FN Options History — September 2012 In September 2012, FN traded between $11.44 and $12.74. ATM implied volatility averaged 52.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 13.7% (HV 20d: 39.0%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-10 : Highest Volume — 175 contracts2012-09-10 : Largest IV spike — 11.1% change2012-09-26 : Highest IV Rank — 14.9%2012-09-26 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $12.09 $11.44 $12.74 $11.95 $11.59 Max Pain $14.74 $12.50 $17.50 $12.50 $15.00 ATM IV 52.7% 50.5% 56.1% 53.6% 53.1% Expected Move 15.1% 14.5% 16.0% 15.4% 15.2% HV 20d 39.0% 32.6% 44.7% 43.8% 38.3% HV 60d 46.9% 43.8% 49.1% 49.1% 43.8% IV Rank 12.4% 10.3% 14.9% 12.3% 13.0% IV Percentile 27.4% 14.3% 47.2% 30.6% 32.5% Term Structure 5.0% 1.3% 11.4% 1.7% 4.9% VWIV 53.5% 52.8% 54.0% 52.8% 53.6% Skew 25d 3.7% -10.8% 19.8% -2.2% -8.1% Skew 10d 6.0% -9.1% 24.4% -1.3% -5.9% Call IV 25d 44.8% 33.4% 52.7% 51.3% 50.6% Put IV 25d 48.5% 41.6% 57.8% 49.1% 42.6% Bid-Ask Spread % 87.03 44.23 101.19 100.57 44.37 Gamma HHI 0.63 0.49 0.78 0.49 0.64 Net GEX 3.7K 1.6K 8.4K 1.6K 2.9K Net DEX 210.6K 124.9K 276.1K 219.9K 261.5K Net VEX -662 -829 -514 -690 -617 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 18.895 0 175 0 0 Total OI 814.474 741 904 783 782
Daily Data (19 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 2012-09-04 $11.95 $12.50 53.6% 15.4% 43.8% 12.3% 0.0% -2.2% 1.7% 1.6K 219.9K -690 0.00 100.57 0 0 412 371 2012-09-05 $11.97 $12.50 55.7% 16.0% 42.6% 13.6% 0.0% -1.4% 1.3% 1.6K 217.4K -691 0.00 101.19 0 0 412 371 2012-09-06 $12.53 $12.50 51.3% 14.7% 43.5% 10.8% 0.0% 4.9% 3.6% 1.9K 188.3K -711 0.00 100.07 2 0 412 371 2012-09-07 $12.31 $17.50 50.5% 15.8% 44.0% 10.3% 0.0% 19.8% 2.3% 2.0K 199.3K -704 0.00 91.93 0 0 414 371 2012-09-10 $12.06 $17.50 56.1% 15.1% 44.7% 14.0% 52.8% 13.5% 6.2% 2.3K 223.6K -611 0.00 90.19 175 0 414 371 2012-09-11 $12.00 $12.50 53.4% 15.5% 44.6% 13.0% 54.0% 13.3% 5.4% 5.0K 172.6K -829 0.00 93.33 66 0 533 371 2012-09-12 $12.01 $15.00 53.3% 15.0% 42.6% 12.9% 0.0% -0.8% 5.8% 3.7K 203.6K -708 0.00 96.97 0 0 471 371 2012-09-13 $12.08 $15.00 52.5% 15.1% 40.0% 12.3% 0.0% 15.7% 6.1% 3.9K 205.8K -703 0.00 92.26 10 0 471 371 2012-09-14 $12.74 $15.00 51.8% 14.9% 38.6% 12.1% 0.0% 12.7% 5.9% 4.8K 124.9K -769 0.00 97.53 0 0 481 371 2012-09-17 $12.62 $15.00 50.5% 14.5% 36.7% 11.2% 0.0% 10.3% 11.4% 5.8K 146.4K -702 0.00 98.74 0 0 481 371 2012-09-18 $12.66 $15.00 51.1% 14.6% 36.0% 11.6% 0.0% 8.6% 6.8% 6.6K 133.8K -695 0.00 98.79 0 0 481 371 2012-09-19 $12.40 $15.00 50.9% 14.6% 33.2% 11.4% 0.0% 6.1% 6.8% 8.4K 170.9K -657 0.00 97.82 0 0 481 371 2012-09-20 $12.18 $15.00 51.4% 14.7% 33.6% 11.8% 0.0% -0.1% 6.7% 7.4K 216.3K -610 0.00 94.14 0 20 481 371 2012-09-21 $11.84 $15.00 52.5% 15.1% 32.6% 12.6% 0.0% -4.9% 5.7% 2.3K 276.1K -598 0.00 100.58 0 0 481 391 2012-09-24 $11.44 $15.00 52.5% 15.1% 34.6% 12.6% 0.0% 5.6% 1.3% 2.4K 265.2K -514 0.00 95.46 0 30 378 363 2012-09-25 $11.81 $15.00 51.5% 14.8% 36.7% 11.9% 0.0% -7.0% 6.8% 2.6K 259.6K -594 0.00 57.83 0 0 378 393 2012-09-26 $11.65 $15.00 55.8% 16.0% 36.9% 14.9% 0.0% -10.8% 1.5% 2.3K 260.5K -586 0.00 57.63 0 0 378 393 2012-09-27 $11.89 $15.00 53.6% 15.4% 37.5% 13.3% 53.6% -4.2% 4.0% 2.6K 255.9K -593 0.00 44.23 0 56 378 393 2012-09-28 $11.59 $15.00 53.1% 15.2% 38.3% 13.0% 0.0% -8.1% 4.9% 2.9K 261.5K -617 0.00 44.37 0 0 378 404
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