FN Options History — March 2013

In March 2013, FN traded between $13.82 and $16.88. ATM implied volatility averaged 38.2%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 3.1% (HV 20d: 35.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.08.

Notable Days

2013-03-06: Highest Volume — 100 contracts
2013-03-11: Largest IV spike — 17.7% change
2013-03-25: Highest IV Rank — 36.7%
2013-03-25: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.08	$13.82	$16.88	$16.45	$14.61
Max Pain	$15.13	$15.00	$17.50	$17.50	$15.00
ATM IV	38.2%	30.1%	45.2%	31.7%	42.0%
Expected Move	11.9%	9.1%	12.9%	9.1%	12.1%
HV 20d	35.1%	18.3%	41.2%	36.8%	40.9%
HV 60d	39.2%	35.6%	41.9%	35.6%	41.7%
IV Rank	19.4%	0.0%	36.7%	0.0%	29.1%
IV Percentile	7.1%	0.0%	19.8%	0.0%	11.9%
Term Structure	3.9%	1.5%	5.9%	4.7%	2.2%
VWIV	44.4%	42.1%	49.9%	43.0%	42.1%
Skew 25d	5.0%	-10.2%	16.9%	-10.2%	3.0%
Skew 10d	8.6%	-9.1%	27.9%	12.0%	6.4%
Call IV 25d	40.0%	30.0%	46.5%	37.0%	45.6%
Put IV 25d	45.0%	26.8%	50.0%	26.8%	48.6%
Bid-Ask Spread %	48.39	25.89	95.13	60.22	46.29
Gamma HHI	0.55	0.37	0.85	0.39	0.63
Net GEX	-3.5K	-11.3K	208	-232	-3.9K
Net DEX	32.8K	-148.8K	219.6K	-148.8K	47.0K
Net VEX	-776	-999	-645	-999	-750
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.47	0.00	0.00
Total Volume	9.85	0	100	0	1
Total OI	578.2	510	661	661	546

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
2013-03-01	$16.45	$17.50	31.7%	9.1%	36.8%	0.0%	0.0%	-10.2%	4.7%	-232	-148.8K	-999	0.00	60.22	0	0	248	413
2013-03-04	$16.20	$15.00	30.5%	12.9%	36.9%	0.0%	0.0%	-0.6%	4.2%	-954	-122.0K	-971	0.00	47.63	0	0	248	413
2013-03-05	$16.18	$15.00	32.2%	12.9%	37.0%	4.1%	0.0%	1.1%	1.5%	-1.2K	-121.3K	-968	0.00	45.25	0	0	248	413
2013-03-06	$16.19	$15.00	32.1%	12.5%	18.3%	3.9%	43.0%	1.8%	1.9%	-1.1K	-125.4K	-905	0.00	46.02	100	0	248	413
2013-03-07	$16.81	$15.00	35.4%	11.6%	22.5%	12.1%	0.0%	3.2%	4.0%	-561	-97.7K	-683	0.00	46.34	3	0	164	413
2013-03-08	$16.88	$15.00	30.1%	11.2%	22.4%	0.0%	0.0%	0.1%	4.9%	208	-112.3K	-651	0.00	31.13	0	0	167	413
2013-03-11	$16.50	$15.00	35.4%	11.7%	24.2%	13.0%	0.0%	1.5%	3.7%	-2.1K	-69.3K	-679	0.00	25.89	0	0	167	413
2013-03-12	$15.85	$15.00	37.7%	12.1%	28.3%	18.4%	0.0%	-0.8%	3.6%	-6.2K	-13.6K	-749	0.00	48.31	0	0	167	413
2013-03-13	$14.99	$15.00	39.1%	12.2%	34.5%	21.9%	0.0%	16.9%	3.8%	-11.3K	86.2K	-796	0.00	57.76	0	0	167	413
2013-03-14	$14.72	$15.00	42.1%	12.1%	34.8%	29.2%	0.0%	15.5%	4.2%	-11.3K	115.5K	-773	0.00	59.30	0	0	167	408
2013-03-15	$13.82	$15.00	40.3%	11.6%	40.3%	24.9%	43.2%	10.4%	5.7%	-4.0K	219.6K	-645	0.00	31.71	41	0	167	408
2013-03-18	$14.18	$15.00	42.2%	12.1%	40.9%	29.6%	49.9%	10.9%	3.4%	-3.9K	126.6K	-724	0.47	37.11	34	16	142	368
2013-03-19	$13.97	$15.00	43.7%	12.5%	40.8%	33.2%	0.0%	3.7%	2.3%	-3.1K	115.7K	-799	0.00	35.69	0	0	176	369
2013-03-20	$14.00	$15.00	41.9%	12.0%	40.8%	28.6%	0.0%	3.5%	4.8%	-3.2K	119.7K	-787	0.00	35.10	0	0	176	369
2013-03-21	$14.00	$15.00	40.6%	11.6%	40.8%	25.5%	0.0%	6.6%	5.9%	-3.1K	130.3K	-762	0.00	37.93	0	0	176	369
2013-03-22	$14.00	$15.00	42.8%	12.3%	40.8%	30.8%	44.0%	5.6%	3.7%	-3.1K	123.1K	-763	0.00	87.45	0	1	176	369
2013-03-25	$13.89	$15.00	45.2%	12.9%	40.8%	36.7%	0.0%	8.5%	3.1%	-3.2K	138.3K	-706	0.00	95.13	1	0	176	369
2013-03-26	$14.10	$15.00	40.6%	11.7%	41.2%	25.7%	0.0%	8.3%	5.9%	-3.3K	127.8K	-707	0.00	48.64	0	0	177	369
2013-03-27	$14.19	$15.00	39.0%	11.2%	38.8%	21.7%	0.0%	10.3%	4.8%	-3.6K	116.6K	-706	0.00	44.97	0	0	177	369
2013-03-28	$14.61	$15.00	42.0%	12.1%	40.9%	29.1%	42.1%	3.0%	2.2%	-3.9K	47.0K	-750	0.00	46.29	1	0	177	369