FN Options History — September 2011

Name: FN Options Analytics - September 2011
Creator: Options Analysis Suite

In September 2011, FN traded between $15.68 and $20.51. ATM implied volatility averaged 109.5%. The 30-day expected move averaged 27.0%. IV traded above realized volatility by 51.4% (HV 20d: 58.1%). Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2011-09-09: Highest Volume — 5 contracts
2011-09-14: Largest IV spike — 144.1% change
2011-09-30: Largest Expected Move — 41.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.98	$15.68	$20.51	$15.94	$18.70
ATM IV	109.5%	73.2%	188.3%	79.6%	143.3%
Expected Move	27.0%	22.1%	41.1%	22.8%	41.1%
HV 20d	58.1%	56.4%	60.9%	56.5%	60.9%
Term Structure	-12.7%	-48.8%	18.7%	18.7%	-45.2%
Skew 25d	7.9%	6.0%	9.8%	9.8%	7.1%
Skew 10d	12.8%	-2.7%	18.1%	17.1%	12.4%
Call IV 25d	77.4%	76.7%	78.1%	77.3%	77.9%
Put IV 25d	85.3%	83.7%	87.1%	87.1%	85.0%
Bid-Ask Spread %	83.86	34.78	181.71	124.14	151.25
Gamma HHI	0.81	0.51	1.00	1.00	0.51
Net GEX	12	-7	42	0	-6
Net DEX	-963	-2.7K	459	0	-1.1K
Net VEX	-20	-33	0	0	-31
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.67	0.67	0.67	0.67
Total Volume	0.35	0	5	0	0
Total OI	4.35	0	7	0	7

Daily Data (20 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 Vol	Put Vol	Call OI	Put OI
2011-09-02	$15.94	$0.00	79.6%	22.8%	0.0%	0.0%	0.0%	0.0%	18.7%	0	0	0	0.00	124.14	0	0	0	0
2011-09-06	$16.18	$0.00	116.1%	29.1%	0.0%	0.0%	0.0%	0.0%	-20.0%	0	0	0	0.00	127.11	0	0	0	0
2011-09-07	$16.73	$0.00	78.2%	23.4%	0.0%	0.0%	0.0%	0.0%	-3.2%	0	0	0	0.00	51.82	0	0	0	0
2011-09-08	$16.01	$0.00	188.3%	25.3%	0.0%	0.0%	0.0%	0.0%	-6.5%	0	0	0	0.00	57.20	0	0	0	0
2011-09-09	$15.68	$0.00	187.9%	25.7%	0.0%	0.0%	0.0%	0.0%	-4.9%	0	0	0	0.67	64.23	3	2	0	0
2011-09-12	$16.38	$0.00	96.9%	23.7%	0.0%	0.0%	0.0%	0.0%	-2.7%	13	-814	-23	0.00	56.15	0	0	3	2
2011-09-13	$16.32	$0.00	73.2%	23.8%	0.0%	0.0%	0.0%	0.0%	-2.8%	19	-421	-22	0.00	60.09	0	0	3	2
2011-09-14	$18.17	$0.00	178.7%	23.7%	0.0%	0.0%	0.0%	0.0%	-15.6%	32	459	-21	0.00	52.19	0	0	3	2
2011-09-15	$18.40	$0.00	82.2%	23.6%	0.0%	0.0%	0.0%	0.0%	-2.0%	42	-1.2K	-25	0.00	55.34	0	0	3	2
2011-09-16	$18.38	$0.00	82.9%	23.8%	0.0%	0.0%	0.0%	0.0%	-1.7%	16	-1.6K	-26	0.00	56.58	0	0	3	2
2011-09-19	$18.16	$0.00	82.2%	23.6%	0.0%	0.0%	0.0%	9.8%	1.2%	39	-1.0K	-25	0.00	36.03	0	0	3	2
2011-09-20	$18.76	$0.00	78.1%	22.4%	0.0%	0.0%	0.0%	8.4%	1.6%	17	-1.9K	-26	0.00	38.27	0	0	3	2
2011-09-21	$18.84	$0.00	77.2%	22.1%	0.0%	0.0%	0.0%	9.2%	2.3%	16	-2.0K	-26	0.00	34.78	0	0	3	2
2011-09-22	$18.47	$0.00	83.0%	23.8%	0.0%	0.0%	0.0%	8.9%	-0.5%	17	-1.8K	-26	0.00	36.60	0	2	3	2
2011-09-23	$19.00	$0.00	79.0%	22.6%	0.0%	0.0%	0.0%	8.6%	0.8%	-7	-1.0K	-33	0.00	38.23	0	0	3	4
2011-09-26	$19.52	$0.00	118.2%	33.9%	56.5%	0.0%	0.0%	7.5%	-44.3%	16	-1.4K	-26	0.00	181.71	0	0	3	4
2011-09-27	$20.51	$0.00	117.5%	33.7%	56.4%	0.0%	0.0%	6.8%	-32.0%	33	-2.7K	-27	0.00	169.91	0	0	3	4
2011-09-28	$19.63	$0.00	122.7%	35.2%	59.2%	0.0%	0.0%	6.7%	-48.6%	-6	-1.4K	-33	0.00	140.94	0	0	3	4
2011-09-29	$19.75	$0.00	125.0%	35.8%	57.5%	0.0%	0.0%	6.0%	-48.8%	-6	-1.4K	-32	0.00	144.68	0	0	3	4
2011-09-30	$18.70	$0.00	143.3%	41.1%	60.9%	0.0%	0.0%	7.1%	-45.2%	-6	-1.1K	-31	0.00	151.25	0	0	3	4