FN Options History — April 2012

In April 2012, FN traded between $15.29 and $18.07. ATM implied volatility averaged 52.4%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 6.5% (HV 20d: 45.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.28.

Notable Days

2012-04-13: Highest Volume — 56 contracts
2012-04-10: Largest IV spike — 15.2% change
2012-04-23: Highest IV Rank — 16.7%
2012-04-23: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.58	$15.29	$18.07	$18.07	$16.82
Max Pain	$15.53	$15.00	$17.50	$17.50	$15.00
ATM IV	52.4%	40.7%	60.5%	48.8%	54.8%
Expected Move	15.4%	12.8%	17.3%	14.0%	15.7%
HV 20d	45.8%	41.2%	57.6%	57.6%	42.9%
HV 60d	50.5%	48.9%	52.7%	48.9%	51.7%
IV Rank	11.4%	3.9%	16.7%	9.1%	13.0%
IV Percentile	20.5%	2.7%	43.4%	6.2%	29.9%
Term Structure	1.0%	-4.0%	6.4%	4.6%	-1.3%
VWIV	57.8%	50.9%	61.9%	61.9%	50.9%
Skew 25d	12.0%	-0.5%	20.2%	20.2%	11.5%
Skew 10d	13.9%	5.0%	29.1%	28.4%	18.4%
Call IV 25d	45.5%	37.9%	51.9%	37.9%	50.1%
Put IV 25d	57.5%	44.5%	61.6%	58.1%	61.6%
Bid-Ask Spread %	100.11	85.99	109.27	103.69	105.61
Gamma HHI	0.35	0.19	0.55	0.39	0.24
Net GEX	-5.6K	-13.4K	-399	-399	-4.1K
Net DEX	173.8K	55.0K	292.5K	55.0K	71.2K
Net VEX	-2.1K	-2.3K	-1.9K	-1.9K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.00	1.43	0.00	0.00
Total Volume	14.7	0	56	10	0
Total OI	926.05	617	1,131	934	683

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
2012-04-02	$18.07	$17.50	48.8%	14.0%	57.6%	9.1%	0.0%	20.2%	4.6%	-399	55.0K	-1.9K	0.00	103.69	10	0	440	494
2012-04-03	$17.78	$17.50	48.2%	13.8%	49.4%	8.7%	0.0%	19.0%	4.6%	-2.3K	85.6K	-1.9K	0.50	102.83	20	10	450	494
2012-04-04	$17.30	$17.50	48.1%	13.8%	50.7%	8.7%	0.0%	17.6%	3.9%	-5.5K	131.4K	-2.0K	0.33	104.49	30	10	470	504
2012-04-05	$16.78	$17.50	44.7%	12.8%	51.5%	6.5%	0.0%	12.6%	6.4%	-7.3K	185.3K	-2.1K	1.43	109.27	7	10	500	514
2012-04-09	$16.78	$0.00	40.7%	15.3%	48.6%	3.9%	61.9%	10.9%	-0.9%	-8.5K	216.9K	-2.1K	0.00	85.99	0	3	502	524
2012-04-10	$16.29	$15.00	46.9%	15.9%	47.6%	7.9%	56.5%	15.3%	-4.0%	-7.4K	231.1K	-2.0K	0.00	88.52	5	0	502	527
2012-04-11	$16.64	$15.00	47.1%	15.4%	44.0%	8.1%	0.0%	18.7%	0.1%	-8.4K	204.2K	-2.0K	0.00	92.46	0	0	507	527
2012-04-12	$16.77	$15.00	51.8%	14.9%	44.1%	11.1%	0.0%	19.1%	1.5%	-11.0K	217.1K	-2.0K	0.00	94.96	26	0	507	527
2012-04-13	$16.47	$15.00	52.9%	15.2%	41.3%	11.8%	0.0%	15.8%	2.2%	-9.2K	234.8K	-2.0K	0.00	96.11	0	56	533	527
2012-04-16	$15.98	$15.00	59.1%	16.9%	41.2%	15.8%	0.0%	5.8%	-1.0%	-7.0K	286.3K	-2.1K	0.00	92.44	21	0	533	582
2012-04-17	$16.73	$15.00	50.5%	14.5%	45.3%	10.2%	0.0%	15.2%	1.9%	-13.4K	256.8K	-2.3K	0.00	95.68	0	0	549	582
2012-04-18	$16.32	$15.00	52.5%	15.1%	44.9%	11.6%	0.0%	-0.5%	2.0%	-9.7K	253.0K	-2.2K	0.00	106.23	0	0	549	582
2012-04-19	$15.99	$15.00	60.4%	17.3%	45.2%	16.7%	60.3%	8.3%	-3.5%	-4.9K	292.5K	-2.1K	0.00	101.04	0	20	549	582
2012-04-20	$16.12	$15.00	58.5%	16.8%	45.4%	15.4%	0.0%	7.9%	-1.5%	-2.0K	264.5K	-2.1K	0.00	101.83	0	0	549	567
2012-04-23	$15.29	$15.00	60.5%	17.3%	46.3%	16.7%	0.0%	13.9%	-0.5%	-1.5K	114.7K	-2.1K	0.00	104.96	0	0	215	402
2012-04-24	$15.73	$15.00	59.0%	16.9%	42.4%	15.8%	59.4%	4.7%	0.3%	-1.2K	102.9K	-2.1K	0.00	103.61	0	10	215	402
2012-04-25	$16.15	$15.00	59.6%	17.1%	42.0%	16.2%	0.0%	9.3%	1.9%	-1.4K	99.4K	-2.2K	0.00	101.10	0	0	215	412
2012-04-26	$16.80	$15.00	52.7%	15.1%	43.1%	11.7%	50.9%	5.5%	0.9%	-1.5K	96.0K	-2.1K	0.00	104.57	0	50	215	412
2012-04-27	$16.79	$15.00	50.3%	14.4%	43.0%	10.1%	0.0%	9.6%	2.6%	-4.2K	78.1K	-2.1K	0.00	106.75	6	0	215	462
2012-04-30	$16.82	$15.00	54.8%	15.7%	42.9%	13.0%	0.0%	11.5%	-1.3%	-4.1K	71.2K	-2.1K	0.00	105.61	0	0	221	462