%	3.5%	0.1%	202	25.8K	-104	108.19	N/A	N/A	0	4	362	216
2014-07-11	$9.40	$0.00	62.7%	18.0%	29.7%	27.2%	37.2%	3.3%	0.6%	238	24.7K	-96	112.89	N/A	N/A	0	20	362	220
2014-07-14	$9.45	$8.75	77.7%	22.3%	27.7%	36.0%	0.0%	11.4%	-48.8%	1.5K	-4.1K	-269	130.11	N/A	N/A	0	0	362	240
2014-07-15	$9.19	$8.75	33.1%	9.5%	28.3%	9.6%	0.0%	-2.0%	5.5%	-1.4K	45.8K	-97	109.50	N/A	N/A	0	0	362	240
2014-07-16	$9.12	$8.75	53.5%	15.3%	26.0%	21.7%	0.0%	24.1%	-18.2%	-1.6K	49.1K	-86	112.52	N/A	N/A	0	0	362	240
2014-07-17	$8.88	$8.75	40.0%	11.5%	27.5%	13.7%	0.0%	9.1%	-6.3%	-1.9K	50.2K	-111	116.18	N/A	N/A	0	0	362	240
2014-07-18	$9.26	$8.75	57.6%	16.5%	31.9%	24.1%	0.0%	29.7%	22.2%	-947	47.5K	-83	118.29	N/A	N/A	0	0	362	240
2014-07-21	$9.12	$8.75	46.5%	13.3%	31.9%	17.5%	15.6%	-13.3%	3.4%	-756	24.7K	-103	139.02	N/A	N/A	0	32	42	80
2014-07-22	$9.21	$8.75	81.9%	23.5%	31.8%	38.5%	0.0%	27.6%	-1.8%	-1.1K	34.0K	-151	141.76	N/A	N/A	0	0	42	112
2014-07-23	$9.21	$8.75	54.9%	15.7%	29.1%	22.5%	0.0%	9.2%	-11.0%	-1.4K	34.4K	-137	142.40	N/A	N/A	0	400	42	112
2014-07-24	$9.03	$8.75	72.4%	20.8%	28.3%	32.9%	0.0%	8.0%	1.3%	-9.4K	143.4K	-663	133.88	N/A	N/A	0	0	42	512
2014-07-25	$8.79	$8.75	57.1%	16.4%	29.3%	23.8%	37.9%	2.2%	-45.5%	-13.1K	179.6K	-670	137.62	N/A	N/A	0	40	42	512
2014-07-28	$8.81	$8.75	31.4%	9.0%	28.4%	8.6%	0.0%	8.2%	2.1%	-16.0K	202.7K	-663	124.56	N/A	N/A	0	8	42	552
2014-07-29	$8.90	$8.75	60.0%	17.2%	28.5%	25.5%	33.2%	-15.7%	-16.6%	-8.0K	108.6K	-536	134.12	N/A	N/A	0	20	42	560
2014-07-30	$8.75	$8.75	64.4%	18.5%	26.8%	28.1%	0.0%	15.6%	5.1%	-8.5K	160.2K	-644	136.05	N/A	N/A	0	20	42	580
2014-07-31	$8.57	$8.75	67.3%	19.3%	27.1%	29.9%	0.0%	37.9%	-5.4%	-8.4K	217.5K	-712	131.62	N/A	N/A	0	20	42	600