FIZZ Options History — January 2015

In January 2015, FIZZ traded between $10.86 and $11.60. ATM implied volatility averaged 64.7%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 21.7% (HV 20d: 43.0%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.46.

Notable Days

2015-01-12: Highest Volume — 238 contracts
2015-01-14: Largest IV drop — 60.7% change
2015-01-13: Highest IV Rank — 68.5%
2015-01-07: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.24	$10.86	$11.60	$11.21	$10.86
Max Pain	$11.25	$11.25	$11.25	$11.25	$11.25
ATM IV	64.7%	31.2%	127.0%	46.0%	64.0%
Expected Move	17.3%	9.0%	24.9%	23.5%	18.3%
HV 20d	43.0%	25.9%	62.9%	62.9%	37.2%
HV 60d	46.2%	44.0%	48.2%	47.6%	46.3%
IV Rank	26.2%	2.9%	68.5%	15.9%	25.3%
IV Percentile	62.7%	6.3%	99.2%	48.8%	66.7%
Term Structure	-1.6%	-65.0%	29.7%	27.6%	18.8%
VWIV	65.2%	33.2%	89.4%	89.4%	73.6%
Skew 25d	5.2%	-53.4%	70.2%	-2.6%	-6.9%
Skew 10d	15.1%	-38.4%	80.3%	-15.7%	1.0%
Call IV 25d	78.7%	30.3%	121.5%	49.3%	95.7%
Put IV 25d	83.9%	46.7%	133.1%	46.7%	88.8%
Bid-Ask Spread %	140.42	128.35	149.38	142.87	139.88
Gamma HHI	0.46	0.37	0.56	0.38	0.47
Net GEX	3.7K	-9.4K	6.3K	4.0K	4.5K
Net DEX	-124.9K	-165.2K	-53.9K	-120.5K	-129.4K
Net VEX	-886	-1.1K	-740	-1.0K	-786
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	1.06	4.00	1.06	1.24
Total Volume	119	0	238	202	152
Total OI	637.7	458	780	760	500

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
2015-01-02	$11.21	$11.25	46.0%	23.5%	62.9%	15.9%	89.4%	-2.6%	27.6%	4.0K	-120.5K	-1.0K	1.06	142.87	N/A	N/A	98	104	480	280
2015-01-05	$11.14	$11.25	56.3%	17.0%	62.9%	22.7%	0.0%	-28.8%	-14.1%	3.7K	-64.9K	-878	0.00	142.35	N/A	N/A	0	14	464	280
2015-01-06	$10.94	$11.25	69.6%	22.0%	62.3%	31.6%	0.0%	0.2%	-65.0%	3.7K	-53.9K	-946	0.00	144.16	N/A	N/A	0	4	464	294
2015-01-07	$10.89	$11.25	74.8%	24.9%	62.3%	32.9%	0.0%	1.8%	-53.1%	2.7K	-61.5K	-1.0K	0.00	144.90	N/A	N/A	0	0	464	294
2015-01-08	$11.34	$11.25	83.7%	24.8%	62.6%	39.0%	86.1%	16.2%	-26.8%	3.7K	-141.7K	-1.1K	1.18	138.24	N/A	N/A	98	116	478	294
2015-01-09	$11.13	$11.25	86.2%	11.8%	62.3%	40.7%	56.2%	-53.4%	1.7%	4.5K	-92.9K	-936	1.24	134.90	N/A	N/A	98	122	478	294
2015-01-12	$11.14	$11.25	112.3%	22.6%	61.0%	58.4%	85.0%	3.8%	-26.6%	3.9K	-124.1K	-1.0K	1.43	143.55	N/A	N/A	98	140	478	300
2015-01-13	$11.33	$11.25	127.0%	16.7%	57.7%	68.5%	53.4%	-6.4%	-10.0%	4.1K	-142.0K	-992	1.43	137.84	N/A	N/A	98	140	478	302
2015-01-14	$11.31	$11.25	49.9%	14.3%	32.6%	15.7%	60.5%	9.7%	14.6%	4.4K	-101.5K	-878	1.43	136.19	N/A	N/A	98	140	478	302
2015-01-15	$11.10	$11.25	31.2%	9.0%	32.7%	2.9%	33.2%	61.1%	12.0%	4.6K	-129.5K	-975	1.43	137.20	N/A	N/A	98	140	478	302
2015-01-16	$11.39	$11.25	40.8%	11.7%	31.3%	9.4%	0.0%	70.2%	1.8%	-9.4K	-100.2K	-793	0.00	142.61	N/A	N/A	0	0	464	302
2015-01-20	$11.44	$11.25	46.9%	13.5%	25.9%	13.6%	0.0%	32.2%	28.1%	5.2K	-146.8K	-753	0.00	142.69	N/A	N/A	0	0	342	116
2015-01-21	$11.14	$11.25	43.0%	12.3%	26.7%	10.9%	0.0%	1.6%	13.5%	4.6K	-144.3K	-814	0.00	138.69	N/A	N/A	0	0	342	116
2015-01-22	$11.42	$11.25	35.7%	10.2%	28.2%	6.0%	38.2%	17.5%	-8.6%	6.1K	-147.6K	-740	1.16	128.35	N/A	N/A	62	72	352	116
2015-01-23	$11.60	$11.25	49.8%	14.3%	28.8%	15.6%	57.1%	-19.3%	29.7%	6.3K	-165.2K	-752	1.09	140.08	N/A	N/A	68	74	352	116
2015-01-26	$11.34	$11.25	71.7%	20.6%	29.9%	30.6%	71.8%	0.4%	-26.2%	4.9K	-158.3K	-809	4.00	139.13	N/A	N/A	6	24	346	118
2015-01-27	$11.48	$11.25	67.5%	19.4%	30.0%	27.7%	0.0%	-1.2%	8.8%	4.2K	-156.5K	-829	0.00	144.79	N/A	N/A	0	0	352	138
2015-01-28	$11.16	$11.25	67.7%	19.4%	31.3%	27.9%	72.8%	-3.4%	29.6%	4.9K	-155.6K	-826	1.14	140.63	N/A	N/A	74	84	362	138
2015-01-29	$11.47	$11.25	69.5%	19.9%	31.6%	29.1%	70.2%	11.4%	11.4%	4.5K	-162.5K	-861	1.14	149.38	N/A	N/A	74	84	362	138
2015-01-30	$10.86	$11.25	64.0%	18.3%	37.2%	25.3%	73.6%	-6.9%	18.8%	4.5K	-129.4K	-786	1.24	139.88	N/A	N/A	68	84	362	138