FIZZ Options History — February 2015

In February 2015, FIZZ traded between $10.95 and $11.74. ATM implied volatility averaged 67.6%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 29.7% (HV 20d: 38.0%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.09.

Notable Days

2015-02-04: Highest Volume — 156 contracts
2015-02-04: Largest IV spike — 120.8% change
2015-02-19: Highest IV Rank — 54.1%
2015-02-19: Largest Expected Move — 30.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.25	$10.95	$11.74	$10.96	$11.23
Max Pain	$10.72	$10.00	$11.25	$11.25	$11.25
ATM IV	67.6%	32.4%	105.9%	38.2%	51.9%
Expected Move	19.1%	9.3%	30.4%	11.0%	14.9%
HV 20d	38.0%	33.3%	41.0%	37.3%	33.3%
HV 60d	45.1%	44.3%	47.0%	46.3%	44.4%
IV Rank	27.8%	3.7%	54.1%	7.7%	17.0%
IV Percentile	65.0%	9.1%	96.4%	30.6%	50.8%
Term Structure	-19.3%	-60.8%	17.1%	5.3%	-2.4%
VWIV	68.1%	36.8%	99.4%	41.4%	58.7%
Skew 25d	-8.9%	-65.9%	46.3%	18.2%	-29.2%
Skew 10d	-10.5%	-92.7%	86.0%	40.8%	-23.5%
Call IV 25d	79.4%	34.4%	134.6%	63.5%	86.4%
Put IV 25d	70.5%	39.8%	140.0%	81.6%	57.2%
Bid-Ask Spread %	134.23	112.22	144.12	134.89	142.49
Gamma HHI	0.51	0.37	0.66	0.37	0.53
Net GEX	5.1K	1.0K	7.1K	4.4K	4.9K
Net DEX	-138.8K	-187.0K	-73.5K	-73.5K	-167.4K
Net VEX	-660	-809	-549	-549	-664
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.83	1.27	1.24	1.18
Total Volume	126.105	0	156	0	144
Total OI	506.947	480	526	490	506

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
2015-02-02	$10.96	$11.25	38.2%	11.0%	37.3%	7.7%	0.0%	18.2%	5.3%	4.4K	-73.5K	-549	0.00	134.89	N/A	N/A	0	0	352	138
2015-02-03	$11.37	$11.25	36.3%	10.4%	39.5%	6.4%	41.4%	-30.9%	17.1%	5.3K	-122.6K	-596	1.24	139.66	N/A	N/A	68	84	364	138
2015-02-04	$11.74	$11.25	80.2%	23.0%	40.3%	36.4%	82.0%	-23.6%	0.2%	6.0K	-176.1K	-753	1.17	143.16	N/A	N/A	72	84	366	138
2015-02-05	$11.53	$11.25	61.3%	21.9%	41.0%	23.5%	93.6%	46.3%	-24.9%	5.5K	-165.7K	-809	1.17	132.02	N/A	N/A	72	84	372	138
2015-02-06	$11.36	$11.25	90.7%	24.7%	38.9%	43.6%	99.4%	24.5%	-49.7%	6.6K	-138.1K	-663	1.17	144.12	N/A	N/A	72	84	372	138
2015-02-09	$11.06	$11.25	76.0%	11.5%	39.5%	33.6%	46.2%	28.6%	-3.7%	5.1K	-110.9K	-684	1.17	124.21	N/A	N/A	72	84	372	138
2015-02-10	$11.14	$11.25	58.4%	19.3%	39.6%	21.5%	57.2%	-1.9%	-26.7%	6.0K	-108.4K	-555	1.00	134.56	N/A	N/A	72	72	372	138
2015-02-11	$10.95	$10.00	46.6%	13.4%	39.6%	13.4%	70.9%	-13.9%	-14.2%	3.9K	-90.2K	-681	0.97	137.08	N/A	N/A	72	70	372	142
2015-02-12	$10.96	$10.00	97.7%	28.0%	39.6%	48.4%	87.6%	-55.6%	-47.0%	5.0K	-95.8K	-609	0.97	140.96	N/A	N/A	72	70	372	142
2015-02-13	$10.96	$10.00	101.1%	29.0%	39.0%	50.8%	56.2%	12.0%	-60.8%	4.1K	-144.2K	-773	0.83	135.13	N/A	N/A	84	70	372	142
2015-02-17	$11.01	$10.00	104.5%	30.0%	37.7%	53.1%	95.4%	-58.6%	-32.6%	4.9K	-136.0K	-711	0.83	139.56	N/A	N/A	84	70	384	142
2015-02-18	$11.20	$10.00	78.2%	22.4%	38.3%	35.0%	87.6%	-65.9%	12.2%	3.1K	-150.5K	-721	0.83	129.37	N/A	N/A	84	70	384	142
2015-02-19	$11.43	$10.00	105.9%	30.4%	37.8%	54.1%	0.0%	-39.3%	-52.6%	1.0K	-169.5K	-699	0.00	143.58	N/A	N/A	0	0	372	142
2015-02-20	$11.25	$10.00	58.9%	16.9%	37.1%	21.8%	0.0%	11.9%	-19.0%	6.4K	-125.6K	-562	0.00	138.43	N/A	N/A	0	0	360	142
2015-02-23	$11.36	$10.00	40.5%	11.6%	36.9%	9.2%	40.4%	5.7%	-6.1%	7.1K	-151.4K	-594	1.27	113.47	N/A	N/A	66	84	366	114
2015-02-24	$11.48	$11.25	58.8%	16.8%	36.2%	21.7%	60.8%	-3.7%	-37.0%	5.6K	-179.4K	-689	1.27	137.19	N/A	N/A	66	84	366	134
2015-02-25	$11.45	$11.25	67.6%	19.4%	35.9%	27.8%	75.6%	-1.8%	-22.0%	6.4K	-187.0K	-643	1.27	128.25	N/A	N/A	66	84	366	134
2015-02-26	$11.36	$11.25	32.4%	9.3%	34.5%	3.7%	36.8%	7.3%	-2.8%	6.3K	-145.6K	-584	1.06	112.22	N/A	N/A	66	70	366	134
2015-02-27	$11.23	$11.25	51.9%	14.9%	33.3%	17.0%	58.7%	-29.2%	-2.4%	4.9K	-167.4K	-664	1.18	142.49	N/A	N/A	66	78	366	140