FG Options History — December 2019

In December 2019, FG traded between $8.82 and $10.70. ATM implied volatility averaged 38.6%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 15.4% (HV 20d: 23.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2019-12-18: Highest Volume — 1,754 contracts
  • 2019-12-03: Largest IV spike — 63.8% change
  • 2019-12-04: Highest IV Rank — 55.3%
  • 2019-12-04: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.65$8.82$10.70$9.09$10.70
Max Pain$9.25$7.50$10.00$7.50$10.00
ATM IV38.6%18.7%86.5%33.2%20.9%
Expected Move10.1%5.4%24.8%9.5%6.0%
HV 20d23.2%15.7%29.4%19.7%28.3%
HV 60d26.6%24.5%28.6%24.7%27.8%
IV Rank18.0%2.5%55.3%13.7%4.2%
IV Percentile40.2%1.2%94.8%33.7%3.6%
Term Structure-11.2%-50.2%15.3%-10.5%4.7%
VWIV34.1%18.8%58.9%33.2%18.8%
Skew 25d-5.1%-48.0%25.4%25.4%-10.2%
Skew 10d-2.1%-53.1%19.2%19.0%-17.5%
Call IV 25d41.2%14.3%76.0%28.6%35.3%
Put IV 25d36.1%24.8%69.5%54.0%25.1%
Bid-Ask Spread %96.6229.26120.96107.96105.04
Gamma HHI0.770.531.000.540.97
Net GEX45.1K2.4K117.4K3.3K99.3K
Net DEX-1.3M-3.0M-345.4K-549.4K-2.9M
Net VEX-2.1K-5.3K-219-314-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.080.000.08
Total Volume251.14301,75433213
Total OI1,756.3334943,7936753,445

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$9.09$7.5033.2%9.5%19.7%13.7%33.2%25.4%-10.5%3.3K-549.4K-3140.00107.96N/AN/A33206750
2019-12-03$8.89$7.5054.3%15.6%19.2%30.2%0.0%-8.1%-45.0%5.5K-352.5K-3650.00111.92N/AN/A004940
2019-12-04$8.97$7.5086.5%24.8%19.2%55.3%0.0%5.0%-43.5%5.9K-345.4K-3940.00120.96N/AN/A004940
2019-12-05$8.91$0.0039.3%6.9%19.3%18.5%0.0%4.5%5.7%4.1K-372.5K-2660.0079.47N/AN/A004940
2019-12-06$8.90$0.0052.5%15.2%19.2%28.8%0.0%-48.0%-50.2%4.3K-369.4K-3050.00115.80N/AN/A004940
2019-12-09$8.93$0.0059.6%8.4%17.3%34.4%0.0%6.1%1.5%4.3K-372.2K-2680.0045.86N/AN/A004940
2019-12-10$8.84$0.0051.2%6.8%16.5%27.8%0.0%-3.1%2.9%4.5K-365.7K-2830.0098.61N/AN/A004940
2019-12-11$8.82$0.0037.5%10.8%15.7%17.1%0.0%-25.1%-33.9%5.3K-357.1K-3060.0076.51N/AN/A004940
2019-12-12$9.11$0.0021.0%6.0%19.8%4.3%0.0%13.9%5.2%2.7K-392.6K-2190.00103.49N/AN/A004940
2019-12-13$9.19$0.0022.4%6.4%19.8%5.3%0.0%18.2%15.3%2.8K-393.5K-2710.00104.62N/AN/A004940
2019-12-16$9.61$0.0019.3%5.5%23.6%2.9%0.0%23.5%14.8%2.4K-424.5K-2370.0061.42N/AN/A69014940
2019-12-17$9.74$0.0022.4%6.4%23.5%5.4%0.0%6.4%2.3%27.6K-734.3K-1.4K0.0029.26N/AN/A27601,1831
2019-12-18$9.78$0.0024.8%7.1%23.3%7.2%0.0%-14.8%3.0%33.5K-957.2K-1.8K0.00100.70N/AN/A1,75401,4491
2019-12-19$10.32$0.0039.0%11.2%29.4%18.3%30.5%-3.1%6.7%85.5K-2.1M-4.0K0.00108.95N/AN/A93523,1151
2019-12-20$10.40$10.0041.5%11.9%29.3%20.2%0.0%-5.3%-21.1%107.9K-2.8M-4.9K0.02109.97N/AN/A401103,7912
2019-12-23$10.36$10.0040.9%11.7%29.1%19.8%28.9%-9.0%-14.7%98.1K-2.3M-5.3K0.07110.80N/AN/A158113,59711
2019-12-24$10.41$10.0037.0%10.6%29.1%16.7%58.9%-30.4%-23.1%108.0K-2.3M-5.3K0.00112.27N/AN/A28503,59317
2019-12-26$10.45$10.0039.7%11.4%28.8%18.9%0.0%-21.7%-34.1%117.4K-2.6M-5.3K0.00111.08N/AN/A003,67717
2019-12-27$10.51$10.0048.4%13.9%28.8%25.6%0.0%1.8%-28.5%113.7K-2.7M-5.0K0.00111.15N/AN/A013,67717
2019-12-30$10.69$10.0018.7%5.4%28.6%2.5%18.8%-33.2%7.2%109.8K-3.0M-4.3K0.00103.26N/AN/A40503,65717
2019-12-31$10.70$10.0020.9%6.0%28.3%4.2%0.0%-10.2%4.7%99.3K-2.9M-3.9K0.08105.04N/AN/A1213,42817