FN Options History — October 2012

In October 2012, FN traded between $9.35 and $11.84. ATM implied volatility averaged 57.4%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 11.1% (HV 20d: 46.3%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.17.

Notable Days

2012-10-09: Highest Volume — 40 contracts
2012-10-03: Largest IV drop — 31.5% change
2012-10-17: Highest IV Rank — 24.1%
2012-10-17: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.29	$9.35	$11.84	$11.50	$9.63
Max Pain	$11.11	$10.00	$15.00	$15.00	$10.00
ATM IV	57.4%	35.5%	64.8%	53.0%	58.6%
Expected Move	17.0%	10.2%	18.6%	15.2%	16.8%
HV 20d	46.3%	37.2%	52.6%	37.9%	47.9%
HV 60d	45.5%	42.9%	48.3%	43.6%	42.9%
IV Rank	17.7%	0.5%	24.1%	12.9%	19.0%
IV Percentile	54.7%	0.8%	79.0%	32.5%	62.3%
Term Structure	3.4%	-1.4%	24.8%	4.5%	3.0%
VWIV	61.8%	58.2%	63.8%	63.4%	58.2%
Skew 25d	4.3%	-10.5%	16.2%	-10.5%	3.4%
Skew 10d	3.9%	-9.5%	21.1%	-9.5%	2.0%
Call IV 25d	49.7%	34.6%	61.5%	53.3%	61.5%
Put IV 25d	54.0%	36.7%	64.9%	42.7%	64.9%
Bid-Ask Spread %	75.78	44.13	103.78	46.29	103.78
Gamma HHI	0.51	0.31	0.73	0.69	0.31
Net GEX	475	-1.7K	4.0K	3.0K	84
Net DEX	193.7K	20.7K	323.8K	277.4K	26.9K
Net VEX	-409	-585	-352	-573	-381
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	1.00	0.00	0.00
Total Volume	4.762	0	40	0	3
Total OI	600.429	189	819	782	209

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
2012-10-01	$11.50	$15.00	53.0%	15.2%	37.9%	12.9%	0.0%	-10.5%	4.5%	3.0K	277.4K	-573	0.00	46.29	0	0	378	404
2012-10-02	$11.84	$15.00	51.8%	14.8%	39.4%	12.1%	0.0%	-3.4%	6.4%	3.7K	265.8K	-585	0.00	44.13	0	0	378	404
2012-10-03	$11.44	$15.00	35.5%	10.2%	41.2%	0.5%	0.0%	-1.6%	21.1%	3.4K	307.2K	-477	0.00	55.11	0	0	378	404
2012-10-04	$11.49	$15.00	43.7%	12.5%	37.2%	6.3%	0.0%	11.0%	24.8%	3.2K	284.2K	-535	0.00	55.47	5	0	378	404
2012-10-05	$11.60	$0.00	49.5%	16.2%	37.2%	10.4%	0.0%	16.2%	1.9%	4.0K	275.1K	-542	0.00	82.48	0	0	383	404
2012-10-08	$10.97	$0.00	43.9%	18.2%	41.3%	6.5%	0.0%	5.5%	0.8%	861	323.8K	-391	0.00	83.80	0	0	383	404
2012-10-09	$10.00	$0.00	55.9%	18.2%	51.8%	15.0%	63.4%	7.4%	1.0%	-371	317.1K	-356	1.00	94.79	20	20	383	404
2012-10-10	$9.95	$10.00	54.3%	17.6%	51.6%	15.7%	0.0%	6.6%	2.7%	-712	316.4K	-374	0.00	95.83	0	1	403	416
2012-10-11	$10.17	$10.00	61.5%	17.6%	52.6%	21.4%	0.0%	10.5%	2.1%	-640	307.3K	-374	0.00	94.59	0	0	403	407
2012-10-12	$10.07	$10.00	63.7%	18.3%	47.2%	23.2%	0.0%	10.4%	1.8%	-1.2K	309.0K	-364	0.00	95.05	1	0	403	407
2012-10-15	$10.22	$10.00	64.7%	18.6%	48.2%	24.0%	0.0%	13.5%	-0.6%	-1.0K	233.8K	-362	0.00	97.34	0	0	404	335
2012-10-16	$10.27	$10.00	60.9%	17.5%	48.2%	21.0%	0.0%	12.1%	1.7%	-1.0K	230.7K	-359	0.00	95.30	5	0	404	335
2012-10-17	$10.16	$10.00	64.8%	18.6%	48.1%	24.1%	0.0%	11.1%	-1.4%	-1.6K	151.8K	-366	0.00	95.72	0	0	409	259
2012-10-18	$9.82	$10.00	63.8%	18.3%	48.8%	23.2%	63.8%	4.0%	1.4%	-1.7K	159.1K	-359	0.00	96.38	24	0	409	259
2012-10-19	$9.35	$10.00	61.9%	17.8%	50.3%	21.7%	0.0%	-4.6%	-0.3%	-21	164.4K	-359	0.00	96.84	0	1	414	259
2012-10-22	$9.50	$10.00	63.9%	18.3%	50.5%	23.3%	0.0%	-2.7%	-0.3%	4	22.6K	-358	0.00	50.28	0	0	81	108
2012-10-23	$9.59	$10.00	64.5%	18.5%	48.6%	23.8%	0.0%	2.8%	-1.1%	43	20.7K	-357	0.00	50.08	0	0	81	108
2012-10-24	$9.50	$10.00	63.5%	18.2%	48.6%	23.0%	0.0%	-0.6%	1.3%	44	21.7K	-352	0.00	49.74	0	20	81	108
2012-10-25	$9.52	$10.00	63.0%	18.1%	47.5%	22.6%	0.0%	-1.1%	0.8%	-89	26.8K	-383	0.00	54.58	0	0	81	128
2012-10-26	$9.53	$10.00	62.3%	17.9%	47.4%	22.1%	0.0%	0.4%	0.0%	-65	26.5K	-383	0.00	53.77	0	0	81	128
2012-10-31	$9.63	$10.00	58.6%	16.8%	47.9%	19.0%	58.2%	3.4%	3.0%	84	26.9K	-381	0.00	103.78	3	0	81	128