FN Options History — March 2012 In March 2012, FN traded between $15.89 and $19.42. ATM implied volatility averaged 48.1%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 7.2% (HV 20d: 55.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2012-03-07 : Highest Volume — 76 contracts2012-03-28 : Largest IV spike — 45.7% change2012-03-19 : Highest IV Rank — 11.7%2012-03-06 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $17.96 $15.89 $19.42 $18.60 $17.71 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 48.1% 34.8% 55.8% 51.5% 48.5% Expected Move 14.4% 10.1% 16.0% 14.8% 13.9% HV 20d 55.2% 48.0% 62.2% 52.6% 58.9% HV 60d 50.7% 45.5% 52.9% 45.5% 49.5% IV Rank 6.0% 0.0% 11.7% 4.4% 8.9% IV Percentile 5.3% 0.0% 17.5% 17.5% 4.2% Term Structure 2.2% -0.3% 10.7% 2.5% 2.4% VWIV 47.2% 38.9% 56.0% 56.0% 41.1% Skew 25d 7.3% -2.8% 24.4% 2.6% 24.4% Skew 10d 16.4% -1.7% 36.7% 4.3% 36.7% Call IV 25d 45.9% 32.6% 52.6% 48.2% 32.6% Put IV 25d 53.2% 37.8% 59.6% 50.8% 57.0% Bid-Ask Spread % 57.45 26.16 111.34 28.83 93.93 Gamma HHI 0.39 0.37 0.43 0.39 0.39 Net GEX 2.7K -2.0K 11.0K 5.7K -1.4K Net DEX 11.8K -155.7K 193.7K -106.8K 79.5K Net VEX -2.2K -2.6K -1.7K -2.6K -1.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 7.227 0 76 0 10 Total OI 919.909 871 958 871 924
Daily Data (22 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 2012-03-01 $18.60 $17.50 51.5% 14.8% 52.6% 0.0% 0.0% 2.6% 2.5% 5.7K -106.8K -2.6K 0.00 28.83 0 0 456 415 2012-03-02 $17.87 $17.50 49.6% 14.2% 54.4% 0.0% 0.0% 7.7% 3.3% 3.2K -12.5K -2.4K 0.00 42.30 0 0 456 415 2012-03-05 $17.21 $17.50 50.8% 15.1% 54.7% 0.0% 0.0% 3.3% 0.2% 1.1K 65.8K -2.3K 0.00 47.95 0 0 456 415 2012-03-06 $15.89 $17.50 55.8% 16.0% 61.0% 4.4% 0.0% 3.8% 1.0% -1.6K 193.7K -1.9K 0.00 32.25 0 3 456 415 2012-03-07 $16.11 $17.50 52.6% 15.9% 55.1% 2.2% 56.0% 5.3% 0.6% -1.6K 191.7K -1.9K 0.00 37.16 0 76 456 417 2012-03-08 $16.49 $17.50 48.7% 15.0% 48.0% 0.0% 0.0% 1.2% 1.1% -2.0K 183.3K -2.3K 0.00 39.52 0 10 456 492 2012-03-09 $17.27 $17.50 48.5% 15.0% 48.8% 0.0% 0.0% 2.8% 0.9% -279 99.9K -2.4K 0.00 49.90 3 0 456 502 2012-03-12 $17.88 $17.50 48.1% 15.3% 50.0% 0.0% 0.0% 7.6% 0.2% 1.2K 31.3K -2.5K 0.00 36.53 0 0 456 502 2012-03-13 $18.82 $17.50 34.8% 14.6% 53.4% 0.0% 0.0% 5.6% 0.3% 5.9K -98.9K -2.6K 0.00 26.16 0 0 456 502 2012-03-14 $18.53 $17.50 37.1% 15.2% 53.5% 1.5% 0.0% 5.3% 0.8% 4.8K -59.2K -2.5K 0.00 28.89 0 0 456 502 2012-03-15 $19.24 $17.50 51.1% 14.7% 54.7% 10.7% 0.0% 4.3% -0.2% 8.4K -155.7K -2.5K 0.00 32.26 0 0 456 502 2012-03-16 $18.64 $17.50 52.7% 15.1% 53.9% 11.7% 0.0% 5.3% 1.4% 5.3K -66.3K -2.5K 0.00 36.16 0 0 456 502 2012-03-19 $18.68 $17.50 52.7% 15.1% 53.8% 11.7% 52.4% 4.2% -0.3% 5.7K -71.9K -2.4K 0.00 36.02 0 10 443 486 2012-03-20 $18.11 $17.50 52.3% 15.0% 55.1% 11.4% 0.0% 5.2% 0.4% 3.2K 7.7K -2.3K 0.00 44.83 0 0 443 486 2012-03-21 $18.09 $17.50 47.8% 13.7% 55.1% 8.5% 38.9% 14.6% 3.6% 2.9K 15.4K -2.3K 0.00 73.22 27 0 443 486 2012-03-22 $17.84 $17.50 49.6% 14.2% 54.4% 9.7% 47.8% 13.5% 3.0% -159 58.8K -2.1K 0.00 76.64 0 3 424 486 2012-03-23 $18.40 $17.50 49.5% 14.2% 55.4% 9.6% 0.0% 14.1% 0.4% 3.5K 4.0K -2.2K 0.00 91.25 0 0 424 483 2012-03-26 $19.42 $17.50 38.7% 11.1% 58.6% 2.6% 41.1% 8.6% 7.5% 11.0K -135.6K -2.1K 0.00 105.52 6 0 424 483 2012-03-27 $18.52 $17.50 35.1% 10.1% 60.9% 0.2% 0.0% -2.8% 10.7% 4.5K -45.0K -1.9K 0.00 111.34 0 0 430 483 2012-03-28 $17.80 $17.50 51.1% 14.6% 62.2% 10.6% 0.0% 11.7% 3.1% 877 29.4K -1.7K 0.00 94.43 0 11 430 483 2012-03-29 $17.91 $17.50 50.7% 14.6% 60.5% 10.4% 0.0% 11.5% 6.2% -59 51.3K -1.9K 0.00 98.83 0 0 430 494 2012-03-30 $17.71 $17.50 48.5% 13.9% 58.9% 8.9% 0.0% 24.4% 2.4% -1.4K 79.5K -1.9K 0.00 93.93 10 0 430 494
« Feb 2012 | All History | Apr 2012 » Home FN History March 2012