FN Options History — December 2011

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

In December 2011, FN traded between $13.33 and $15.03. ATM implied volatility averaged 69.2%. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 33.0% (HV 20d: 36.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.08.

Notable Days

2011-12-22: Highest Volume — 253 contracts
2011-12-19: Largest IV spike — 65.3% change
2011-12-19: Largest Expected Move — 31.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.07	$13.33	$15.03	$14.16	$13.68
Max Pain	$13.33	$12.50	$15.00	$15.00	$15.00
ATM IV	69.2%	52.2%	108.1%	74.0%	61.1%
Expected Move	20.4%	15.0%	31.0%	21.2%	17.5%
HV 20d	36.2%	29.2%	50.4%	50.4%	37.6%
HV 60d	78.1%	74.7%	82.1%	82.1%	74.7%
Term Structure	-2.2%	-75.3%	18.5%	2.9%	8.9%
VWIV	64.2%	55.6%	73.5%	73.5%	57.2%
Skew 25d	8.5%	-12.5%	22.6%	22.6%	6.0%
Skew 10d	18.3%	-60.1%	42.5%	30.7%	11.7%
Call IV 25d	63.2%	47.1%	73.2%	63.6%	55.3%
Put IV 25d	71.6%	44.8%	86.2%	86.2%	61.4%
Bid-Ask Spread %	72.84	32.72	119.49	85.32	35.80
Gamma HHI	0.84	0.81	0.92	0.92	0.88
Net GEX	43.1K	33.4K	64.5K	33.4K	49.4K
Net DEX	-920.6K	-1.2M	-563.7K	-1.1M	-563.7K
Net VEX	-3.2K	-4.1K	-2.2K	-3.8K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.48	0.48	0.00
Total Volume	32.571	0	253	181	11
Total OI	1,948.905	1,806	2,002	1,806	1,882

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
2011-12-01	$14.16	$15.00	74.0%	21.2%	50.4%	0.0%	73.5%	22.6%	2.9%	33.4K	-1.1M	-3.8K	0.48	85.32	122	59	1,713	93
2011-12-02	$14.24	$15.00	70.1%	20.1%	47.1%	0.0%	0.0%	16.2%	3.9%	34.3K	-1.1M	-4.1K	0.00	56.36	4	0	1,835	152
2011-12-05	$14.13	$12.50	77.3%	21.5%	47.0%	0.0%	0.0%	7.5%	-1.1%	34.1K	-1.1M	-3.9K	0.00	47.80	0	0	1,839	152
2011-12-06	$14.30	$12.50	69.6%	21.4%	46.1%	0.0%	70.8%	8.8%	-0.6%	35.4K	-1.1M	-3.9K	0.00	61.35	11	0	1,839	152
2011-12-07	$14.15	$12.50	70.2%	21.2%	43.6%	0.0%	0.0%	4.4%	4.3%	35.1K	-1.0M	-3.8K	0.00	73.41	0	0	1,850	152
2011-12-08	$13.89	$12.50	71.7%	21.5%	36.7%	0.0%	0.0%	7.1%	-0.4%	34.6K	-951.7K	-3.7K	0.00	50.47	0	0	1,850	152
2011-12-09	$13.97	$12.50	61.8%	21.1%	31.5%	0.0%	0.0%	10.7%	0.3%	36.2K	-961.3K	-3.7K	0.00	47.45	0	0	1,850	152
2011-12-12	$13.77	$12.50	71.8%	21.3%	31.8%	0.0%	0.0%	6.6%	0.0%	35.8K	-850.8K	-3.4K	0.00	50.39	0	0	1,850	152
2011-12-13	$13.76	$12.50	71.2%	21.2%	30.8%	0.0%	0.0%	7.3%	0.5%	35.6K	-876.4K	-3.4K	0.00	51.65	0	0	1,850	152
2011-12-14	$13.76	$12.50	57.9%	21.3%	29.3%	0.0%	0.0%	7.8%	-0.1%	36.7K	-809.9K	-3.3K	0.00	59.79	0	0	1,850	152
2011-12-15	$13.95	$12.50	73.2%	21.0%	29.5%	0.0%	0.0%	7.8%	1.4%	39.5K	-895.0K	-3.3K	0.00	55.28	0	0	1,850	152
2011-12-16	$13.85	$12.50	65.4%	18.7%	29.2%	0.0%	65.0%	18.2%	10.1%	42.7K	-804.4K	-3.2K	0.00	86.59	34	0	1,850	152
2011-12-19	$13.33	$12.50	108.1%	31.0%	32.2%	0.0%	66.8%	-4.7%	-75.3%	42.0K	-610.3K	-2.6K	0.15	116.55	130	20	1,824	93
2011-12-20	$13.71	$12.50	107.5%	30.8%	32.9%	0.0%	0.0%	13.8%	-70.9%	44.1K	-800.3K	-3.0K	0.00	115.45	0	0	1,837	113
2011-12-21	$14.09	$12.50	66.7%	19.1%	33.3%	0.0%	66.6%	14.8%	3.2%	45.4K	-876.8K	-2.9K	0.00	117.14	1	0	1,837	113
2011-12-22	$14.63	$12.50	57.6%	16.5%	31.9%	0.0%	57.8%	4.6%	14.1%	59.5K	-1.1M	-3.2K	0.19	64.78	213	40	1,836	113
2011-12-23	$15.00	$15.00	55.6%	15.9%	32.7%	0.0%	55.6%	1.8%	11.5%	58.1K	-1.2M	-3.1K	0.00	119.49	12	0	1,706	153
2011-12-27	$15.03	$15.00	54.2%	15.5%	31.0%	0.0%	0.0%	-12.5%	13.2%	64.5K	-1.2M	-2.9K	0.00	96.98	0	0	1,718	153
2011-12-28	$14.11	$15.00	52.2%	15.0%	38.9%	0.0%	0.0%	20.3%	18.5%	58.0K	-800.7K	-2.5K	0.00	104.82	16	0	1,718	153
2011-12-29	$13.86	$15.00	56.5%	16.2%	37.3%	0.0%	57.2%	8.8%	10.4%	50.9K	-616.8K	-2.3K	0.00	32.72	11	0	1,734	153
2011-12-30	$13.68	$15.00	61.1%	17.5%	37.6%	0.0%	0.0%	6.0%	8.9%	49.4K	-563.7K	-2.2K	0.00	35.80	11	0	1,729	153