FN Options History — February 2012

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

In February 2012, FN traded between $17.21 and $20.49. ATM implied volatility averaged 56.1%. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 8.8% (HV 20d: 47.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.75.

Notable Days

2012-02-27: Highest Volume — 158 contracts
2012-02-08: Largest IV spike — 33.1% change
2012-02-08: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.48	$17.21	$20.49	$17.21	$17.87
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	56.1%	50.7%	68.0%	58.9%	52.1%
Expected Move	15.9%	14.7%	17.8%	16.9%	15.0%
HV 20d	47.4%	29.8%	54.5%	36.5%	53.0%
HV 60d	44.9%	42.6%	46.6%	43.7%	44.9%
Term Structure	1.3%	-1.8%	2.6%	1.4%	0.9%
VWIV	51.8%	29.4%	58.9%	58.9%	51.1%
Skew 25d	3.3%	-7.2%	15.0%	6.5%	-3.6%
Skew 10d	4.9%	-11.0%	26.7%	-9.2%	-5.4%
Call IV 25d	51.9%	41.8%	64.0%	57.3%	49.8%
Put IV 25d	55.1%	45.9%	69.0%	63.8%	46.2%
Bid-Ask Spread %	51.39	27.92	110.69	57.47	54.51
Gamma HHI	0.32	0.29	0.41	0.31	0.39
Net GEX	2.0K	-546	4.6K	1.6K	3.4K
Net DEX	-97.6K	-207.0K	40.1K	-73.6K	-17.4K
Net VEX	-1.1K	-2.5K	-560	-560	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.00	2.76	0.00	0.01
Total Volume	52.85	0	158	1	0
Total OI	448	208	871	208	871

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
2012-02-01	$17.21	$0.00	58.9%	16.9%	36.5%	0.0%	58.9%	6.5%	1.4%	1.6K	-73.6K	-560	0.00	57.47	0	1	122	86
2012-02-02	$17.59	$17.50	58.8%	16.9%	31.3%	0.0%	0.0%	9.2%	2.2%	1.7K	-78.6K	-573	0.00	85.73	0	61	122	87
2012-02-03	$18.16	$17.50	62.4%	16.9%	29.8%	0.0%	58.2%	4.9%	1.5%	411	-49.1K	-772	0.00	110.69	6	0	122	147
2012-02-06	$17.82	$17.50	68.0%	17.6%	31.3%	0.0%	0.0%	15.0%	-0.7%	580	-48.0K	-749	1.07	67.39	55	59	128	147
2012-02-07	$19.07	$17.50	50.7%	15.7%	36.9%	0.0%	56.9%	6.7%	-0.0%	855	-149.5K	-846	0.10	66.53	50	5	183	205
2012-02-08	$20.49	$17.50	67.5%	17.8%	42.6%	0.0%	56.3%	5.5%	-1.8%	2.0K	-207.0K	-671	0.64	76.18	11	7	174	208
2012-02-09	$19.36	$17.50	54.6%	15.7%	49.4%	0.0%	0.0%	4.3%	1.5%	1.3K	-144.6K	-813	0.03	33.67	102	3	175	201
2012-02-10	$18.80	$17.50	54.7%	15.7%	51.1%	0.0%	0.0%	3.8%	0.6%	3.3K	-161.5K	-1.1K	0.00	37.05	8	0	270	198
2012-02-13	$19.00	$17.50	54.4%	15.6%	51.1%	0.0%	0.0%	5.2%	1.8%	4.1K	-191.5K	-1.0K	0.00	35.02	0	0	276	198
2012-02-14	$19.20	$17.50	54.9%	15.7%	51.1%	0.0%	0.0%	2.8%	1.4%	4.6K	-197.1K	-1.0K	0.00	42.50	0	0	268	198
2012-02-15	$18.81	$17.50	55.1%	15.8%	51.9%	0.0%	0.0%	4.1%	1.1%	3.5K	-174.0K	-953	1.00	39.68	10	10	268	198
2012-02-16	$18.05	$17.50	57.4%	16.5%	54.5%	0.0%	29.4%	8.5%	0.7%	-546	-104.4K	-961	0.15	30.87	115	17	259	208
2012-02-17	$18.11	$17.50	56.9%	16.3%	54.5%	0.0%	0.0%	4.7%	2.3%	1.8K	-124.5K	-962	0.00	53.96	0	0	265	203
2012-02-21	$18.16	$17.50	53.7%	15.4%	54.4%	0.0%	0.0%	-5.1%	2.4%	2.7K	-77.1K	-906	1.80	43.56	30	54	227	165
2012-02-22	$18.12	$17.50	53.6%	15.4%	53.7%	0.0%	0.0%	-7.2%	2.5%	2.0K	-45.1K	-1.2K	0.00	43.95	0	0	226	219
2012-02-23	$18.60	$17.50	52.6%	15.1%	54.1%	0.0%	52.3%	3.3%	2.0%	2.5K	-60.3K	-1.1K	1.40	44.82	60	84	226	219
2012-02-24	$18.37	$17.50	53.1%	15.2%	54.2%	0.0%	0.0%	-2.2%	2.6%	1.8K	-39.8K	-1.5K	0.00	45.18	0	0	286	299
2012-02-27	$18.52	$17.50	51.7%	14.8%	53.6%	0.0%	51.4%	0.7%	1.3%	2.1K	-48.6K	-1.5K	2.76	27.92	42	116	286	299
2012-02-28	$18.21	$17.50	51.3%	14.7%	52.3%	0.0%	51.1%	-1.8%	2.3%	-147	40.1K	-2.1K	0.01	31.03	150	1	306	415
2012-02-29	$17.87	$17.50	52.1%	15.0%	53.0%	0.0%	0.0%	-3.6%	0.9%	3.4K	-17.4K	-2.5K	0.00	54.51	0	0	456	415