FN Options History — May 2012

In May 2012, FN traded between $10.50 and $16.12. ATM implied volatility averaged 56.6%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 5.5% (HV 20d: 62.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2012-05-04: Highest Volume — 80 contracts
  • 2012-05-09: Largest IV spike — 57.9% change
  • 2012-05-04: Highest IV Rank — 23.7%
  • 2012-05-02: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.78$10.50$16.12$16.12$11.66
Max Pain$13.75$12.50$15.00$15.00$12.50
ATM IV56.6%38.8%71.1%49.4%56.2%
Expected Move16.1%14.2%17.6%14.2%16.1%
HV 20d62.1%44.2%80.1%44.3%79.5%
HV 60d55.1%46.6%62.1%51.9%60.3%
IV Rank14.2%2.6%23.7%9.5%13.9%
IV Percentile34.4%2.4%58.9%9.7%33.9%
Term Structure0.1%-8.2%18.7%18.7%2.9%
VWIV46.6%39.3%53.8%53.8%39.3%
Skew 25d2.9%-9.5%17.6%0.1%-6.0%
Skew 10d5.6%-8.9%24.1%9.3%-6.8%
Call IV 25d50.3%39.4%56.5%56.5%55.5%
Put IV 25d53.2%42.3%61.3%56.6%49.5%
Bid-Ask Spread %101.4788.40110.82104.09103.75
Gamma HHI0.310.180.420.280.40
Net GEX-2.8K-4.5K-87-3.3K-3.6K
Net DEX262.6K88.3K385.6K88.3K291.3K
Net VEX-1.6K-2.2K-910-2.1K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.500.000.00
Total Volume24.682080100
Total OI846.273683922683879

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$16.12$15.0049.4%14.2%44.3%9.5%0.0%0.1%18.7%-3.3K88.3K-2.1K0.00104.09100221462
2012-05-02$15.90$15.0061.4%17.6%44.2%17.3%0.0%17.6%-1.4%-4.3K123.4K-2.2K0.00108.3400231462
2012-05-03$15.46$15.0057.8%16.6%44.3%15.0%0.0%12.1%-8.2%-4.5K132.8K-2.1K0.00110.82600231462
2012-05-04$15.01$15.0071.1%16.8%44.2%23.7%0.0%6.2%-3.8%-2.8K129.9K-2.1K1.0091.594040291462
2012-05-07$15.00$15.0060.5%16.7%44.2%16.8%0.0%8.4%-6.1%-4.0K154.1K-2.1K0.0092.49650331502
2012-05-08$13.78$15.0038.8%15.2%51.8%2.6%0.0%7.0%-5.5%-1.7K231.4K-2.1K0.0098.33030396502
2012-05-09$13.74$15.0061.2%15.8%50.7%17.2%0.0%6.4%-3.1%-1.2K238.8K-2.1K0.0099.8100396495
2012-05-10$12.83$15.0057.3%16.4%54.3%14.7%0.0%2.4%-3.8%-456266.4K-1.9K1.5097.062030396495
2012-05-11$12.94$15.0056.5%16.2%54.9%14.2%0.0%17.1%-2.1%-87236.1K-1.9K0.00103.89160400465
2012-05-14$12.51$15.0057.5%16.5%55.0%14.8%0.0%14.1%-1.5%-1.6K339.2K-1.4K0.0093.36010416465
2012-05-15$13.09$15.0053.1%15.2%55.0%11.9%53.8%5.6%3.4%-1.1K320.3K-1.5K0.0088.40080416455
2012-05-16$11.69$12.5054.7%15.7%65.5%13.0%0.0%-4.1%0.8%-3.2K352.8K-1.3K0.00103.44160416482
2012-05-17$10.75$12.5058.7%16.8%69.8%15.6%0.0%15.0%0.2%-3.1K374.9K-9830.00102.19026432482
2012-05-18$10.50$12.5059.7%17.1%69.0%16.2%0.0%13.5%3.3%-3.0K385.6K-9100.0099.4900432490
2012-05-21$11.60$12.5060.0%17.2%80.1%16.4%0.0%-9.2%-0.8%-3.1K302.9K-1.3K0.61101.293119372442
2012-05-22$11.76$12.5058.8%16.9%79.2%15.6%0.0%-4.9%-0.2%-3.0K282.9K-1.4K0.00100.35025403461
2012-05-23$11.46$12.5056.9%16.3%77.8%14.4%0.0%-9.5%1.4%-3.3K302.2K-1.3K0.00104.0400403466
2012-05-24$11.39$12.5053.9%15.4%75.1%12.4%0.0%-8.7%4.8%-3.4K306.3K-1.3K0.00106.65100403466
2012-05-25$11.44$12.5052.4%15.0%75.2%11.4%0.0%-7.6%3.6%-3.4K304.8K-1.3K0.00106.7800413466
2012-05-29$11.55$12.5056.0%16.1%75.6%13.8%0.0%-7.8%2.8%-3.5K300.9K-1.3K0.00106.6100413466
2012-05-30$11.08$12.5052.7%15.1%75.5%11.7%39.3%-3.4%-4.0%-3.3K312.6K-1.1K0.00109.47015413466
2012-05-31$11.66$12.5056.2%16.1%79.5%13.9%0.0%-6.0%2.9%-3.6K291.3K-1.3K0.00103.7500413466