FG Options History — September 2019 In September 2019, FG traded between $7.97 and $8.28. ATM implied volatility averaged 36.5%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.5% (HV 20d: 26.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-09-05 : Highest Volume — 100 contracts2019-09-05 : Largest IV spike — 172.4% change2019-09-05 : Highest IV Rank — 38.1%2019-09-30 : Largest Expected Move — 17.2%Monthly Statistics Metric Avg Min Max Open Close Price $8.07 $7.97 $8.28 $7.97 $8.02 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 36.5% 19.7% 66.7% 44.2% 60.0% Expected Move 9.0% 5.6% 17.2% 12.7% 17.2% HV 20d 26.9% 14.4% 40.8% 40.8% 14.4% HV 60d 33.8% 32.8% 34.1% 34.0% 32.8% IV Rank 13.8% 0.3% 38.1% 20.0% 32.7% IV Percentile 34.7% 0.5% 83.9% 54.2% 79.9% Term Structure 3.3% -30.7% 37.9% -30.7% -7.8% Skew 25d -8.4% -71.8% 30.1% -71.8% 4.2% Skew 10d 8.7% -81.8% 51.4% -81.8% 22.1% Call IV 25d 48.8% 24.8% 97.0% 97.0% 70.8% Put IV 25d 40.5% 24.6% 75.1% 25.2% 75.1% Bid-Ask Spread % 88.76 34.27 136.91 107.72 134.96 Gamma HHI 0.99 0.90 1.00 0.90 0.98 Net GEX 2.1K 639 3.2K 639 2.3K Net DEX -75.0K -91.6K -24.6K -24.6K -81.5K Net VEX -222 -260 -71 -78 -242 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 5.2 0 100 0 0 Total OI 143.7 59 159 59 158
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 2019-09-03 $7.97 $12.50 44.2% 12.7% 40.8% 20.0% 0.0% -71.8% -30.7% 639 -24.6K -78 0.00 107.72 N/A N/A 0 0 59 0 2019-09-04 $7.98 $12.50 24.5% 7.0% 40.8% 4.2% 0.0% -7.9% 1.2% 849 -26.4K -71 0.00 109.51 N/A N/A 0 0 59 0 2019-09-05 $8.11 $0.00 66.7% 10.5% 40.5% 38.1% 0.0% -21.8% 11.1% 727 -27.5K -71 0.00 136.91 N/A N/A 100 0 59 0 2019-09-06 $8.07 $0.00 31.3% 6.3% 38.4% 9.6% 0.0% -29.5% 4.8% 2.3K -84.3K -260 0.00 61.75 N/A N/A 0 0 159 0 2019-09-09 $8.07 $0.00 53.3% 6.5% 38.1% 27.3% 0.0% -25.0% 19.3% 2.1K -85.3K -256 0.00 44.55 N/A N/A 0 0 159 0 2019-09-10 $8.12 $0.00 56.9% 7.9% 38.1% 30.2% 0.0% -3.0% 8.2% 2.3K -86.4K -247 0.00 108.75 N/A N/A 0 0 159 0 2019-09-11 $8.14 $0.00 19.7% 5.6% 38.0% 0.3% 0.0% 30.1% 37.9% 2.1K -85.3K -256 0.00 34.27 N/A N/A 0 0 159 0 2019-09-12 $8.28 $0.00 31.2% 8.9% 31.7% 9.5% 0.0% 4.8% -1.4% 2.2K -91.6K -234 0.00 101.39 N/A N/A 0 0 159 0 2019-09-13 $8.27 $0.00 41.5% 11.9% 26.5% 17.9% 0.0% 4.8% -30.7% 2.3K -90.1K -246 0.00 65.53 N/A N/A 0 0 159 0 2019-09-16 $8.05 $0.00 30.1% 8.6% 26.4% 8.7% 0.0% -11.5% 1.7% 3.2K -86.1K -239 0.00 77.00 N/A N/A 0 0 159 0 2019-09-17 $8.06 $0.00 26.0% 7.5% 25.7% 5.4% 0.0% 6.9% -1.1% 2.5K -82.1K -252 0.00 73.79 N/A N/A 0 0 159 0 2019-09-18 $8.07 $0.00 41.5% 11.9% 23.1% 17.9% 0.0% -31.5% -3.9% 2.1K -76.2K -257 0.00 86.59 N/A N/A 0 0 159 0 2019-09-19 $8.03 $0.00 36.2% 10.4% 20.2% 13.6% 0.0% 22.1% -3.7% 2.2K -77.7K -255 0.00 68.78 N/A N/A 4 0 159 0 2019-09-20 $7.99 $0.00 23.4% 6.7% 18.0% 3.3% 0.0% -2.6% 26.9% 2.2K -78.9K -253 0.00 117.43 N/A N/A 0 0 159 0 2019-09-23 $8.07 $0.00 30.5% 8.7% 16.5% 9.0% 0.0% -5.4% 3.8% 2.5K -85.9K -243 0.00 113.06 N/A N/A 0 0 158 0 2019-09-24 $8.01 $0.00 28.6% 8.2% 16.2% 7.5% 0.0% -7.7% -5.8% 2.3K -81.6K -248 0.00 106.26 N/A N/A 0 0 158 0 2019-09-25 $8.01 $0.00 27.4% 7.9% 15.5% 6.5% 0.0% -9.5% 13.7% 2.3K -83.5K -240 0.00 51.27 N/A N/A 0 0 158 0 2019-09-26 $8.01 $0.00 28.0% 8.0% 15.5% 7.0% 0.0% -9.7% -5.3% 2.6K -83.8K -238 0.00 53.70 N/A N/A 0 0 158 0 2019-09-27 $8.01 $0.00 28.7% 8.2% 14.5% 7.6% 0.0% -3.3% 27.7% 2.3K -80.5K -245 0.00 121.96 N/A N/A 0 0 158 0 2019-09-30 $8.02 $0.00 60.0% 17.2% 14.4% 32.7% 0.0% 4.2% -7.8% 2.3K -81.5K -242 0.00 134.96 N/A N/A 0 0 158 0
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