FN Options History — August 2013

In August 2013, FN traded between $13.96 and $15.53. ATM implied volatility averaged 44.7%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 23.9% (HV 20d: 20.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.11.

Notable Days

  • 2013-08-12: Highest Volume — 290 contracts
  • 2013-08-12: Largest IV spike — 73.1% change
  • 2013-08-12: Highest IV Rank — 100.0%
  • 2013-08-08: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.96$13.96$15.53$14.93$13.96
Max Pain$12.81$12.50$15.00$15.00$12.50
ATM IV44.7%30.2%101.7%42.3%42.8%
Expected Move11.4%8.7%14.9%12.1%12.3%
HV 20d20.8%16.5%28.7%16.6%28.7%
HV 60d21.0%19.0%22.9%21.8%22.4%
IV Rank27.8%0.2%100.0%30.4%17.7%
IV Percentile32.8%0.4%100.0%22.2%29.4%
Term Structure-0.4%-10.4%10.5%-3.5%-10.4%
VWIV37.0%27.3%43.5%43.5%27.3%
Skew 25d5.3%-10.4%18.4%-5.3%-10.4%
Skew 10d7.0%-8.2%20.2%-8.2%-5.6%
Call IV 25d37.2%26.0%47.5%47.2%44.5%
Put IV 25d42.5%32.5%58.1%41.9%34.1%
Bid-Ask Spread %107.8398.56114.64114.64109.08
Gamma HHI0.770.680.940.700.82
Net GEX20.4K9.8K68.6K10.9K16.7K
Net DEX-405.4K-761.1K-263.7K-301.6K-280.1K
Net VEX-1.7K-1.9K-1.5K-1.6K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.000.000.17
Total Volume31.50290070
Total OI658.545532896532698

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$14.93$15.0042.3%12.1%16.6%30.4%0.0%-5.3%-3.5%10.9K-301.6K-1.6K0.00114.640047953
2013-08-02$14.71$15.0036.8%10.6%16.5%16.7%0.0%1.7%7.9%10.8K-287.0K-1.6K0.00107.650047953
2013-08-05$14.89$0.0053.9%11.5%16.6%59.5%0.0%-0.7%2.1%11.0K-294.4K-1.6K0.0099.1010047953
2013-08-06$14.75$0.0049.8%12.5%17.1%49.1%0.0%3.5%-1.4%10.8K-293.6K-1.6K1.00105.06101047953
2013-08-07$14.70$0.0056.9%12.6%17.0%67.0%0.0%11.1%-4.5%10.4K-263.7K-1.5K0.00107.930048163
2013-08-08$14.80$0.0060.9%14.9%16.8%76.9%0.0%18.4%-8.3%9.8K-284.3K-1.6K0.00101.420048163
2013-08-09$14.70$0.0058.7%14.0%16.9%71.6%0.0%15.5%-9.4%10.5K-274.3K-1.5K0.00106.190048163
2013-08-12$14.95$0.00101.7%13.9%17.9%100.0%43.5%14.1%-2.4%10.5K-281.4K-1.5K0.0498.562801048163
2013-08-13$15.38$12.5048.6%12.2%20.2%25.8%42.5%8.6%-5.8%30.8K-597.4K-1.8K0.00105.46101073073
2013-08-14$15.53$12.5038.2%12.0%20.2%11.3%35.4%10.1%-2.3%38.4K-761.1K-1.9K0.00104.6746081173
2013-08-15$15.00$12.5036.1%10.3%24.3%8.4%36.2%4.8%3.7%68.6K-560.2K-1.9K0.00109.1244082373
2013-08-16$15.17$12.5041.5%11.9%24.5%15.9%0.0%5.0%-3.8%50.3K-605.8K-1.9K0.00108.6860079473
2013-08-19$15.16$12.5031.9%9.1%23.5%2.5%0.0%6.8%9.5%16.4K-436.3K-1.8K0.00111.8110060153
2013-08-20$15.15$12.5039.1%11.2%22.7%12.6%27.3%10.3%1.5%16.2K-444.4K-1.9K0.00105.1818061153
2013-08-21$15.10$12.5032.0%9.2%22.8%2.6%0.0%5.1%10.5%17.2K-431.6K-1.9K0.00111.470062153
2013-08-22$15.26$12.5033.8%9.7%22.4%5.1%0.0%7.1%4.7%17.4K-451.6K-1.9K0.00105.270062153
2013-08-23$15.25$12.5030.2%8.7%22.4%0.2%0.0%6.5%6.7%18.6K-448.8K-1.8K0.00112.530062153
2013-08-26$15.35$12.5036.1%10.4%21.1%8.4%0.0%1.1%2.0%18.4K-461.4K-1.8K0.00113.870062153
2013-08-27$15.11$12.5039.3%11.3%21.9%12.9%0.0%3.6%-2.0%19.2K-417.1K-1.8K0.00113.750062153
2013-08-28$14.69$12.5035.8%10.3%24.0%7.9%0.0%0.3%-1.8%18.5K-379.6K-1.8K0.00110.190062153
2013-08-29$14.64$12.5036.4%10.4%23.8%8.8%0.0%-0.1%-1.8%18.3K-363.6K-1.7K0.00110.5924062153
2013-08-30$13.96$12.5042.8%12.3%28.7%17.7%0.0%-10.4%-10.4%16.7K-280.1K-1.6K0.17109.08601064553