FN Options History — January 2012

Name: FN Options Analytics - January 2012
Creator: Options Analysis Suite

In January 2012, FN traded between $14.21 and $17.41. ATM implied volatility averaged 62.9%. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 13.0% (HV 20d: 50.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.68.

Notable Days

2012-01-18: Highest Volume — 33 contracts
2012-01-31: Largest IV spike — 84.4% change
2012-01-31: Largest Expected Move — 32.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.11	$14.21	$17.41	$14.85	$16.47
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	62.9%	53.7%	113.6%	56.4%	113.6%
Expected Move	18.7%	15.4%	32.6%	16.2%	32.6%
HV 20d	50.0%	42.5%	53.4%	47.9%	43.4%
HV 60d	67.0%	44.0%	77.7%	76.7%	44.0%
Term Structure	-0.2%	-25.7%	10.8%	9.9%	-25.7%
VWIV	65.3%	65.3%	65.3%	65.3%	65.3%
Skew 25d	10.5%	-6.9%	23.5%	1.0%	2.2%
Skew 10d	15.7%	-9.7%	34.3%	2.5%	11.5%
Call IV 25d	56.1%	44.4%	79.9%	44.4%	79.9%
Put IV 25d	66.6%	43.3%	82.1%	45.4%	82.1%
Bid-Ask Spread %	89.39	42.02	157.31	57.28	157.31
Gamma HHI	0.61	0.28	0.90	0.87	0.28
Net GEX	43.2K	1.2K	97.9K	71.2K	1.4K
Net DEX	-1.2M	-2.6M	-56.0K	-1.1M	-62.9K
Net VEX	-1.2K	-2.5K	-469	-2.5K	-550
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.68	0.00	10.00	0.00	0.00
Total Volume	8.05	0	33	0	3
Total OI	1,298.5	169	1,897	1,893	205

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
2012-01-03	$14.85	$15.00	56.4%	16.2%	47.9%	0.0%	0.0%	1.0%	9.9%	71.2K	-1.1M	-2.5K	0.00	57.28	0	0	1,740	153
2012-01-04	$14.21	$15.00	56.4%	16.2%	50.6%	0.0%	0.0%	-6.9%	7.4%	62.1K	-775.7K	-2.2K	0.00	42.02	0	0	1,740	153
2012-01-05	$14.85	$15.00	53.7%	15.4%	52.8%	0.0%	65.3%	1.1%	10.8%	79.1K	-1.2M	-2.4K	0.00	51.97	0	18	1,740	153
2012-01-06	$14.81	$0.00	55.5%	18.6%	52.6%	0.0%	0.0%	7.7%	0.4%	78.3K	-1.1M	-2.3K	0.00	99.31	30	0	1,740	153
2012-01-09	$15.28	$0.00	58.6%	19.3%	53.0%	0.0%	0.0%	8.5%	0.1%	89.7K	-1.3M	-2.1K	0.00	77.19	0	0	1,740	153
2012-01-10	$15.64	$0.00	56.2%	19.9%	53.4%	0.0%	0.0%	18.3%	2.1%	88.8K	-1.7M	-1.9K	0.00	75.65	0	0	1,740	153
2012-01-11	$15.75	$0.00	54.0%	19.5%	52.8%	0.0%	0.0%	15.8%	-1.3%	97.9K	-1.8M	-1.8K	0.00	77.82	2	0	1,740	153
2012-01-12	$16.08	$0.00	65.8%	18.9%	53.0%	0.0%	0.0%	6.7%	0.2%	96.0K	-2.1M	-1.4K	0.00	50.39	2	0	1,742	153
2012-01-13	$16.18	$0.00	68.9%	19.7%	52.9%	0.0%	0.0%	20.6%	-2.4%	68.2K	-2.3M	-967	0.00	88.10	0	0	1,744	153
2012-01-17	$16.32	$0.00	65.3%	18.7%	52.9%	0.0%	0.0%	17.6%	-3.0%	37.8K	-2.4M	-596	0.00	91.43	0	0	1,744	153
2012-01-18	$16.67	$0.00	61.6%	17.7%	52.8%	0.0%	0.0%	5.0%	0.8%	27.7K	-2.6M	-533	10.00	51.53	3	30	1,744	153
2012-01-19	$16.75	$0.00	60.9%	17.4%	49.7%	0.0%	0.0%	5.8%	2.3%	24.3K	-2.6M	-512	0.00	131.38	0	10	1,741	138
2012-01-20	$16.71	$0.00	63.6%	18.2%	49.6%	0.0%	0.0%	19.9%	0.5%	33.2K	-2.5M	-552	1.43	113.61	7	10	1,741	148
2012-01-23	$16.65	$0.00	63.7%	18.3%	49.3%	0.0%	0.0%	23.2%	-3.2%	1.2K	-56.0K	-469	10.00	113.61	2	20	106	63
2012-01-24	$17.11	$0.00	60.3%	17.3%	48.7%	0.0%	0.0%	23.5%	2.0%	1.4K	-57.1K	-522	0.00	96.96	4	0	108	83
2012-01-25	$17.41	$0.00	60.4%	17.3%	48.4%	0.0%	0.0%	5.4%	0.6%	1.6K	-66.9K	-534	0.00	53.68	0	0	112	83
2012-01-26	$17.24	$0.00	57.7%	16.5%	48.7%	0.0%	0.0%	10.5%	4.2%	1.5K	-70.5K	-533	0.00	124.98	20	0	112	83
2012-01-27	$16.91	$0.00	64.8%	18.6%	42.5%	0.0%	0.0%	19.2%	-6.1%	1.6K	-75.8K	-569	0.00	107.30	0	0	122	83
2012-01-30	$16.35	$0.00	61.6%	17.7%	44.1%	0.0%	0.0%	4.3%	-3.9%	1.5K	-67.5K	-552	0.00	126.27	0	0	122	83
2012-01-31	$16.47	$0.00	113.6%	32.6%	43.4%	0.0%	0.0%	2.2%	-25.7%	1.4K	-62.9K	-550	0.00	157.31	0	3	122	83