FN Options History — September 2013

In September 2013, FN traded between $13.89 and $16.84. ATM implied volatility averaged 37.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 6.4% (HV 20d: 31.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.11.

Notable Days

2013-09-12: Highest Volume — 287 contracts
2013-09-20: Largest IV spike — 25.2% change
2013-09-11: Highest IV Rank — 19.1%
2013-09-26: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.80	$13.89	$16.84	$13.89	$16.84
Max Pain	$14.63	$12.50	$15.00	$12.50	$15.00
ATM IV	37.8%	30.0%	43.8%	39.3%	35.8%
Expected Move	10.7%	8.6%	12.2%	11.3%	10.3%
HV 20d	31.4%	26.3%	47.0%	28.1%	45.1%
HV 60d	24.1%	21.8%	32.7%	22.4%	32.7%
IV Rank	10.9%	0.0%	19.1%	12.8%	8.0%
IV Percentile	15.3%	0.0%	37.7%	15.5%	9.9%
Term Structure	2.6%	-2.4%	14.9%	-2.4%	-1.3%
VWIV	39.3%	33.5%	44.9%	41.5%	33.5%
Skew 25d	4.3%	-8.8%	24.9%	-1.0%	9.2%
Skew 10d	6.8%	-12.5%	42.7%	-6.2%	11.3%
Call IV 25d	37.5%	32.9%	44.4%	38.8%	41.1%
Put IV 25d	41.8%	32.5%	59.6%	37.8%	50.3%
Bid-Ask Spread %	103.34	76.83	111.64	110.78	109.83
Gamma HHI	0.72	0.43	0.83	0.83	0.43
Net GEX	27.0K	17.6K	35.9K	17.6K	35.9K
Net DEX	-458.8K	-1.0M	-274.2K	-274.2K	-1.0M
Net VEX	-2.0K	-2.4K	-1.7K	-1.7K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.00	3.75	0.10	1.79
Total Volume	35.8	0	287	0	0
Total OI	1,014.95	768	1,316	768	1,316

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
2013-09-03	$13.89	$12.50	39.3%	11.3%	28.1%	12.8%	0.0%	-1.0%	-2.4%	17.6K	-274.2K	-1.7K	0.00	110.78	0	0	705	63
2013-09-04	$14.07	$12.50	38.9%	11.2%	28.6%	12.3%	0.0%	-3.9%	-1.8%	18.5K	-297.7K	-1.7K	0.00	107.05	0	50	705	63
2013-09-05	$14.18	$12.50	39.8%	11.4%	28.9%	13.6%	0.0%	11.4%	-1.0%	20.0K	-278.8K	-1.9K	0.00	111.64	0	0	705	113
2013-09-06	$14.24	$15.00	39.0%	9.8%	28.8%	12.3%	0.0%	7.8%	2.5%	19.1K	-312.3K	-1.9K	0.00	101.11	0	0	705	113
2013-09-09	$14.66	$15.00	39.7%	11.1%	30.7%	13.4%	0.0%	12.9%	3.5%	21.3K	-358.5K	-1.9K	0.00	97.44	0	0	705	113
2013-09-10	$14.90	$15.00	41.2%	11.0%	30.7%	15.5%	0.0%	1.4%	2.6%	22.8K	-426.9K	-2.0K	0.00	106.08	0	0	705	113
2013-09-11	$14.86	$15.00	43.8%	11.3%	28.8%	19.1%	0.0%	1.5%	2.3%	22.3K	-416.5K	-2.0K	0.00	106.02	0	0	705	113
2013-09-12	$14.90	$15.00	40.1%	11.5%	28.5%	13.9%	41.5%	-8.8%	0.5%	22.4K	-431.2K	-1.9K	0.10	76.83	262	25	705	113
2013-09-13	$14.61	$15.00	35.1%	10.1%	26.6%	7.0%	0.0%	4.9%	4.1%	31.5K	-450.9K	-2.1K	0.00	103.33	0	25	919	138
2013-09-16	$14.63	$15.00	39.0%	11.2%	26.3%	12.4%	0.0%	-2.7%	1.3%	30.5K	-429.8K	-2.1K	0.00	99.06	0	25	919	163
2013-09-17	$14.49	$15.00	34.2%	9.8%	26.4%	5.7%	0.0%	-3.8%	3.0%	30.8K	-390.4K	-2.1K	0.00	106.46	3	0	919	188
2013-09-18	$14.57	$15.00	33.8%	9.7%	26.5%	5.1%	0.0%	-0.8%	2.1%	32.0K	-397.4K	-2.0K	0.00	107.29	0	0	919	188
2013-09-19	$14.30	$15.00	30.0%	8.6%	27.2%	0.0%	0.0%	10.2%	3.6%	28.8K	-343.6K	-1.9K	1.62	99.90	26	42	899	188
2013-09-20	$14.17	$15.00	37.6%	10.8%	26.8%	10.6%	0.0%	-2.7%	0.8%	25.0K	-305.0K	-2.1K	3.75	100.33	8	30	925	230
2013-09-23	$14.86	$15.00	33.6%	9.6%	32.4%	5.1%	0.0%	24.9%	12.8%	34.8K	-412.9K	-2.1K	0.00	110.91	0	0	899	260
2013-09-24	$14.70	$15.00	34.5%	9.9%	32.4%	6.2%	0.0%	3.3%	1.9%	32.9K	-417.4K	-2.2K	0.00	103.10	0	0	899	260
2013-09-25	$14.79	$15.00	37.0%	10.6%	32.2%	9.7%	37.1%	5.2%	4.1%	31.5K	-431.8K	-2.2K	0.16	104.21	31	5	899	260
2013-09-26	$16.33	$15.00	42.6%	12.2%	46.5%	17.5%	44.9%	4.8%	-2.4%	29.7K	-889.5K	-2.2K	0.36	98.95	107	38	904	257
2013-09-27	$16.06	$15.00	42.2%	12.1%	47.0%	17.0%	33.5%	12.0%	14.9%	33.3K	-872.0K	-2.4K	1.79	106.47	14	25	1,011	295
2013-09-30	$16.84	$15.00	35.8%	10.3%	45.1%	8.0%	0.0%	9.2%	-1.3%	35.9K	-1.0M	-2.2K	0.00	109.83	0	0	1,011	305