FIZZ Options History — June 2015 In June 2015, FIZZ traded between $10.51 and $11.63. ATM implied volatility averaged 97.3%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded above realized volatility by 72.9% (HV 20d: 24.4%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.62.
Notable Days 2015-06-19 : Highest Volume — 186 contracts2015-06-04 : Largest IV spike — 313.7% change2015-06-05 : Highest IV Rank — 74.0%2015-06-30 : Largest Expected Move — 35.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.12 $10.51 $11.63 $10.51 $11.18 Max Pain $11.08 $10.00 $11.25 $10.00 $11.25 ATM IV 97.3% 35.6% 151.7% 121.8% 123.1% Expected Move 25.6% 10.2% 35.3% 34.9% 35.3% HV 20d 24.4% 19.7% 29.4% 27.2% 21.6% HV 60d 29.6% 27.5% 34.7% 34.7% 28.1% IV Rank 41.7% 5.1% 74.0% 56.3% 57.0% IV Percentile 81.1% 16.7% 99.2% 96.8% 96.0% Term Structure -36.3% -85.4% 61.6% -45.4% -52.2% VWIV 72.6% 30.5% 95.0% 82.6% 93.6% Skew 25d 2.5% -45.2% 87.4% 87.4% -27.2% Skew 10d -50.8% -112.0% 50.0% 9.2% -88.8% Call IV 25d 86.8% 43.2% 170.2% 78.8% 80.8% Put IV 25d 89.3% 22.2% 186.5% 166.2% 53.6% Bid-Ask Spread % 139.17 130.87 150.65 132.46 138.22 Gamma HHI 0.37 0.28 0.44 0.42 0.38 Net GEX 7.0K 4.7K 10.5K 6.1K 5.2K Net DEX -283.8K -336.7K -221.1K -221.1K -277.9K Net VEX -1.2K -1.3K -949 -1.2K -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.33 0.81 0.62 0.75 Total Volume 151.182 16 186 178 154 Total OI 686.455 644 716 644 694
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-06-01 $10.51 $10.00 121.8% 34.9% 27.2% 56.3% 82.6% 87.4% -45.4% 6.1K -221.1K -1.2K 0.62 132.46 N/A N/A 110 68 522 122 2015-06-02 $10.72 $10.00 46.1% 13.2% 28.4% 11.3% 30.5% 16.2% 61.6% 6.3K -248.2K -1.3K 0.33 136.84 N/A N/A 12 4 542 126 2015-06-03 $10.93 $10.00 35.6% 10.2% 27.5% 5.1% 33.4% 5.1% 5.4% 9.1K -266.7K -1.0K 0.55 132.53 N/A N/A 94 52 550 130 2015-06-04 $10.71 $11.25 147.3% 23.1% 28.2% 71.4% 92.5% 15.4% -49.5% 5.2K -266.9K -1.3K 0.55 137.57 N/A N/A 94 52 550 130 2015-06-05 $10.71 $11.25 151.7% 24.6% 28.0% 74.0% 93.2% 44.2% -43.5% 4.7K -276.4K -1.3K 0.55 137.98 N/A N/A 94 52 550 130 2015-06-08 $10.74 $11.25 103.8% 25.6% 27.9% 45.6% 95.0% 57.3% -44.1% 6.3K -271.5K -1.3K 0.55 140.34 N/A N/A 94 52 550 130 2015-06-09 $10.56 $11.25 126.9% 28.0% 28.5% 59.3% 92.3% 46.3% -38.7% 5.5K -251.7K -1.2K 0.57 138.52 N/A N/A 94 54 550 130 2015-06-10 $10.90 $11.25 73.1% 21.0% 29.4% 27.3% 53.9% 2.0% -7.5% 5.2K -242.8K -1.2K 0.48 138.76 N/A N/A 112 54 550 134 2015-06-11 $11.05 $11.25 79.1% 22.7% 27.5% 30.9% 65.2% -13.8% -51.7% 8.9K -300.6K -1.2K 0.48 132.87 N/A N/A 112 54 568 134 2015-06-12 $11.02 $11.25 85.9% 24.6% 25.2% 34.9% 70.3% -15.7% -29.9% 9.1K -303.8K -1.3K 0.48 130.87 N/A N/A 112 54 568 134 2015-06-15 $11.11 $11.25 78.7% 22.6% 23.8% 30.7% 55.9% 13.7% -4.5% 9.9K -257.9K -1.2K 0.54 138.13 N/A N/A 100 54 566 134 2015-06-16 $11.21 $11.25 64.5% 18.5% 23.9% 22.2% 60.4% 9.7% -9.6% 8.9K -273.4K -1.0K 0.54 142.63 N/A N/A 100 54 564 134 2015-06-17 $11.20 $11.25 108.3% 31.1% 21.9% 48.2% 68.6% -21.6% -55.7% 10.4K -326.7K -1.3K 0.54 145.01 N/A N/A 100 54 564 134 2015-06-18 $11.32 $11.25 74.3% 21.3% 21.8% 28.0% 51.5% -21.9% -44.7% 10.5K -321.7K -1.2K 0.70 135.35 N/A N/A 100 70 564 134 2015-06-19 $11.49 $11.25 111.3% 31.9% 21.9% 50.0% 85.1% -9.3% -59.4% 5.4K -336.7K -1.3K 0.60 137.81 N/A N/A 116 70 564 152 2015-06-22 $11.55 $11.25 109.6% 31.4% 21.4% 49.0% 85.0% -22.0% -38.3% 5.8K -292.8K -1.2K 0.81 138.37 N/A N/A 86 70 530 152 2015-06-23 $11.46 $11.25 116.5% 33.4% 21.5% 53.1% 90.6% -24.5% -44.8% 6.5K -334.7K -1.1K 0.81 149.34 N/A N/A 86 70 530 152 2015-06-24 $11.53 $11.25 116.4% 33.4% 21.5% 53.0% 94.5% -45.2% -37.4% 5.3K -320.6K -1.2K 0.81 145.08 N/A N/A 86 70 530 152 2015-06-25 $11.63 $11.25 114.3% 32.8% 20.6% 51.8% 90.2% -1.6% -85.4% 6.1K -304.5K -1.2K 0.81 143.96 N/A N/A 86 70 530 152 2015-06-26 $11.56 $11.25 65.9% 18.9% 19.7% 23.1% 50.4% -39.3% -73.2% 6.8K -262.2K -949 0.73 138.55 N/A N/A 88 64 530 152 2015-06-29 $11.44 $11.25 86.3% 24.7% 20.3% 35.2% 62.0% 0.5% -49.6% 6.6K -285.0K -1.1K 0.75 150.65 N/A N/A 88 66 532 156 2015-06-30 $11.18 $11.25 123.1% 35.3% 21.6% 57.0% 93.6% -27.2% -52.2% 5.2K -277.9K -1.2K 0.75 138.22 N/A N/A 88 66 532 162
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