FN Options History — October 2011

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

In October 2011, FN traded between $11.95 and $20.03. ATM implied volatility averaged 83.6%. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 10.0% (HV 20d: 73.6%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.26.

Notable Days

2011-10-26: Highest Volume — 925 contracts
2011-10-10: Largest IV spike — 152.0% change
2011-10-27: Largest Expected Move — 25.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.64	$11.95	$20.03	$17.52	$12.40
Max Pain	$18.24	$15.00	$20.00	$20.00	$15.00
ATM IV	83.6%	69.7%	175.5%	84.0%	87.2%
Expected Move	22.7%	20.0%	25.6%	24.1%	25.0%
HV 20d	73.6%	55.6%	110.7%	64.8%	108.7%
Term Structure	2.1%	-3.1%	24.2%	-2.2%	-1.6%
VWIV	72.1%	42.3%	94.7%	68.8%	74.1%
Skew 25d	11.8%	-10.1%	42.7%	9.8%	7.3%
Skew 10d	18.3%	-8.6%	52.9%	15.9%	22.3%
Call IV 25d	73.9%	57.1%	112.1%	77.7%	91.9%
Put IV 25d	85.6%	70.2%	128.4%	87.4%	99.2%
Bid-Ask Spread %	72.34	48.91	148.23	58.85	93.87
Gamma HHI	0.83	0.51	1.00	0.52	0.77
Net GEX	9.8K	-9	18.2K	-9	12.3K
Net DEX	-247.4K	-589.0K	-443	-443	-438.9K
Net VEX	-955	-2.6K	-30	-30	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.26	0.00	30.00	0.00	0.00
Total Volume	122.714	0	925	0	924
Total OI	589.905	7	1,604	7	1,604

Daily Data (21 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
2011-10-03	$17.52	$0.00	84.0%	24.1%	64.8%	0.0%	0.0%	9.8%	-2.2%	-9	-443	-30	0.00	58.85	0	0	3	4
2011-10-04	$18.77	$0.00	77.2%	22.1%	68.6%	0.0%	0.0%	7.2%	1.8%	-8	-895	-31	0.00	73.71	0	0	3	4
2011-10-05	$19.34	$0.00	78.2%	22.4%	68.5%	0.0%	0.0%	5.7%	-1.8%	-7	-1.3K	-32	0.00	70.26	0	0	3	4
2011-10-06	$19.71	$0.00	71.2%	20.4%	65.8%	0.0%	0.0%	3.7%	-0.4%	-6	-1.5K	-31	0.00	71.49	406	0	3	4
2011-10-07	$19.86	$20.00	69.7%	20.0%	64.8%	0.0%	68.8%	4.3%	2.9%	13.0K	-430.6K	-1.1K	0.00	48.91	128	0	409	4
2011-10-10	$20.03	$20.00	175.5%	23.8%	63.7%	0.0%	69.5%	16.2%	2.9%	18.2K	-589.0K	-1.4K	0.00	148.23	2	0	537	4
2011-10-11	$19.52	$20.00	70.6%	20.6%	64.8%	0.0%	0.0%	5.7%	0.3%	17.8K	-527.7K	-1.4K	0.00	51.76	0	0	539	4
2011-10-12	$18.75	$20.00	75.2%	21.3%	55.6%	0.0%	0.0%	8.2%	0.1%	17.3K	-434.0K	-1.3K	0.00	52.17	0	0	539	4
2011-10-13	$17.99	$20.00	74.5%	21.4%	57.5%	0.0%	0.0%	7.8%	1.2%	15.9K	-349.1K	-1.2K	0.00	54.55	0	0	539	4
2011-10-14	$18.18	$20.00	74.7%	21.4%	57.6%	0.0%	0.0%	8.6%	0.2%	16.7K	-361.4K	-1.2K	0.00	52.88	0	0	539	4
2011-10-17	$17.16	$20.00	74.5%	21.4%	61.0%	0.0%	0.0%	13.1%	1.5%	14.4K	-252.8K	-932	0.00	63.20	0	0	539	4
2011-10-18	$16.90	$20.00	74.8%	21.4%	59.7%	0.0%	0.0%	4.1%	1.0%	13.3K	-227.6K	-904	0.00	63.11	15	0	539	4
2011-10-19	$15.65	$20.00	80.2%	23.0%	64.7%	0.0%	0.0%	23.4%	-0.4%	9.2K	-125.5K	-652	0.00	70.15	0	0	554	4
2011-10-20	$15.64	$20.00	80.8%	23.2%	64.6%	0.0%	42.3%	24.6%	0.3%	9.2K	-123.7K	-647	0.00	69.78	2	0	554	4
2011-10-21	$16.09	$20.00	79.1%	22.7%	64.6%	0.0%	79.0%	24.8%	2.5%	10.4K	-146.5K	-681	0.00	74.92	0	31	553	4
2011-10-24	$15.79	$15.00	80.9%	23.2%	63.4%	0.0%	80.4%	20.2%	-3.1%	8.8K	-108.3K	-523	2.33	78.52	6	14	552	5
2011-10-25	$12.25	$15.00	87.6%	25.1%	103.8%	0.0%	62.2%	-5.4%	24.2%	1.4K	-8.8K	-162	0.25	107.31	52	13	558	15
2011-10-26	$11.95	$15.00	85.5%	24.5%	103.6%	0.0%	94.7%	42.7%	4.3%	1.2K	-19.9K	-249	0.00	70.06	921	4	610	10
2011-10-27	$13.05	$15.00	89.1%	25.6%	110.7%	0.0%	77.5%	25.4%	9.1%	14.4K	-536.1K	-2.6K	30.00	85.32	1	30	1,531	14
2011-10-28	$12.83	$15.00	84.9%	24.3%	109.9%	0.0%	0.0%	-10.1%	0.2%	13.2K	-512.5K	-2.6K	0.00	60.14	0	28	1,532	44
2011-10-31	$12.40	$15.00	87.2%	25.0%	108.7%	0.0%	74.1%	7.3%	-1.6%	12.3K	-438.9K	-2.4K	0.00	93.87	924	0	1,532	72