FG Options History — March 2020

In March 2020, FG traded between $8.22 and $11.91. ATM implied volatility averaged 74.4%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 19.1% (HV 20d: 55.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.43.

Notable Days

  • 2020-03-24: Highest Volume — 900 contracts
  • 2020-03-17: Largest IV spike — 8578.6% change
  • 2020-03-11: Highest IV Rank — 100.0%
  • 2020-03-11: Largest Expected Move — 49.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.26$8.22$11.91$11.68$9.85
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV74.4%2.1%178.8%37.6%76.6%
Expected Move20.7%0.6%49.5%10.8%7.5%
HV 20d55.3%18.1%82.0%64.5%81.8%
HV 60d51.3%43.5%61.9%43.5%61.9%
IV Rank41.8%0.0%100.0%18.8%42.2%
IV Percentile73.4%0.0%100.0%49.6%92.1%
Term Structure-6.6%-80.8%64.0%26.8%39.9%
VWIV48.5%48.5%48.5%48.5%48.5%
Skew 25d19.7%-97.5%94.8%10.5%15.2%
Skew 10d6.5%-134.9%122.4%-32.6%-134.9%
Call IV 25d54.4%18.9%147.6%27.6%29.6%
Put IV 25d74.1%35.0%145.6%38.1%44.8%
Bid-Ask Spread %150.33119.59176.31122.06152.57
Gamma HHI0.710.390.990.680.69
Net GEX21.8K-8.1K184.4K16.6K-8.1K
Net DEX-311.7K-1.5M1.2M-1.4M687.2K
Net VEX-3.0K-6.6K-422-2.2K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.0020.000.300.00
Total Volume115.7730900200
Total OI2,629.51,5412,8572,7032,807

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$11.68$10.0037.6%10.8%64.5%18.8%48.5%10.5%26.8%16.6K-1.4M-2.2K0.00122.06N/AN/A0202,066637
2020-03-03$11.68$10.0051.2%14.7%64.2%29.1%0.0%24.0%22.1%20.9K-1.4M-2.7K0.30121.82N/AN/A1032,066637
2020-03-04$11.91$10.0037.4%10.7%64.1%18.6%0.0%25.6%11.0%24.2K-1.5M-2.6K0.00119.59N/AN/A002,076637
2020-03-05$11.81$0.0033.2%23.4%64.2%15.4%0.0%71.6%27.8%20.6K-1.4M-2.7K0.00150.22N/AN/A202,076637
2020-03-06$11.78$0.0037.1%28.9%18.1%18.4%0.0%71.4%-42.1%19.4K-1.4M-2.7K1.50139.58N/AN/A232,075637
2020-03-09$11.14$0.0077.2%26.2%25.5%49.0%0.0%50.1%-64.6%36.2K-1.1M-2.9K0.00146.11N/AN/A022,075634
2020-03-10$11.32$0.0054.4%35.1%26.6%41.7%0.0%50.5%-80.8%31.3K-1.2M-2.8K0.02143.98N/AN/A15532,075633
2020-03-11$11.14$0.00172.5%49.5%26.9%100.0%0.0%94.8%-42.4%31.8K-1.0M-2.7K1.43144.05N/AN/A51731,940630
2020-03-12$10.82$0.00136.4%0.0%28.3%77.4%0.0%12.6%0.0%22.6K-674.6K-2.4K1.04176.31N/AN/A49511,939700
2020-03-13$10.69$0.00109.2%0.0%28.3%60.3%0.0%-35.1%0.0%32.1K-672.9K-3.1K0.06174.67N/AN/A10061,939750
2020-03-16$9.98$0.002.1%0.6%35.8%0.0%0.0%40.4%64.0%184.4K-168.6K-2.3K0.00151.27N/AN/A0102,039744
2020-03-17$9.73$0.00178.8%0.0%36.1%100.0%0.0%-97.5%0.0%28.9K-378.6K-2.7K2.40166.97N/AN/A10242,039714
2020-03-18$8.81$0.00154.6%0.0%47.7%86.3%0.0%-59.0%0.0%17364.1K-1.8K0.00153.98N/AN/A0492,032713
2020-03-19$9.61$0.0026.0%7.5%59.8%13.6%0.0%15.2%-7.6%45.7K-40.3K-2.0K0.00151.88N/AN/A5002,032718
2020-03-20$8.59$0.0081.1%0.0%69.7%44.7%0.0%0.0%0.0%-2.1K342.4K-1.6K3.49164.78N/AN/A1013522,082718
2020-03-23$8.22$0.0087.8%0.0%70.0%48.5%0.0%0.0%-73.8%-2.3K342.9K-2.4K20.00152.44N/AN/A5100619922
2020-03-24$8.90$0.0083.7%0.0%78.2%46.2%0.0%0.0%0.0%706798.8K-4220.00155.92N/AN/A09006241,022
2020-03-25$9.34$0.0059.5%0.0%81.3%32.5%0.0%0.0%0.0%-8.0K853.0K-4.8K1.38155.52N/AN/A1532116241,972
2020-03-26$9.52$0.0037.8%0.0%82.0%20.2%0.0%0.0%0.0%-5.2K565.2K-6.4K0.00155.53N/AN/A207752,080
2020-03-27$9.55$0.0040.7%0.0%82.0%21.9%0.0%0.0%0.0%-4.2K1.2M-2.5K0.00155.45N/AN/A007772,080
2020-03-30$9.69$0.0062.0%0.0%81.3%33.9%0.0%0.0%33.8%-6.8K687.6K-6.6K0.00152.62N/AN/A0507772,080
2020-03-31$9.85$0.0076.6%0.0%81.8%42.2%0.0%0.0%39.9%-8.1K687.2K-6.6K0.00152.57N/AN/A007772,030