FN Options History — July 2013

In July 2013, FN traded between $14.13 and $14.81. ATM implied volatility averaged 42.7%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 24.5% (HV 20d: 18.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.03.

Notable Days

2013-07-19: Highest Volume — 120 contracts
2013-07-25: Largest IV spike — 8.9% change
2013-07-03: Highest IV Rank — 46.3%
2013-07-03: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.49	$14.13	$14.81	$14.15	$14.81
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	42.7%	37.4%	48.6%	44.8%	43.2%
Expected Move	12.0%	10.3%	13.9%	12.8%	12.4%
HV 20d	18.2%	15.1%	21.5%	19.9%	16.5%
HV 60d	26.7%	22.1%	32.5%	32.5%	22.1%
IV Rank	31.6%	18.2%	46.3%	36.7%	32.6%
IV Percentile	23.3%	7.5%	45.6%	31.3%	27.0%
Term Structure	0.5%	-6.5%	6.4%	-1.9%	6.1%
VWIV	42.7%	42.7%	42.7%	42.7%	42.7%
Skew 25d	5.3%	-4.9%	14.2%	2.3%	2.0%
Skew 10d	10.6%	-7.2%	42.1%	5.8%	2.2%
Call IV 25d	42.5%	35.2%	52.1%	45.4%	47.2%
Put IV 25d	47.8%	37.4%	54.5%	47.7%	49.2%
Bid-Ask Spread %	109.86	96.07	117.94	117.07	112.40
Gamma HHI	0.78	0.67	0.97	0.73	0.69
Net GEX	9.7K	6.1K	13.2K	6.5K	10.3K
Net DEX	-170.4K	-287.6K	-82.0K	-109.7K	-283.7K
Net VEX	-1.0K	-1.6K	-573	-690	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.17	0.17	0.00
Total Volume	17.045	0	120	0	2
Total OI	446.5	370	591	370	530

Daily Data (22 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
2013-07-01	$14.15	$15.00	44.8%	12.8%	19.9%	36.7%	0.0%	2.3%	-1.9%	6.5K	-109.7K	-690	0.00	117.07	0	0	274	96
2013-07-02	$14.13	$15.00	47.4%	13.6%	19.9%	43.2%	0.0%	-3.6%	-6.5%	6.1K	-95.2K	-673	0.00	117.54	0	0	274	96
2013-07-03	$14.15	$15.00	48.6%	13.9%	19.9%	46.3%	0.0%	-1.8%	-5.7%	6.4K	-99.1K	-668	0.00	117.94	0	0	274	96
2013-07-05	$14.42	$0.00	44.6%	10.3%	21.1%	36.2%	0.0%	8.9%	6.4%	8.0K	-117.4K	-665	0.00	110.24	0	0	274	96
2013-07-08	$14.30	$0.00	43.9%	12.5%	21.1%	34.6%	0.0%	4.6%	-1.9%	8.4K	-104.9K	-615	0.00	107.53	0	0	274	96
2013-07-09	$14.33	$0.00	45.9%	11.3%	21.1%	39.4%	0.0%	8.8%	-0.3%	8.8K	-104.8K	-608	0.00	111.75	0	0	274	96
2013-07-10	$14.44	$0.00	46.7%	12.2%	21.3%	41.3%	0.0%	5.8%	0.8%	9.0K	-109.1K	-605	0.00	101.66	0	0	274	96
2013-07-11	$14.58	$0.00	43.2%	12.4%	21.5%	32.6%	0.0%	8.7%	0.2%	10.5K	-122.4K	-604	0.00	109.48	0	0	274	96
2013-07-12	$14.51	$0.00	44.4%	12.7%	19.6%	35.8%	0.0%	13.2%	2.6%	10.6K	-126.3K	-594	0.00	96.07	0	25	274	96
2013-07-15	$14.52	$0.00	43.0%	12.3%	19.6%	32.1%	0.0%	11.6%	-3.2%	11.7K	-99.1K	-609	0.00	110.97	0	0	274	121
2013-07-16	$14.47	$0.00	41.2%	11.8%	18.3%	27.6%	0.0%	14.2%	4.0%	10.9K	-98.1K	-592	0.00	103.43	0	0	274	121
2013-07-17	$14.43	$0.00	43.7%	12.5%	16.6%	34.0%	0.0%	12.7%	2.0%	11.2K	-82.0K	-573	0.17	108.86	100	17	274	121
2013-07-18	$14.50	$0.00	42.1%	12.1%	16.5%	30.0%	0.0%	10.6%	-3.8%	11.9K	-116.7K	-896	0.00	107.83	90	0	363	138
2013-07-19	$14.45	$0.00	40.1%	11.5%	16.6%	25.1%	0.0%	11.3%	-1.7%	13.2K	-178.0K	-1.2K	0.00	110.52	120	0	453	138
2013-07-22	$14.76	$0.00	42.7%	12.2%	18.1%	31.4%	42.7%	1.4%	3.1%	8.7K	-263.9K	-1.6K	0.00	106.19	18	0	456	53
2013-07-23	$14.55	$15.00	39.4%	11.3%	15.2%	23.3%	0.0%	0.2%	0.3%	9.7K	-269.8K	-1.6K	0.00	112.04	3	0	474	53
2013-07-24	$14.53	$15.00	37.4%	10.7%	15.2%	18.2%	0.0%	-4.9%	2.1%	10.1K	-268.1K	-1.6K	0.00	111.57	0	0	477	53
2013-07-25	$14.77	$15.00	40.7%	11.7%	15.3%	26.5%	0.0%	6.2%	-0.8%	10.8K	-283.5K	-1.6K	0.00	111.75	0	0	477	53
2013-07-26	$14.77	$15.00	37.5%	10.7%	15.1%	18.4%	0.0%	-3.9%	1.5%	10.0K	-287.6K	-1.6K	0.00	109.97	0	0	477	53
2013-07-29	$14.50	$15.00	38.6%	11.1%	16.2%	21.1%	0.0%	1.6%	3.7%	10.3K	-259.9K	-1.6K	0.00	111.40	0	0	477	53
2013-07-30	$14.65	$15.00	41.5%	11.9%	16.2%	28.5%	0.0%	6.5%	3.1%	10.1K	-270.5K	-1.6K	0.00	110.63	0	0	477	53
2013-07-31	$14.81	$15.00	43.2%	12.4%	16.5%	32.6%	0.0%	2.0%	6.1%	10.3K	-283.7K	-1.6K	0.00	112.40	2	0	477	53