FN Options History — July 2012 In July 2012, FN traded between $10.98 and $13.28. ATM implied volatility averaged 56.1%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 3.6% (HV 20d: 52.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days.
Notable Days 2012-07-23 : Highest Volume — 42 contracts2012-07-23 : Largest IV spike — 21.9% change2012-07-23 : Highest IV Rank — 21.9%2012-07-23 : Largest Expected Move — 19.6%Monthly Statistics Metric Avg Min Max Open Close Price $11.97 $10.98 $13.28 $12.22 $13.28 Max Pain $10.47 $10.00 $12.50 $12.50 $10.00 ATM IV 56.1% 48.1% 68.4% 50.3% 58.8% Expected Move 16.3% 13.8% 19.6% 14.4% 16.9% HV 20d 52.5% 47.9% 60.0% 60.0% 48.4% HV 60d 63.6% 62.2% 65.2% 63.6% 65.0% IV Rank 13.9% 8.7% 21.9% 10.1% 15.6% IV Percentile 37.5% 5.7% 65.8% 11.5% 50.4% Term Structure 1.5% -2.9% 5.0% 3.1% -1.0% VWIV 64.3% 60.2% 68.7% 60.2% 64.1% Skew 25d 9.3% -4.4% 22.1% 4.6% 3.4% Skew 10d 15.3% -1.7% 30.5% 7.5% 7.4% Call IV 25d 48.6% 38.6% 60.1% 47.7% 48.8% Put IV 25d 57.9% 46.0% 67.9% 52.3% 52.1% Bid-Ask Spread % 67.52 34.96 120.49 114.27 73.72 Gamma HHI 0.29 0.24 0.39 0.32 0.25 Net GEX -3.7K -4.3K -2.8K -3.6K -4.3K Net DEX 298.9K 263.9K 331.0K 280.7K 263.9K Net VEX -899 -1.1K -663 -1.1K -970 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 4.476 0 42 0 0 Total OI 755.19 585 828 818 627
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 2012-07-02 $12.22 $12.50 50.3% 14.4% 60.0% 10.1% 0.0% 4.6% 3.1% -3.6K 280.7K -1.1K 0.00 114.27 0 0 373 445 2012-07-03 $12.41 $12.50 48.1% 13.8% 56.6% 8.7% 0.0% 3.8% 5.0% -3.5K 271.9K -1.1K 0.00 118.69 0 0 373 445 2012-07-05 $12.86 $12.50 49.6% 14.2% 55.2% 9.6% 0.0% 9.1% 2.9% -3.5K 269.4K -1.1K 0.00 120.49 0 0 373 445 2012-07-06 $12.56 $0.00 52.9% 15.9% 55.3% 11.8% 0.0% 22.1% -1.0% -3.6K 276.5K -1.1K 0.00 96.95 0 0 373 445 2012-07-09 $12.25 $0.00 53.1% 16.2% 55.7% 12.0% 0.0% 19.5% 1.7% -3.7K 278.1K -1.0K 0.00 89.57 0 0 373 445 2012-07-10 $12.16 $0.00 49.9% 16.0% 55.3% 9.8% 0.0% 13.2% 3.3% -3.9K 296.2K -984 0.00 91.49 0 0 373 445 2012-07-11 $12.13 $0.00 53.4% 16.0% 52.8% 12.2% 0.0% 15.0% 0.9% -4.1K 295.3K -990 0.00 61.69 0 0 373 445 2012-07-12 $11.58 $0.00 56.9% 16.3% 53.8% 14.4% 60.2% 11.7% 0.6% -3.7K 312.3K -860 0.00 55.04 0 10 373 445 2012-07-13 $11.36 $10.00 54.2% 15.5% 53.9% 12.6% 0.0% 5.2% 3.7% -3.7K 317.8K -834 0.00 57.21 0 0 373 455 2012-07-16 $11.15 $10.00 60.1% 17.2% 49.5% 16.5% 0.0% 6.3% 2.3% -3.6K 327.5K -755 0.00 37.21 0 0 373 455 2012-07-17 $11.13 $10.00 60.4% 17.3% 49.3% 16.7% 0.0% 6.5% 2.2% -3.6K 331.0K -747 0.00 37.22 0 0 373 455 2012-07-18 $11.53 $10.00 55.3% 15.9% 50.9% 13.4% 0.0% 13.7% 2.4% -3.1K 326.3K -807 0.00 34.96 0 0 373 455 2012-07-19 $11.67 $10.00 55.6% 15.9% 50.9% 13.6% 0.0% 7.8% 2.7% -3.2K 325.5K -805 0.00 61.94 0 0 373 455 2012-07-20 $11.36 $10.00 56.1% 16.1% 50.0% 13.9% 0.0% 4.9% 1.3% -3.0K 328.8K -749 0.00 39.31 0 0 373 455 2012-07-23 $10.98 $10.00 68.4% 19.6% 48.9% 21.9% 68.7% 12.5% -2.9% -2.8K 305.3K -663 0.00 37.49 0 42 193 392 2012-07-24 $11.13 $10.00 64.0% 18.4% 47.9% 19.0% 64.1% 3.8% 1.7% -3.7K 314.9K -712 0.00 39.74 0 40 193 434 2012-07-25 $11.50 $10.00 60.1% 17.2% 49.2% 16.5% 0.0% 10.1% -2.2% -3.9K 309.5K -775 0.00 43.07 0 0 193 434 2012-07-26 $11.97 $10.00 57.0% 16.3% 51.1% 14.5% 0.0% -4.4% 0.3% -4.1K 301.8K -814 0.00 70.40 0 2 193 434 2012-07-27 $12.91 $10.00 57.6% 16.5% 57.4% 14.9% 0.0% 14.8% 0.8% -4.2K 275.8K -941 0.00 71.73 0 0 193 434 2012-07-30 $13.20 $10.00 55.9% 16.0% 49.6% 13.7% 0.0% 12.1% 2.9% -4.3K 268.4K -955 0.00 65.65 0 0 193 434 2012-07-31 $13.28 $10.00 58.8% 16.9% 48.4% 15.6% 0.0% 3.4% -1.0% -4.3K 263.9K -970 0.00 73.72 0 0 193 434
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