FN Options History — February 2013

In February 2013, FN traded between $14.43 and $16.61. ATM implied volatility averaged 44.2%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 8.1% (HV 20d: 52.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.11.

Notable Days

2013-02-05: Highest Volume — 314 contracts
2013-02-05: Largest IV drop — 44.4% change
2013-02-04: Highest IV Rank — 84.8%
2013-02-04: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.94	$14.43	$16.61	$14.43	$16.41
Max Pain	$15.74	$15.00	$17.50	$15.00	$17.50
ATM IV	44.2%	36.5%	65.6%	57.9%	38.3%
Expected Move	12.5%	11.0%	15.0%	14.4%	11.0%
HV 20d	52.3%	45.6%	54.2%	45.8%	49.3%
HV 60d	39.1%	35.3%	66.5%	66.5%	35.8%
IV Rank	24.0%	4.7%	84.8%	29.3%	9.6%
IV Percentile	14.7%	1.2%	97.6%	79.0%	2.8%
Term Structure	1.7%	-2.0%	5.7%	-1.1%	4.6%
VWIV	45.2%	41.8%	51.9%	51.9%	43.0%
Skew 25d	3.3%	-7.9%	16.2%	16.1%	-7.8%
Skew 10d	6.5%	-6.0%	38.4%	18.3%	18.4%
Call IV 25d	40.6%	28.4%	60.3%	36.1%	38.0%
Put IV 25d	43.9%	30.2%	76.5%	52.2%	30.2%
Bid-Ask Spread %	54.47	32.45	98.09	47.62	59.56
Gamma HHI	0.41	0.34	0.69	0.69	0.38
Net GEX	-513	-3.2K	511	-3.2K	-320
Net DEX	-105.6K	-188.4K	48.9K	48.9K	-144.5K
Net VEX	-1.2K	-1.4K	-866	-1.0K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	0.00	8.44	8.44	5.00
Total Volume	29.158	0	314	0	12
Total OI	753.053	516	922	516	659

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
2013-02-01	$14.43	$0.00	57.9%	14.4%	45.8%	29.3%	0.0%	16.1%	-1.1%	-3.2K	48.9K	-1.0K	0.00	47.62	0	0	132	384
2013-02-04	$14.53	$0.00	65.6%	15.0%	45.6%	84.8%	51.9%	16.2%	-2.0%	-3.1K	41.2K	-985	8.44	42.16	18	152	132	384
2013-02-05	$15.92	$15.00	36.5%	12.2%	53.9%	4.7%	41.8%	-0.7%	2.9%	142	-77.6K	-866	1.07	49.74	152	162	150	536
2013-02-06	$15.97	$15.00	39.4%	12.8%	53.1%	12.8%	0.0%	1.9%	0.6%	197	-111.5K	-1.4K	0.00	49.23	5	0	263	643
2013-02-07	$15.92	$15.00	44.1%	12.6%	53.3%	25.7%	0.0%	1.9%	3.3%	-18	-104.9K	-1.4K	0.00	49.24	0	2	263	643
2013-02-08	$15.91	$15.00	43.8%	12.6%	53.2%	24.9%	0.0%	1.8%	2.1%	-5	-108.3K	-1.4K	0.00	50.86	0	0	263	645
2013-02-11	$16.00	$15.00	45.1%	12.9%	53.1%	28.3%	0.0%	2.6%	0.7%	-61	-113.1K	-1.3K	0.00	49.39	0	0	263	645
2013-02-12	$15.96	$15.00	43.7%	12.5%	53.2%	24.5%	0.0%	2.5%	0.7%	-139	-113.6K	-1.3K	0.00	52.93	0	0	263	645
2013-02-13	$16.01	$15.00	44.0%	12.6%	53.2%	25.2%	0.0%	2.4%	1.2%	-277	-118.0K	-1.3K	0.00	49.91	0	0	263	645
2013-02-14	$16.12	$15.00	44.7%	12.8%	53.1%	27.3%	45.0%	4.4%	-1.1%	-146	-133.3K	-1.3K	0.00	51.95	18	0	263	645
2013-02-15	$16.44	$15.00	41.0%	11.8%	53.1%	17.3%	0.0%	2.5%	1.0%	458	-188.4K	-1.2K	0.00	32.45	5	0	277	645
2013-02-19	$16.45	$15.00	39.8%	11.4%	53.1%	13.7%	0.0%	7.1%	3.8%	511	-165.8K	-1.2K	0.00	90.33	0	0	264	408
2013-02-20	$16.13	$15.00	44.0%	12.6%	54.0%	25.4%	44.3%	-1.6%	-1.3%	195	-144.2K	-1.2K	0.00	98.09	0	5	264	408
2013-02-21	$16.02	$15.00	47.6%	13.6%	54.2%	35.2%	43.0%	7.8%	0.3%	-377	-113.0K	-1.2K	0.28	47.58	18	5	264	413
2013-02-22	$16.06	$17.50	43.0%	12.3%	53.9%	22.7%	0.0%	3.5%	2.9%	-1.1K	-95.6K	-1.2K	0.00	44.99	0	0	246	413
2013-02-25	$15.94	$17.50	40.9%	11.7%	54.1%	16.7%	0.0%	12.3%	4.8%	-1.4K	-91.3K	-1.1K	0.00	58.06	0	0	246	413
2013-02-26	$16.07	$17.50	40.0%	11.5%	54.1%	14.3%	0.0%	-2.6%	5.7%	-1.1K	-107.0K	-1.1K	0.00	53.78	0	0	246	413
2013-02-27	$16.61	$17.50	39.7%	11.4%	49.4%	13.5%	0.0%	-7.9%	2.9%	112	-166.8K	-1.0K	0.00	57.03	0	0	246	413
2013-02-28	$16.41	$17.50	38.3%	11.0%	49.3%	9.6%	0.0%	-7.8%	4.6%	-320	-144.5K	-1.0K	5.00	59.56	2	10	246	413