FN Options History — June 2012 In June 2012, FN traded between $11.03 and $12.80. ATM implied volatility averaged 54.0%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 14.7% (HV 20d: 68.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-06-11 : Highest Volume — 59 contracts2012-06-13 : Largest IV spike — 34.4% change2012-06-13 : Highest IV Rank — 21.0%2012-06-04 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $11.97 $11.03 $12.80 $11.09 $12.55 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 54.0% 47.6% 67.0% 47.6% 49.4% Expected Move 16.0% 13.7% 18.0% 13.7% 14.1% HV 20d 68.7% 54.2% 84.5% 80.3% 59.0% HV 60d 61.2% 60.4% 63.7% 60.9% 63.7% IV Rank 12.5% 8.4% 21.0% 8.4% 9.5% IV Percentile 26.7% 4.8% 60.0% 4.8% 8.7% Term Structure 2.6% -4.4% 12.3% 12.3% 7.1% VWIV 55.4% 34.4% 71.6% 34.4% 56.2% Skew 25d 10.4% -5.0% 31.2% -1.4% 3.9% Skew 10d 15.1% -2.8% 35.3% -0.7% 5.8% Call IV 25d 46.6% 36.8% 56.2% 46.9% 44.5% Put IV 25d 57.1% 43.0% 68.7% 45.6% 48.4% Bid-Ask Spread % 95.37 86.00 110.48 110.48 98.21 Gamma HHI 0.39 0.27 0.60 0.33 0.35 Net GEX -4.2K -7.2K -3.1K -3.3K -3.1K Net DEX 295.9K 248.5K 350.7K 316.4K 274.5K Net VEX -1.2K -1.4K -986 -1.2K -1.2K 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 6.81 0 59 0 0 Total OI 865.095 818 944 879 818
Daily Data (21 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 2012-06-01 $11.09 $12.50 47.6% 13.7% 80.3% 8.4% 0.0% -1.4% 12.3% -3.3K 316.4K -1.2K 0.00 110.48 0 0 413 466 2012-06-04 $11.03 $12.50 50.5% 18.0% 80.3% 10.2% 0.0% 7.2% 2.9% -3.3K 324.3K -1.1K 0.00 87.06 0 0 413 466 2012-06-05 $11.71 $12.50 51.2% 16.8% 84.5% 10.7% 0.0% 15.1% 3.7% -3.8K 294.1K -1.3K 0.00 90.11 0 0 413 466 2012-06-06 $12.32 $12.50 55.0% 16.9% 82.8% 13.2% 0.0% 20.1% 2.4% -4.4K 282.2K -1.3K 0.00 94.51 0 0 413 466 2012-06-07 $12.61 $12.50 55.3% 16.7% 83.4% 13.4% 34.4% 12.3% 1.7% -4.3K 257.5K -1.4K 0.00 98.85 10 0 413 466 2012-06-08 $12.80 $12.50 53.0% 16.7% 80.1% 11.9% 58.6% -1.3% 2.0% -4.6K 248.5K -1.4K 0.00 93.35 0 10 423 466 2012-06-11 $12.56 $12.50 56.5% 16.9% 80.3% 14.1% 56.3% -1.6% -2.2% -5.4K 261.6K -1.4K 0.00 92.15 0 59 423 472 2012-06-12 $11.99 $12.50 49.8% 16.6% 81.1% 9.8% 0.0% 17.0% 2.5% -6.8K 331.1K -1.4K 0.00 94.77 0 0 423 521 2012-06-13 $11.56 $12.50 67.0% 17.2% 79.9% 21.0% 0.0% 11.9% -0.3% -5.1K 349.4K -1.2K 0.00 92.71 0 0 423 521 2012-06-14 $11.73 $12.50 55.0% 15.8% 69.4% 13.1% 71.6% 21.0% 3.8% -5.7K 350.7K -1.2K 0.00 86.66 0 44 423 521 2012-06-15 $12.42 $12.50 59.3% 17.0% 64.7% 16.0% 0.0% 31.2% -4.4% -7.2K 289.7K -1.4K 0.00 92.44 0 0 423 487 2012-06-18 $12.22 $12.50 57.7% 16.5% 64.3% 14.9% 0.0% 25.9% 2.2% -3.1K 274.7K -1.3K 0.00 89.26 0 0 373 456 2012-06-19 $12.40 $12.50 53.3% 15.3% 54.5% 12.1% 0.0% 23.8% 2.5% -3.4K 278.9K -1.3K 0.00 93.02 0 0 373 456 2012-06-20 $12.17 $12.50 54.6% 15.7% 54.9% 12.9% 0.0% -1.7% 1.7% -3.5K 286.8K -1.2K 0.00 99.27 0 0 373 456 2012-06-21 $11.71 $12.50 55.3% 15.8% 55.9% 13.3% 0.0% 11.6% -0.1% -3.5K 297.5K -1.2K 0.00 97.53 0 0 373 456 2012-06-22 $12.17 $12.50 51.5% 14.8% 57.4% 10.9% 0.0% 3.9% 5.8% -3.5K 287.4K -1.2K 0.00 99.00 0 0 373 456 2012-06-25 $11.74 $12.50 56.1% 16.1% 59.0% 13.9% 56.2% -5.0% 0.6% -3.6K 301.7K -1.1K 0.00 102.16 0 20 373 456 2012-06-26 $11.55 $12.50 53.7% 15.4% 59.3% 12.3% 0.0% 8.7% 2.9% -3.4K 299.7K -1.0K 0.00 86.00 0 0 373 445 2012-06-27 $11.49 $12.50 50.7% 14.5% 57.3% 10.4% 0.0% 7.3% 3.9% -3.6K 302.6K -1.0K 0.00 103.03 0 0 373 445 2012-06-28 $11.52 $12.50 51.0% 14.6% 54.2% 10.6% 0.0% 8.6% 4.0% -3.7K 304.3K -986 0.00 102.14 0 0 373 445 2012-06-29 $12.55 $12.50 49.4% 14.1% 59.0% 9.5% 0.0% 3.9% 7.1% -3.1K 274.5K -1.2K 0.00 98.21 0 0 373 445
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