FN Options History — November 2012

In November 2012, FN traded between $9.49 and $12.75. ATM implied volatility averaged 54.0%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 45.0% (HV 20d: 99.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.44.

Notable Days

2012-11-30: Highest Volume — 110 contracts
2012-11-06: Largest IV drop — 18.8% change
2012-11-16: Highest IV Rank — 30.7%
2012-11-05: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.63	$9.49	$12.75	$10.00	$12.42
Max Pain	$12.24	$10.00	$12.50	$10.00	$12.50
ATM IV	54.0%	46.5%	70.1%	58.4%	47.0%
Expected Move	15.8%	13.5%	18.2%	16.7%	13.5%
HV 20d	99.0%	48.9%	112.7%	48.9%	107.0%
HV 60d	67.3%	43.8%	72.6%	43.8%	71.5%
IV Rank	21.5%	14.8%	30.7%	18.9%	15.5%
IV Percentile	38.0%	5.2%	87.3%	61.9%	6.0%
Term Structure	1.9%	-3.5%	6.6%	2.1%	1.3%
VWIV	55.1%	49.7%	59.3%	56.7%	49.7%
Skew 25d	9.3%	-2.8%	42.0%	8.0%	5.1%
Skew 10d	15.2%	-1.5%	50.1%	13.2%	10.9%
Call IV 25d	49.3%	41.9%	62.4%	60.1%	46.5%
Put IV 25d	58.7%	43.0%	96.3%	68.0%	51.7%
Bid-Ask Spread %	66.67	37.17	104.74	104.74	71.60
Gamma HHI	0.40	0.29	0.54	0.29	0.42
Net GEX	159	-479	1.3K	188	195
Net DEX	7.0K	-60.3K	35.6K	17.8K	1.2K
Net VEX	-450	-495	-370	-395	-451
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.00	6.67	0.30	1.20
Total Volume	15.762	0	110	0	110
Total OI	281.905	209	331	209	303

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
2012-11-01	$10.00	$10.00	58.4%	16.7%	48.9%	18.9%	0.0%	8.0%	2.1%	188	17.8K	-395	0.00	104.74	0	0	81	128
2012-11-02	$9.49	$10.00	59.7%	17.1%	50.6%	19.9%	0.0%	3.2%	0.4%	106	25.3K	-370	0.00	103.95	0	0	81	128
2012-11-05	$9.70	$0.00	70.1%	18.2%	51.6%	28.3%	0.0%	6.1%	0.2%	58	24.1K	-371	0.00	66.64	0	0	81	128
2012-11-06	$12.75	$0.00	56.9%	16.4%	112.7%	17.7%	56.7%	5.4%	-0.5%	-201	-41.1K	-391	0.30	45.88	66	20	81	128
2012-11-07	$12.48	$12.50	57.5%	16.4%	110.9%	18.2%	57.3%	12.4%	-0.5%	1.3K	-60.3K	-473	6.67	48.24	3	20	139	148
2012-11-08	$12.00	$12.50	55.2%	16.5%	106.0%	25.9%	0.0%	20.8%	-0.9%	913	-15.7K	-495	0.00	69.86	0	1	139	168
2012-11-09	$11.97	$12.50	52.3%	16.5%	106.0%	22.3%	0.0%	42.0%	-0.1%	858	-11.9K	-486	0.00	57.55	0	20	139	169
2012-11-12	$12.00	$12.50	49.1%	16.5%	105.9%	18.2%	0.0%	10.4%	-0.6%	1.1K	-13.4K	-476	0.00	57.60	8	0	139	169
2012-11-13	$11.81	$12.50	46.5%	15.6%	106.1%	14.8%	54.0%	15.9%	3.2%	722	1.0K	-455	0.00	60.73	0	15	137	169
2012-11-14	$11.75	$12.50	48.3%	15.8%	106.2%	17.1%	0.0%	7.8%	1.5%	167	14.5K	-464	0.00	63.39	0	0	137	184
2012-11-15	$11.52	$12.50	56.5%	16.2%	106.6%	27.6%	57.1%	9.4%	1.2%	-479	28.5K	-447	0.00	76.45	10	0	137	184
2012-11-16	$11.12	$12.50	59.0%	16.9%	107.4%	30.7%	0.0%	6.0%	3.7%	-341	35.6K	-440	0.00	70.44	0	0	147	184
2012-11-19	$11.35	$12.50	58.3%	16.7%	106.6%	29.9%	0.0%	3.0%	-3.5%	-264	30.3K	-444	0.00	58.54	0	0	92	164
2012-11-20	$11.24	$12.50	57.5%	16.5%	104.7%	28.8%	59.3%	8.2%	6.6%	-269	35.2K	-431	0.00	63.38	0	30	92	164
2012-11-21	$12.00	$12.50	51.8%	14.8%	106.6%	21.6%	51.8%	16.9%	1.8%	-476	19.4K	-487	0.00	37.17	10	0	92	194
2012-11-23	$12.02	$12.50	49.2%	14.1%	106.7%	18.3%	0.0%	12.9%	4.9%	-104	15.0K	-489	0.00	62.83	0	0	102	194
2012-11-26	$12.33	$12.50	50.7%	14.5%	106.5%	20.2%	0.0%	3.8%	5.0%	81	4.1K	-477	0.00	70.24	0	0	102	194
2012-11-27	$11.98	$12.50	49.7%	14.2%	107.5%	18.9%	49.7%	-2.8%	5.9%	-48	14.9K	-470	3.33	70.39	3	10	102	194
2012-11-28	$12.11	$12.50	49.1%	14.1%	107.4%	18.2%	0.0%	0.6%	5.9%	-69	13.3K	-474	0.00	71.85	0	0	99	204
2012-11-29	$12.27	$12.50	50.6%	14.5%	107.4%	20.0%	0.0%	0.4%	2.6%	-58	9.3K	-468	0.00	68.50	5	0	99	204
2012-11-30	$12.42	$12.50	47.0%	13.5%	107.0%	15.5%	0.0%	5.1%	1.3%	195	1.2K	-451	1.20	71.60	50	60	99	204