FN Options History — December 2012 In December 2012, FN traded between $11.83 and $13.14. ATM implied volatility averaged 47.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 9.3% (HV 20d: 37.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-12-20 : Highest Volume — 3 contracts2012-12-13 : Largest IV spike — 33.4% change2012-12-04 : Highest IV Rank — 19.9%2012-12-04 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $12.43 $11.83 $13.14 $12.26 $13.14 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 47.0% 36.7% 50.5% 50.2% 49.0% Expected Move 13.9% 12.9% 14.5% 14.4% 14.0% HV 20d 37.7% 21.7% 104.8% 104.8% 21.8% HV 60d 70.2% 69.1% 71.6% 71.6% 69.1% IV Rank 15.5% 2.5% 19.9% 19.5% 18.0% IV Percentile 10.8% 1.2% 20.6% 16.7% 15.9% Term Structure 4.3% -0.6% 8.1% -0.4% 1.3% Skew 25d 8.1% -2.6% 21.0% 1.1% 21.0% Skew 10d 11.5% -0.8% 40.4% 2.5% 40.4% Call IV 25d 39.5% 32.0% 47.5% 46.4% 36.1% Put IV 25d 47.6% 39.0% 57.1% 47.4% 57.1% Bid-Ask Spread % 73.14 51.37 101.32 69.98 52.01 Gamma HHI 0.43 0.33 0.63 0.40 0.33 Net GEX 108 -1.0K 2.1K -151 -971 Net DEX 9.1K -61.4K 49.6K 15.2K -18.3K Net VEX -516 -627 -402 -627 -402 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 0.3 0 3 0 0 Total OI 394.65 339 416 413 339
Daily Data (20 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 2012-12-03 $12.26 $12.50 50.2% 14.4% 104.8% 19.5% 0.0% 1.1% -0.4% -151 15.2K -627 0.00 69.98 0 0 149 264 2012-12-04 $12.27 $12.50 50.5% 14.5% 104.8% 19.9% 0.0% 16.0% -0.1% -98 13.6K -622 0.00 100.09 0 0 149 264 2012-12-05 $12.04 $12.50 50.3% 14.4% 38.2% 19.7% 0.0% 0.1% -0.6% -168 28.1K -620 0.00 55.84 0 0 149 264 2012-12-06 $12.05 $12.50 46.6% 13.3% 37.6% 14.9% 0.0% -0.3% 3.0% -13 27.9K -609 0.00 101.32 0 0 149 264 2012-12-07 $11.97 $12.50 47.3% 13.8% 35.0% 15.8% 0.0% 12.0% 6.5% -93 35.6K -593 0.00 61.55 0 0 149 264 2012-12-10 $11.86 $12.50 40.9% 14.0% 35.1% 7.7% 0.0% 11.5% 7.5% 69 40.0K -564 0.00 91.52 0 0 149 264 2012-12-11 $11.87 $12.50 42.7% 14.2% 35.1% 10.1% 0.0% 11.6% 4.4% 85 39.8K -553 0.00 63.54 0 0 149 264 2012-12-12 $11.83 $12.50 36.7% 14.1% 34.6% 2.5% 0.0% 10.9% 6.2% 268 49.6K -533 0.00 63.97 0 0 149 264 2012-12-13 $12.01 $12.50 49.0% 14.1% 35.0% 18.1% 0.0% -1.5% 6.3% 382 34.3K -545 0.00 96.73 0 0 149 264 2012-12-14 $11.91 $12.50 48.0% 13.8% 34.3% 16.8% 0.0% -2.6% 7.8% 477 49.2K -518 0.00 71.97 0 0 149 264 2012-12-17 $12.07 $12.50 49.7% 14.2% 31.6% 18.9% 0.0% -0.7% 6.3% 938 40.7K -489 0.00 94.48 0 0 149 264 2012-12-18 $12.46 $12.50 48.1% 13.8% 32.6% 17.0% 0.0% 4.0% 7.9% 1.7K 7.7K -487 0.00 95.17 0 0 149 264 2012-12-19 $12.57 $12.50 47.9% 13.7% 32.2% 16.7% 0.0% 5.1% 6.1% 2.1K -9.6K -500 0.00 69.82 0 0 149 264 2012-12-20 $13.02 $12.50 50.1% 14.4% 25.9% 19.4% 0.0% 15.6% 4.7% 985 -51.9K -487 0.00 69.15 3 0 149 264 2012-12-21 $13.06 $12.50 47.1% 13.5% 25.9% 15.7% 0.0% 11.6% 8.1% 568 -61.4K -470 0.00 70.85 3 0 152 264 2012-12-24 $13.07 $12.50 46.6% 13.3% 24.6% 14.9% 0.0% 11.9% 4.6% -1.0K -17.4K -441 0.00 73.94 0 0 110 229 2012-12-26 $13.01 $12.50 45.8% 13.1% 21.8% 14.0% 0.0% 9.8% 2.2% -998 -11.9K -425 0.00 54.62 0 0 110 229 2012-12-27 $13.06 $12.50 49.1% 14.1% 21.7% 18.1% 0.0% 15.0% 0.5% -981 -16.6K -422 0.00 51.37 0 0 110 229 2012-12-28 $12.97 $12.50 45.0% 12.9% 21.7% 13.0% 0.0% 10.5% 3.9% -986 -13.1K -407 0.00 54.81 0 0 110 229 2012-12-31 $13.14 $12.50 49.0% 14.0% 21.8% 18.0% 0.0% 21.0% 1.3% -971 -18.3K -402 0.00 52.01 0 0 110 229
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