FG Options History — September 2023

In September 2023, FG traded between $26.33 and $28.91. ATM implied volatility averaged 67.4%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 28.8% (HV 20d: 38.6%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.07.

Notable Days

  • 2023-09-20: Highest Volume — 25 contracts
  • 2023-09-21: Largest IV spike — 88.0% change
  • 2023-09-12: Highest IV Rank — 60.7%
  • 2023-09-01: Largest Expected Move — 28.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.78$26.33$28.91$27.77$28.17
Max Pain$22.00$20.00$30.00$30.00$22.50
ATM IV67.4%30.4%176.6%100.6%38.0%
Expected Move13.6%8.7%28.8%28.8%10.9%
HV 20d38.6%32.6%49.4%48.4%35.6%
HV 60d41.0%37.3%43.7%43.5%37.3%
IV Rank22.7%9.8%60.7%34.3%12.5%
IV Percentile53.4%7.1%98.8%95.2%25.4%
Term Structure2.4%-97.5%37.3%-97.5%-3.5%
VWIV53.6%39.5%66.7%39.5%66.7%
Skew 25d4.9%-56.5%38.4%-56.5%-7.6%
Skew 10d-11.6%-45.2%22.4%11.8%-35.9%
Call IV 25d47.7%30.6%113.1%113.1%52.1%
Put IV 25d52.5%28.4%73.8%56.7%44.5%
Bid-Ask Spread %120.29110.08130.69130.69119.40
Gamma HHI0.450.270.680.550.48
Net GEX6.3K1.5K14.2K7.0K8.6K
Net DEX-346.1K-448.1K-254.8K-412.2K-386.8K
Net VEX-975-1.2K-793-1.0K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.600.000.00
Total Volume3.8502500
Total OI454.7422467465467

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$27.77$30.00100.6%28.8%48.4%34.3%0.0%-56.5%-97.5%7.0K-412.2K-1.0K0.00130.69N/AN/A00248217
2023-09-05$27.02$20.0076.8%12.1%49.4%26.0%0.0%0.9%-2.5%4.5K-321.7K-1.1K0.00111.71N/AN/A20248217
2023-09-06$26.73$20.0076.9%13.3%48.8%26.0%0.0%2.4%-3.5%4.2K-305.2K-1.1K0.00110.42N/AN/A20250217
2023-09-07$26.33$20.0090.3%16.4%47.7%30.7%0.0%9.5%-12.5%2.5K-294.5K-9730.00120.78N/AN/A00249217
2023-09-08$26.95$20.0097.7%15.3%48.1%33.2%0.0%16.3%-10.1%3.1K-323.2K-9550.00114.64N/AN/A00249217
2023-09-11$27.56$20.00163.7%11.6%36.9%56.2%0.0%38.4%5.9%1.5K-362.0K-8120.00115.57N/AN/A00249217
2023-09-12$27.82$20.00176.6%12.1%35.1%60.7%39.5%22.7%-7.9%5.9K-372.9K-9470.00110.08N/AN/A30249217
2023-09-13$27.30$20.0065.6%18.8%34.0%22.1%0.0%36.3%-26.4%4.1K-325.1K-8690.00117.59N/AN/A00249217
2023-09-14$27.83$22.5044.7%12.8%34.7%14.8%0.0%16.0%22.9%4.8K-292.2K-8730.00120.11N/AN/A00226217
2023-09-15$28.02$22.5047.1%13.5%34.8%15.7%0.0%-10.4%19.0%4.7K-298.7K-8760.00120.01N/AN/A00226217
2023-09-18$28.52$22.5030.4%8.7%35.4%9.8%54.6%-2.2%33.0%10.0K-357.5K-7930.00119.56N/AN/A03205217
2023-09-19$27.97$22.5042.3%12.1%33.0%14.0%0.0%12.0%33.2%5.1K-308.1K-8850.00128.58N/AN/A01205217
2023-09-20$27.84$22.5046.3%13.3%32.6%15.4%0.0%16.5%26.6%5.4K-304.8K-8110.00128.44N/AN/A250205217
2023-09-21$27.11$22.5087.0%24.9%32.8%29.5%0.0%-5.4%-30.5%3.6K-254.8K-1.2K0.00125.07N/AN/A00230217
2023-09-22$28.75$22.5031.2%8.9%38.5%10.1%0.0%24.1%27.0%9.0K-380.3K-9890.00122.46N/AN/A200230217
2023-09-25$28.91$22.5031.1%8.9%36.6%10.1%0.0%-5.1%31.1%12.3K-423.9K-9950.00124.24N/AN/A70240217
2023-09-26$28.55$22.5032.4%9.3%36.9%10.5%66.7%-1.4%37.3%14.2K-448.1K-1.0K0.60125.61N/AN/A53247217
2023-09-27$28.60$22.5035.6%10.2%36.8%11.7%0.0%-15.0%5.5%9.3K-399.0K-1.1K0.00117.51N/AN/A60252214
2023-09-28$27.77$22.5034.8%10.0%36.7%11.4%0.0%5.8%0.9%7.1K-351.1K-1.1K0.00123.25N/AN/A00253214
2023-09-29$28.17$22.5038.0%10.9%35.6%12.5%0.0%-7.6%-3.5%8.6K-386.8K-1.1K0.00119.40N/AN/A00253214