FN Options History — November 2011

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

In November 2011, FN traded between $12.10 and $14.33. ATM implied volatility averaged 86.2%. The 30-day expected move averaged 24.1%. IV traded below realized volatility by 15.4% (HV 20d: 101.5%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.38.

Notable Days

2011-11-08: Highest Volume — 2,190 contracts
2011-11-04: Largest IV spike — 99.0% change
2011-11-04: Largest Expected Move — 37.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.83	$12.10	$14.33	$12.10	$14.19
Max Pain	$13.33	$10.00	$15.00	$15.00	$15.00
ATM IV	86.2%	74.3%	159.6%	88.8%	77.8%
Expected Move	24.1%	21.9%	37.4%	25.5%	22.3%
HV 20d	101.5%	63.6%	119.5%	103.9%	63.6%
HV 60d	86.5%	82.1%	90.6%	90.6%	82.4%
Term Structure	-3.9%	-60.4%	4.7%	1.8%	0.4%
VWIV	75.7%	46.8%	90.7%	88.7%	74.5%
Skew 25d	12.6%	1.4%	26.5%	13.6%	18.5%
Skew 10d	16.9%	3.2%	39.4%	17.2%	19.1%
Call IV 25d	77.1%	58.0%	167.0%	76.3%	61.3%
Put IV 25d	89.6%	79.1%	189.0%	89.9%	79.8%
Bid-Ask Spread %	86.35	47.69	159.43	69.51	47.69
Gamma HHI	0.84	0.47	0.94	0.71	0.91
Net GEX	24.2K	7.9K	32.0K	7.9K	31.6K
Net DEX	-902.0K	-1.2M	-272.4K	-272.4K	-1.1M
Net VEX	-3.5K	-4.5K	-1.7K	-1.7K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.00	8.00	2.00	0.00
Total Volume	119.857	0	2,190	30	0
Total OI	1,870.476	1,327	2,951	1,328	1,806

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
2011-11-01	$12.10	$15.00	88.8%	25.5%	103.9%	0.0%	88.7%	13.6%	1.8%	7.9K	-272.4K	-1.7K	2.00	69.51	10	20	1,256	72
2011-11-02	$13.53	$12.50	92.6%	26.5%	112.9%	0.0%	90.7%	7.7%	-11.3%	10.5K	-412.1K	-2.1K	0.12	93.27	82	10	1,263	92
2011-11-03	$14.24	$12.50	80.2%	23.0%	114.9%	0.0%	76.7%	18.1%	-1.5%	12.2K	-494.1K	-2.1K	0.00	81.03	10	0	1,235	102
2011-11-04	$14.11	$10.00	159.6%	37.4%	114.6%	0.0%	0.0%	22.0%	-60.4%	14.9K	-610.5K	-2.5K	3.00	159.43	1	3	1,225	102
2011-11-07	$13.73	$10.00	94.6%	24.1%	114.2%	0.0%	0.0%	11.6%	-0.8%	10.1K	-420.7K	-1.9K	0.09	95.21	117	10	1,226	105
2011-11-08	$14.33	$10.00	74.3%	22.3%	116.3%	0.0%	46.8%	4.5%	2.0%	15.5K	-580.5K	-2.1K	0.01	97.14	2,163	27	1,336	111
2011-11-09	$13.40	$0.00	90.1%	24.2%	117.4%	0.0%	0.0%	10.2%	1.9%	26.9K	-1.1M	-4.3K	0.40	96.65	5	2	2,827	124
2011-11-10	$14.12	$0.00	76.6%	21.9%	119.5%	0.0%	0.0%	13.4%	4.7%	28.8K	-1.1M	-4.5K	0.00	84.64	0	3	2,106	126
2011-11-11	$14.03	$0.00	77.6%	22.2%	119.2%	0.0%	0.0%	8.1%	0.6%	29.6K	-1.2M	-4.5K	0.00	57.55	0	0	2,106	123
2011-11-14	$13.72	$0.00	85.0%	24.4%	118.1%	0.0%	0.0%	1.4%	2.5%	29.1K	-1.1M	-4.3K	0.00	78.22	0	0	2,106	123
2011-11-15	$14.08	$0.00	78.8%	22.6%	118.8%	0.0%	0.0%	5.7%	-1.3%	30.6K	-1.1M	-4.4K	8.00	86.17	1	8	2,106	123
2011-11-16	$14.22	$0.00	78.6%	22.5%	116.2%	0.0%	0.0%	11.2%	-0.0%	32.0K	-1.2M	-4.4K	0.00	88.46	0	3	2,106	124
2011-11-17	$14.03	$0.00	81.4%	23.3%	116.3%	0.0%	0.0%	7.1%	-3.5%	31.1K	-1.1M	-4.2K	0.00	90.83	0	10	2,106	121
2011-11-18	$14.00	$0.00	79.2%	22.7%	115.6%	0.0%	0.0%	26.5%	0.0%	27.1K	-1.1M	-4.2K	0.00	87.42	0	0	2,106	120
2011-11-21	$14.30	$0.00	76.8%	22.0%	115.9%	0.0%	76.7%	13.0%	1.5%	28.5K	-1.2M	-4.2K	0.19	88.14	16	3	1,690	90
2011-11-22	$13.94	$15.00	77.6%	22.3%	70.2%	0.0%	0.0%	25.1%	1.3%	28.4K	-1.1M	-4.1K	0.00	85.87	0	0	1,706	93
2011-11-23	$13.38	$15.00	87.1%	25.0%	71.4%	0.0%	74.5%	12.0%	-9.1%	27.1K	-923.8K	-3.9K	0.00	84.56	13	0	1,706	93
2011-11-25	$13.39	$15.00	88.0%	25.2%	64.4%	0.0%	0.0%	7.5%	-6.6%	27.1K	-884.3K	-3.8K	0.00	82.55	0	0	1,713	93
2011-11-28	$13.85	$15.00	78.9%	22.6%	65.0%	0.0%	0.0%	13.0%	-1.5%	29.9K	-1.0M	-3.8K	0.00	93.12	0	0	1,713	93
2011-11-29	$13.70	$15.00	86.1%	24.7%	63.7%	0.0%	0.0%	13.6%	-3.5%	29.6K	-979.4K	-3.7K	0.00	65.94	0	0	1,713	93
2011-11-30	$14.19	$15.00	77.8%	22.3%	63.6%	0.0%	0.0%	18.5%	0.4%	31.6K	-1.1M	-3.9K	0.00	47.69	0	0	1,713	93