FG Options History — February 2020

In February 2020, FG traded between $9.91 and $12.24. ATM implied volatility averaged 24.4%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 33.9% (HV 20d: 58.2%). Max pain ranged from $2.50 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.07.

Notable Days

2020-02-07: Highest Volume — 8,593 contracts
2020-02-07: Largest IV drop — 76.1% change
2020-02-06: Highest IV Rank — 38.1%
2020-02-06: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.67	$9.91	$12.24	$9.94	$11.36
Max Pain	$7.89	$2.50	$10.00	$7.50	$10.00
ATM IV	24.4%	13.1%	64.4%	47.7%	20.5%
Expected Move	6.6%	3.8%	14.3%	13.7%	5.9%
HV 20d	58.2%	23.7%	65.7%	27.1%	64.4%
HV 60d	40.5%	25.9%	43.6%	25.9%	43.5%
IV Rank	7.8%	0.0%	38.1%	25.0%	5.6%
IV Percentile	17.4%	0.0%	88.9%	68.7%	7.5%
Term Structure	27.3%	-12.6%	149.7%	8.5%	149.7%
VWIV	28.8%	13.9%	87.9%	47.0%	24.7%
Skew 25d	1.6%	-6.1%	8.3%	3.9%	-5.0%
Skew 10d	-0.4%	-18.9%	14.1%	3.5%	14.1%
Call IV 25d	35.5%	10.3%	198.6%	55.5%	198.6%
Put IV 25d	37.2%	13.5%	193.6%	59.4%	193.6%
Bid-Ask Spread %	91.88	31.38	147.57	102.59	147.57
Gamma HHI	0.93	0.51	1.00	0.99	0.51
Net GEX	89.8K	13.6K	315.0K	276.8K	30.1K
Net DEX	-3.8M	-11.5M	-1.2M	-4.5M	-1.2M
Net VEX	-3.8K	-11.1K	-1.1K	-11.0K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.00	12.75	0.00	1.25
Total Volume	544.421	2	8,593	31	54
Total OI	5,392.895	2,663	9,947	9,494	2,704

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
2020-02-03	$9.94	$7.50	47.7%	13.7%	27.1%	25.0%	47.0%	3.9%	8.5%	276.8K	-4.5M	-11.0K	0.00	102.59	N/A	N/A	31	0	9,484	10
2020-02-04	$9.91	$7.50	41.7%	12.0%	23.7%	20.4%	41.7%	4.6%	6.7%	296.8K	-4.6M	-11.1K	0.00	99.32	N/A	N/A	21	0	9,461	10
2020-02-05	$10.14	$7.50	45.4%	13.0%	24.3%	23.3%	45.2%	-3.4%	1.4%	315.0K	-5.2M	-10.9K	0.00	103.70	N/A	N/A	23	0	9,461	10
2020-02-06	$12.05	$10.00	64.4%	14.3%	65.5%	38.1%	87.9%	8.3%	-12.6%	125.8K	-10.1M	-6.5K	0.04	138.97	N/A	N/A	711	30	9,457	10
2020-02-07	$12.24	$2.50	15.4%	5.3%	65.5%	0.0%	20.3%	0.8%	-4.0%	72.0K	-11.5M	-1.1K	0.06	53.71	N/A	N/A	8,093	500	9,894	53
2020-02-10	$12.16	$5.00	17.3%	4.0%	65.7%	1.4%	27.1%	0.8%	-0.2%	73.6K	-3.6M	-2.2K	1.87	79.74	N/A	N/A	71	133	3,917	524
2020-02-11	$12.14	$5.00	20.9%	3.9%	65.4%	4.2%	14.1%	-0.3%	-5.0%	83.9K	-3.7M	-2.2K	0.34	31.38	N/A	N/A	58	20	3,935	640
2020-02-12	$12.09	$5.00	15.2%	4.4%	65.4%	0.0%	14.5%	1.3%	3.1%	55.1K	-3.5M	-2.0K	0.02	61.90	N/A	N/A	197	4	3,946	660
2020-02-13	$12.10	$5.00	14.0%	4.0%	64.8%	0.0%	13.9%	3.2%	-4.7%	68.7K	-3.5M	-2.1K	1.14	49.90	N/A	N/A	63	72	4,095	671
2020-02-14	$12.11	$5.00	17.0%	4.9%	64.9%	2.3%	14.8%	1.6%	3.1%	74.3K	-3.6M	-2.4K	0.33	102.63	N/A	N/A	3	1	4,154	731
2020-02-18	$12.09	$10.00	15.0%	4.3%	65.0%	0.8%	17.2%	1.8%	-6.5%	56.9K	-2.9M	-2.1K	0.18	65.48	N/A	N/A	17	3	3,705	731
2020-02-19	$12.05	$10.00	15.2%	4.3%	64.8%	0.9%	33.8%	6.5%	-8.5%	37.1K	-2.8M	-1.9K	0.00	115.46	N/A	N/A	29	0	3,699	757
2020-02-20	$12.07	$10.00	13.1%	3.8%	64.1%	0.0%	0.0%	5.5%	-5.8%	34.1K	-2.8M	-1.9K	1.21	99.13	N/A	N/A	29	35	3,703	757
2020-02-21	$11.97	$10.00	20.8%	6.0%	63.7%	5.9%	18.9%	-1.9%	7.6%	22.7K	-2.8M	-2.6K	12.75	93.44	N/A	N/A	4	51	3,729	788
2020-02-24	$11.97	$10.00	23.8%	6.8%	63.2%	8.2%	0.0%	5.0%	-8.9%	25.7K	-1.5M	-2.5K	1.00	93.06	N/A	N/A	25	25	2,054	609
2020-02-25	$11.88	$10.00	18.5%	5.3%	62.8%	4.1%	22.3%	-2.2%	126.7%	23.8K	-1.4M	-1.8K	0.09	91.24	N/A	N/A	23	2	2,059	634
2020-02-26	$11.77	$10.00	19.3%	5.5%	63.0%	4.7%	0.0%	-6.1%	127.5%	21.1K	-1.4M	-2.5K	0.00	90.10	N/A	N/A	2	0	2,069	636
2020-02-27	$11.64	$10.00	17.7%	5.1%	63.3%	3.5%	16.5%	6.7%	141.3%	13.6K	-1.3M	-2.3K	0.08	126.37	N/A	N/A	13	1	2,071	637
2020-02-28	$11.36	$10.00	20.5%	5.9%	64.4%	5.6%	24.7%	-5.0%	149.7%	30.1K	-1.2M	-2.9K	1.25	147.57	N/A	N/A	24	30	2,067	637