FN Options History — June 2013

In June 2013, FN traded between $14.00 and $14.77. ATM implied volatility averaged 42.3%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 16.9% (HV 20d: 25.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.05.

Notable Days

2013-06-06: Highest Volume — 35 contracts
2013-06-13: Largest IV spike — 33.4% change
2013-06-06: Highest IV Rank — 40.9%
2013-06-06: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.44	$14.00	$14.77	$14.60	$14.00
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	42.3%	34.1%	46.5%	44.6%	41.9%
Expected Move	12.2%	10.0%	13.3%	12.8%	12.0%
HV 20d	25.4%	19.6%	29.0%	29.0%	19.6%
HV 60d	35.8%	33.2%	40.0%	40.0%	33.2%
IV Rank	30.4%	10.0%	40.9%	36.3%	29.5%
IV Percentile	18.5%	2.4%	30.6%	24.2%	16.3%
Term Structure	1.2%	-10.6%	6.6%	1.2%	-4.0%
VWIV	42.1%	35.4%	46.5%	46.5%	35.4%
Skew 25d	7.3%	-2.0%	17.1%	-2.0%	10.1%
Skew 10d	18.3%	-2.0%	87.9%	-2.0%	30.3%
Call IV 25d	41.0%	32.5%	47.7%	42.7%	46.4%
Put IV 25d	48.3%	35.1%	56.8%	40.7%	56.5%
Bid-Ask Spread %	102.35	85.36	116.24	99.69	110.86
Gamma HHI	0.59	0.43	0.72	0.71	0.64
Net GEX	1.7K	-1.1K	5.8K	-973	4.8K
Net DEX	-72.2K	-120.5K	-31.9K	-36.4K	-84.5K
Net VEX	-820	-911	-704	-867	-704
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.33	0.00	0.00
Total Volume	6.3	0	35	0	0
Total OI	395.35	356	433	356	370

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
2013-06-03	$14.60	$15.00	44.6%	12.8%	29.0%	36.3%	0.0%	-2.0%	1.2%	-973	-36.4K	-867	0.00	99.69	0	0	198	158
2013-06-04	$14.53	$15.00	45.5%	13.0%	28.8%	38.4%	0.0%	1.3%	0.2%	-1.0K	-31.9K	-850	0.00	99.58	0	0	198	158
2013-06-05	$14.52	$15.00	45.9%	13.1%	28.0%	39.4%	0.0%	0.0%	0.3%	-1.0K	-35.0K	-846	0.00	100.28	0	0	198	158
2013-06-06	$14.59	$15.00	46.5%	13.3%	27.4%	40.9%	46.5%	-0.8%	-0.6%	-1.1K	-37.2K	-848	0.00	101.66	35	0	198	158
2013-06-07	$14.47	$15.00	44.2%	12.2%	27.6%	35.2%	42.7%	10.0%	4.8%	195	-49.6K	-880	0.00	92.25	33	0	233	158
2013-06-10	$14.46	$15.00	42.0%	12.5%	27.3%	29.8%	0.0%	11.3%	2.8%	1.2K	-62.6K	-911	0.00	85.36	0	0	266	158
2013-06-11	$14.46	$15.00	43.2%	12.2%	26.2%	32.7%	0.0%	15.3%	-1.9%	1.6K	-50.1K	-888	0.00	94.41	0	0	266	158
2013-06-12	$14.41	$15.00	34.1%	12.3%	26.1%	10.0%	0.0%	11.8%	1.3%	614	-70.3K	-893	0.00	91.81	0	0	266	158
2013-06-13	$14.77	$15.00	45.5%	13.0%	26.3%	38.4%	45.5%	7.9%	6.6%	-175	-81.3K	-886	0.00	97.13	9	0	266	158
2013-06-14	$14.72	$15.00	43.3%	12.4%	25.4%	33.1%	0.0%	17.1%	4.5%	-874	-120.5K	-908	0.00	92.42	0	0	275	158
2013-06-17	$14.43	$15.00	41.8%	12.0%	26.2%	29.2%	0.0%	12.1%	5.4%	1.1K	-57.4K	-833	0.00	108.20	0	20	275	158
2013-06-18	$14.73	$15.00	41.4%	11.9%	27.2%	28.2%	0.0%	14.5%	4.7%	1.2K	-82.9K	-796	0.00	104.23	0	0	275	158
2013-06-19	$14.61	$15.00	42.8%	12.3%	27.4%	31.8%	42.8%	9.2%	4.7%	-532	-75.7K	-824	0.00	98.31	10	0	275	158
2013-06-20	$14.59	$15.00	39.2%	11.2%	27.2%	22.7%	39.7%	0.4%	5.7%	3.0K	-90.1K	-791	0.33	115.66	6	2	275	138
2013-06-21	$14.51	$15.00	35.0%	10.0%	20.5%	12.3%	35.4%	0.5%	6.5%	3.6K	-74.8K	-768	0.00	114.27	4	0	275	140
2013-06-24	$14.08	$15.00	38.2%	11.0%	22.6%	20.2%	0.0%	8.7%	-1.6%	5.3K	-108.2K	-732	0.00	102.17	0	0	267	96
2013-06-25	$14.16	$15.00	42.8%	12.3%	22.5%	31.8%	0.0%	11.0%	-10.6%	5.0K	-93.6K	-722	0.00	112.06	7	0	267	96
2013-06-26	$14.00	$15.00	42.8%	12.3%	22.7%	31.7%	0.0%	1.2%	-3.0%	5.6K	-100.6K	-733	0.00	110.41	0	0	274	96
2013-06-27	$14.14	$15.00	44.6%	12.8%	19.7%	36.2%	0.0%	6.7%	-3.2%	5.8K	-102.0K	-722	0.00	116.24	0	0	274	96
2013-06-28	$14.00	$15.00	41.9%	12.0%	19.6%	29.5%	0.0%	10.1%	-4.0%	4.8K	-84.5K	-704	0.00	110.86	0	0	274	96