FN Options History — January 2013

In January 2013, FN traded between $12.98 and $14.64. ATM implied volatility averaged 50.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 25.4% (HV 20d: 24.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2013-01-25: Highest Volume — 260 contracts
2013-01-07: Largest IV spike — 20.1% change
2013-01-31: Highest IV Rank — 30.2%
2013-01-31: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.47	$12.98	$14.64	$13.54	$14.64
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	50.0%	44.1%	58.6%	44.1%	58.6%
Expected Move	14.3%	12.6%	16.8%	12.6%	16.8%
HV 20d	24.6%	19.7%	45.3%	23.0%	45.3%
HV 60d	65.4%	63.6%	68.9%	68.9%	66.4%
IV Rank	19.3%	11.9%	30.2%	11.9%	30.2%
IV Percentile	29.3%	5.6%	80.2%	5.6%	80.2%
Term Structure	3.5%	-8.3%	12.8%	12.8%	-8.3%
VWIV	57.3%	50.2%	75.2%	75.2%	53.6%
Skew 25d	5.8%	-5.1%	23.6%	18.7%	23.6%
Skew 10d	12.3%	-1.7%	38.3%	12.6%	38.3%
Call IV 25d	44.6%	31.8%	52.8%	31.8%	46.5%
Put IV 25d	50.4%	44.5%	70.0%	50.5%	70.0%
Bid-Ask Spread %	48.75	33.01	67.11	50.43	60.24
Gamma HHI	0.36	0.28	0.66	0.30	0.52
Net GEX	-1.5K	-5.0K	-702	-1.0K	-3.5K
Net DEX	2.1K	-46.0K	113.5K	-41.1K	49.5K
Net VEX	-448	-967	-321	-379	-967
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.00	2.00	2.00	0.00
Total Volume	19.571	0	260	15	20
Total OI	341	196	496	339	496

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
2013-01-02	$13.54	$12.50	44.1%	12.6%	23.0%	11.9%	75.2%	18.7%	12.8%	-1.0K	-41.1K	-379	2.00	50.43	5	10	110	229
2013-01-03	$13.64	$12.50	52.9%	15.2%	22.9%	23.1%	0.0%	20.0%	-1.1%	-999	-38.4K	-370	0.00	48.10	0	0	105	229
2013-01-04	$13.53	$0.00	44.6%	13.8%	21.7%	12.4%	0.0%	2.6%	6.3%	-1.0K	-40.8K	-351	0.00	67.11	0	1	105	229
2013-01-07	$13.19	$0.00	53.5%	14.4%	24.3%	23.8%	0.0%	-2.6%	6.2%	-979	-19.9K	-358	0.00	49.88	5	0	105	229
2013-01-08	$12.99	$0.00	52.3%	14.0%	25.0%	22.3%	0.0%	-5.1%	6.6%	-978	-8.0K	-348	0.00	50.69	0	0	104	229
2013-01-09	$13.03	$0.00	51.0%	14.3%	24.5%	20.6%	0.0%	-2.6%	3.7%	-976	-9.0K	-346	0.00	54.68	0	0	104	229
2013-01-10	$13.00	$0.00	48.6%	13.9%	24.6%	17.5%	0.0%	-0.2%	6.3%	-965	-7.4K	-334	0.00	60.24	0	0	104	229
2013-01-11	$12.98	$0.00	49.4%	14.2%	24.6%	18.6%	0.0%	-2.8%	5.1%	-945	-11.2K	-321	0.00	54.95	0	30	104	229
2013-01-14	$13.03	$0.00	50.5%	14.5%	24.3%	19.9%	0.0%	0.1%	4.2%	-1.3K	-9.8K	-399	0.00	59.64	0	0	104	259
2013-01-15	$13.04	$0.00	51.3%	14.7%	23.9%	20.9%	0.0%	14.5%	3.3%	-1.3K	-13.9K	-378	0.00	67.10	0	0	104	259
2013-01-16	$13.08	$0.00	48.8%	14.0%	23.6%	17.8%	0.0%	-1.6%	5.9%	-1.2K	-20.9K	-360	0.00	43.03	0	0	104	259
2013-01-17	$13.34	$0.00	49.9%	14.3%	22.1%	19.1%	50.3%	0.4%	6.0%	-838	-35.1K	-353	0.00	33.88	0	10	104	259
2013-01-18	$13.62	$12.50	49.0%	14.1%	22.9%	18.1%	0.0%	8.3%	6.0%	-702	-46.0K	-323	0.00	33.01	0	0	104	269
2013-01-22	$13.61	$12.50	50.8%	14.6%	19.7%	20.4%	0.0%	3.7%	1.5%	-823	13.0K	-347	0.00	35.64	0	0	38	158
2013-01-23	$13.59	$12.50	50.0%	14.3%	19.7%	19.2%	0.0%	5.5%	1.8%	-822	13.2K	-347	0.00	44.69	0	15	38	158
2013-01-24	$13.91	$12.50	45.1%	12.9%	21.1%	13.1%	0.0%	6.1%	3.1%	-927	11.4K	-352	0.00	38.93	0	0	38	173
2013-01-25	$14.07	$12.50	45.8%	13.1%	21.1%	13.9%	50.2%	5.3%	0.7%	-908	8.2K	-329	1.50	46.60	104	156	38	173
2013-01-28	$14.25	$12.50	49.9%	14.3%	21.3%	19.2%	0.0%	8.2%	-1.4%	-2.8K	50.7K	-825	0.00	38.70	0	0	112	329
2013-01-29	$13.46	$12.50	51.3%	14.7%	30.4%	21.0%	53.6%	0.2%	4.7%	-3.5K	87.0K	-810	0.00	36.71	0	30	112	329
2013-01-30	$13.27	$12.50	53.0%	15.2%	30.6%	23.1%	0.0%	20.3%	0.3%	-5.0K	113.5K	-802	0.00	49.45	0	25	112	359
2013-01-31	$14.64	$12.50	58.6%	16.8%	45.3%	30.2%	0.0%	23.6%	-8.3%	-3.5K	49.5K	-967	0.00	60.24	20	0	112	384