FG Options History — January 2020

In January 2020, FG traded between $9.30 and $10.44. ATM implied volatility averaged 33.1%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.0% (HV 20d: 28.1%). 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 15 of 21 days. Put/call ratio averaged 0.01.

Notable Days

  • 2020-01-29: Highest Volume — 3,021 contracts
  • 2020-01-08: Largest IV spike — 67.7% change
  • 2020-01-30: Highest IV Rank — 25.9%
  • 2020-01-30: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.87$9.30$10.44$10.44$9.66
Max Pain$7.74$7.50$10.00$10.00$7.50
ATM IV33.1%21.0%48.8%21.0%39.6%
Expected Move9.5%6.0%14.0%6.0%11.4%
HV 20d28.1%21.9%33.9%28.7%24.5%
HV 60d28.7%25.4%30.2%28.4%25.4%
IV Rank13.7%4.3%25.9%4.3%18.8%
IV Percentile33.7%4.4%69.4%4.4%52.4%
Term Structure6.2%-7.6%79.1%2.3%6.9%
VWIV35.5%26.4%52.9%26.4%52.9%
Skew 25d13.0%-38.1%83.8%-38.1%-4.9%
Skew 10d18.5%-47.5%115.6%-47.5%-9.5%
Call IV 25d38.3%26.1%61.9%55.5%43.8%
Put IV 25d51.3%17.5%119.0%17.5%38.9%
Bid-Ask Spread %99.0591.30112.43102.65105.52
Gamma HHI0.980.960.990.980.99
Net GEX154.8K97.1K268.1K116.5K268.1K
Net DEX-2.0M-4.0M-1.0M-2.5M-4.0M
Net VEX-5.2K-11.3K-3.2K-4.4K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.070.040.00
Total Volume412.57103,021282
Total OI4,547.192,8999,4953,4559,495

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$10.44$10.0021.0%6.0%28.7%4.3%0.0%-38.1%2.3%116.5K-2.5M-4.4K0.04102.65N/AN/A2713,43718
2020-01-03$10.39$10.0022.4%6.4%29.0%5.4%0.0%-36.9%2.1%127.7K-2.4M-4.6K0.00100.38N/AN/A98003,46017
2020-01-06$10.01$7.5030.6%7.6%32.8%11.7%26.4%4.2%2.5%129.2K-1.7M-4.2K0.0793.92N/AN/A142103,12716
2020-01-07$10.19$7.5022.7%7.7%32.9%5.6%0.0%45.8%1.2%118.3K-1.7M-3.8K0.0093.33N/AN/A202,88811
2020-01-08$10.03$7.5038.0%9.5%33.9%17.6%33.1%5.1%-1.4%97.1K-1.6M-3.8K0.0094.85N/AN/A74502,88811
2020-01-09$10.09$7.5033.1%9.9%33.4%13.7%34.5%53.5%-2.2%100.2K-1.6M-3.9K0.0093.19N/AN/A1,16002,95511
2020-01-10$10.09$7.5030.4%11.0%33.3%11.6%39.0%5.8%-6.2%118.0K-2.2M-5.0K0.0095.82N/AN/A5303,80911
2020-01-13$9.98$7.5035.8%9.6%32.4%15.8%33.5%5.1%-1.1%164.6K-2.4M-5.7K0.0091.30N/AN/A2004,51011
2020-01-14$9.97$7.5034.0%9.5%32.4%14.4%33.0%5.0%-7.6%171.0K-2.3M-5.6K0.0095.35N/AN/A15004,49011
2020-01-15$9.81$7.5040.0%11.5%29.4%19.1%39.2%69.6%6.6%140.5K-1.9M-5.4K0.00101.26N/AN/A304,54011
2020-01-16$9.93$7.5031.0%8.9%29.3%12.0%31.0%66.1%1.4%194.3K-2.1M-5.4K0.0095.54N/AN/A304,43711
2020-01-17$9.99$7.5032.2%9.2%29.3%13.0%32.2%5.0%2.4%214.0K-2.4M-5.3K0.0099.35N/AN/A21104,44011
2020-01-21$9.90$7.5034.4%9.9%21.9%14.7%0.0%4.9%79.1%155.8K-2.1M-4.8K0.0096.55N/AN/A004,20510
2020-01-22$9.72$7.5031.3%9.0%22.3%12.3%0.0%83.8%0.6%163.5K-1.6M-4.4K0.0097.92N/AN/A004,20510
2020-01-23$9.56$7.5031.3%9.0%22.8%12.3%0.0%6.1%0.8%154.0K-1.3M-4.0K0.0095.85N/AN/A004,20510
2020-01-24$9.44$7.5033.0%9.5%22.7%13.6%0.0%6.7%-0.3%137.9K-1.2M-3.6K0.00100.26N/AN/A004,20510
2020-01-27$9.30$7.5031.7%9.1%22.8%12.6%0.0%10.5%9.3%118.5K-1.0M-3.2K0.0099.93N/AN/A104,20510
2020-01-28$9.57$7.5029.5%8.5%25.6%10.9%0.0%-8.1%18.3%168.9K-1.2M-3.6K0.00104.79N/AN/A1,91204,20610
2020-01-29$9.56$7.5043.6%12.5%24.3%21.9%52.9%-2.7%10.4%164.6K-2.1M-6.4K0.00112.43N/AN/A3,02106,29010
2020-01-30$9.73$7.5048.8%14.0%25.6%25.9%0.0%-14.1%6.1%229.0K-3.7M-10.8K0.00109.90N/AN/A22109,26410
2020-01-31$9.66$7.5039.6%11.4%24.5%18.8%0.0%-4.9%6.9%268.1K-4.0M-11.3K0.00105.52N/AN/A209,48510