FN Options History — August 2012

In August 2012, FN traded between $11.46 and $13.37. ATM implied volatility averaged 53.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 2.8% (HV 20d: 50.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2012-08-21: Highest Volume — 288 contracts
2012-08-14: Largest IV spike — 44.4% change
2012-08-20: Highest IV Rank — 19.7%
2012-08-20: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.28	$11.46	$13.37	$12.56	$11.98
Max Pain	$11.74	$10.00	$12.50	$10.00	$12.50
ATM IV	53.1%	37.0%	65.1%	59.0%	51.4%
Expected Move	16.1%	14.1%	18.7%	16.9%	14.7%
HV 20d	50.3%	43.3%	56.0%	52.6%	43.8%
HV 60d	55.9%	49.2%	65.9%	65.9%	49.2%
IV Rank	11.9%	1.5%	19.7%	15.8%	10.8%
IV Percentile	29.3%	0.8%	65.3%	52.4%	19.5%
Term Structure	1.5%	-3.8%	6.5%	-2.8%	2.7%
VWIV	57.1%	49.0%	64.8%	60.5%	51.6%
Skew 25d	7.3%	-5.4%	20.1%	3.0%	-3.0%
Skew 10d	10.0%	-2.1%	22.7%	6.8%	-2.1%
Call IV 25d	46.4%	36.0%	55.9%	48.6%	48.2%
Put IV 25d	53.8%	43.2%	65.5%	51.6%	45.1%
Bid-Ask Spread %	87.20	56.37	99.43	56.37	99.27
Gamma HHI	0.35	0.24	0.53	0.25	0.49
Net GEX	-1.7K	-4.3K	2.0K	-4.2K	1.6K
Net DEX	251.5K	149.1K	313.6K	284.0K	222.3K
Net VEX	-766	-986	-561	-859	-728
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.00	2.50	1.00	0.00
Total Volume	26.609	0	288	0	0
Total OI	686.696	597	805	627	783

Daily Data (23 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
2012-08-01	$12.56	$10.00	59.0%	16.9%	52.6%	15.8%	0.0%	3.0%	-2.8%	-4.2K	284.0K	-859	0.00	56.37	0	0	193	434
2012-08-02	$12.50	$10.00	55.0%	15.8%	51.0%	13.2%	0.0%	4.9%	2.5%	-4.2K	292.0K	-814	0.00	73.71	0	0	193	434
2012-08-03	$12.60	$10.00	51.3%	14.7%	50.4%	10.7%	0.0%	7.6%	6.4%	-4.0K	282.6K	-839	0.00	75.01	0	0	193	434
2012-08-06	$12.63	$10.00	56.6%	17.5%	49.5%	14.2%	0.0%	6.5%	1.3%	-3.9K	276.0K	-860	0.00	79.30	0	35	193	434
2012-08-07	$12.26	$10.00	54.4%	17.3%	50.6%	12.8%	60.5%	8.5%	0.8%	-3.4K	272.3K	-704	1.00	84.44	5	5	193	404
2012-08-08	$11.82	$12.50	59.5%	17.1%	52.3%	16.1%	0.0%	18.9%	0.4%	-3.3K	283.7K	-651	0.00	84.83	0	0	198	409
2012-08-09	$11.96	$12.50	44.6%	16.9%	49.7%	6.4%	58.9%	19.6%	1.5%	-3.1K	289.8K	-631	1.00	83.82	5	5	198	409
2012-08-10	$11.98	$10.00	37.0%	16.9%	49.1%	1.5%	0.0%	20.1%	1.6%	-2.9K	290.8K	-584	0.00	84.27	0	0	193	404
2012-08-13	$11.86	$10.00	42.5%	16.9%	48.7%	5.0%	59.4%	17.2%	1.8%	-2.9K	291.6K	-562	0.00	87.49	0	30	193	404
2012-08-14	$11.46	$12.50	61.4%	16.9%	50.4%	17.3%	0.0%	14.8%	1.5%	-3.7K	313.6K	-561	0.00	85.37	0	0	193	434
2012-08-15	$11.95	$12.50	50.5%	17.0%	51.1%	10.2%	0.0%	18.1%	-1.2%	-3.6K	311.2K	-609	0.00	87.89	10	0	193	434
2012-08-16	$12.70	$12.50	59.1%	16.9%	55.1%	15.8%	59.1%	12.9%	1.5%	-4.2K	284.8K	-724	2.50	93.67	10	25	199	434
2012-08-17	$13.12	$12.50	61.5%	17.6%	54.7%	17.4%	53.8%	1.9%	-3.1%	-4.3K	266.6K	-808	0.00	83.09	44	0	209	435
2012-08-20	$13.37	$12.50	65.1%	18.7%	52.6%	19.7%	64.8%	5.6%	-3.8%	-3.2K	239.4K	-889	0.15	82.14	65	10	253	385
2012-08-21	$12.79	$12.50	52.7%	15.1%	56.0%	11.7%	49.0%	11.1%	2.4%	-1.7K	235.1K	-811	0.26	95.91	228	60	314	395
2012-08-22	$12.67	$12.50	49.0%	14.1%	55.4%	9.3%	0.0%	10.4%	6.5%	1.5K	149.1K	-986	0.00	95.07	0	0	428	377
2012-08-23	$12.22	$12.50	51.6%	14.8%	55.6%	10.9%	51.6%	0.6%	2.1%	1.6K	188.4K	-905	0.00	95.29	0	40	428	377
2012-08-24	$12.10	$12.50	54.0%	15.5%	48.2%	12.5%	0.0%	-0.1%	-0.7%	1.9K	197.1K	-858	0.00	92.19	0	0	428	371
2012-08-27	$12.04	$12.50	52.5%	15.0%	47.2%	11.5%	0.0%	-2.1%	1.5%	1.9K	201.9K	-833	0.00	95.36	5	0	428	371
2012-08-28	$12.09	$12.50	50.6%	14.5%	47.2%	10.3%	0.0%	-1.1%	4.7%	1.9K	196.7K	-832	0.00	96.87	0	0	433	371
2012-08-29	$11.94	$12.50	51.3%	14.7%	43.3%	10.8%	0.0%	-2.1%	3.2%	2.0K	200.5K	-797	0.00	94.81	0	0	433	371
2012-08-30	$11.79	$12.50	51.3%	14.7%	43.4%	10.8%	0.0%	-5.4%	3.2%	1.9K	215.7K	-771	0.00	99.43	30	0	433	371
2012-08-31	$11.98	$12.50	51.4%	14.7%	43.8%	10.8%	0.0%	-3.0%	2.7%	1.6K	222.3K	-728	0.00	99.27	0	0	412	371