FN Options History — October 2013

In October 2013, FN traded between $16.13 and $17.35. ATM implied volatility averaged 38.4%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 4.1% (HV 20d: 42.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.09.

Notable Days

  • 2013-10-16: Highest Volume — 156 contracts
  • 2013-10-07: Largest IV spike — 36.0% change
  • 2013-10-07: Highest IV Rank — 18.4%
  • 2013-10-08: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.73$16.13$17.35$16.98$16.74
Max Pain$17.17$15.00$17.50$15.00$17.50
ATM IV38.4%31.8%43.2%31.8%40.0%
Expected Move11.0%9.1%12.7%9.1%11.5%
HV 20d42.5%28.6%49.6%44.8%30.6%
HV 60d34.2%32.7%35.9%32.7%35.9%
IV Rank11.7%2.4%18.4%2.4%14.0%
IV Percentile21.5%2.4%42.5%2.4%29.4%
Term Structure2.5%-7.2%11.8%11.8%-3.6%
VWIV37.5%33.9%39.2%33.9%39.2%
Skew 25d1.9%-4.6%8.4%-4.1%-3.0%
Skew 10d3.9%-5.4%13.8%-5.4%-4.0%
Call IV 25d39.7%34.3%45.5%34.9%45.5%
Put IV 25d41.6%30.8%49.9%30.8%42.5%
Bid-Ask Spread %108.4798.58114.63109.70109.38
Gamma HHI0.420.360.500.400.42
Net GEX22.1K5.6K35.5K26.7K7.7K
Net DEX-723.5K-1.1M-288.4K-1.1M-308.4K
Net VEX-1.6K-2.2K-1.3K-2.0K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.001.000.000.00
Total Volume10.1740156190
Total OI1,059.6966741,3161,316687

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$16.98$15.0031.8%9.1%44.8%2.4%33.9%-4.1%11.8%26.7K-1.1M-2.0K0.00109.701901,011305
2013-10-02$16.90$15.0035.1%10.1%45.1%7.1%0.0%-1.1%9.9%35.5K-1.1M-2.0K0.00112.90001,008305
2013-10-03$16.78$15.0038.1%10.9%45.4%11.2%0.0%-1.8%2.3%31.7K-1.0M-2.2K0.00114.63101,008305
2013-10-04$16.97$17.5031.8%10.9%45.4%2.5%0.0%7.9%6.3%29.6K-1.1M-2.1K0.00108.28001,007305
2013-10-07$16.76$17.5043.2%10.7%45.3%18.4%0.0%7.9%7.0%29.9K-1.1M-2.0K0.00110.14901,007305
2013-10-08$16.40$17.5038.0%12.7%46.3%11.2%0.0%2.6%-1.9%34.1K-926.2K-1.9K0.00102.96041,002305
2013-10-09$16.36$17.5042.2%10.3%46.3%17.0%0.0%5.5%5.8%34.8K-909.2K-2.0K1.00110.08111,002305
2013-10-10$16.54$17.5040.0%11.5%46.3%14.0%0.0%7.0%-1.0%27.3K-952.7K-1.8K0.0098.58001,002305
2013-10-11$16.25$17.5042.0%12.0%46.2%16.7%0.0%8.4%9.2%35.1K-888.4K-1.8K0.00100.86001,002305
2013-10-14$16.49$17.5036.4%10.4%46.3%8.9%0.0%1.8%-2.7%33.8K-939.0K-1.6K0.00108.25001,002305
2013-10-15$16.26$17.5041.3%11.8%46.5%15.8%0.0%3.0%-7.2%31.8K-897.0K-1.6K0.00108.02501,002305
2013-10-16$16.68$17.5036.1%10.3%47.0%8.5%0.0%4.3%3.9%31.5K-1.0M-1.6K0.00109.4815601,001305
2013-10-17$16.13$17.5039.9%11.4%48.4%13.8%0.0%5.9%5.4%32.7K-782.6K-1.5K0.00107.2220949305
2013-10-18$16.82$17.5035.1%10.1%49.6%7.1%38.3%7.2%1.8%30.5K-957.3K-1.4K0.00108.39170950291
2013-10-21$16.99$17.5038.6%11.1%47.4%11.9%38.5%-3.7%5.3%5.6K-294.6K-1.4K0.00106.9370384290
2013-10-22$17.35$17.5039.2%11.2%47.2%12.8%39.2%0.7%4.5%7.2K-358.5K-1.3K0.00108.45110389290
2013-10-23$17.02$17.5035.2%10.1%48.2%7.2%0.0%-4.6%3.3%7.5K-343.3K-1.4K0.00109.1900398290
2013-10-24$17.06$17.5038.8%11.1%33.8%12.3%0.0%0.0%2.9%7.1K-337.4K-1.4K0.00110.8810398290
2013-10-25$17.07$17.5041.7%12.0%33.1%16.4%0.0%0.1%-3.0%7.2K-339.2K-1.4K0.00109.3000397290
2013-10-28$17.06$17.5041.8%12.0%28.6%16.5%0.0%-0.4%-2.4%7.3K-335.4K-1.3K0.00111.1500397290
2013-10-29$16.84$17.5035.4%10.2%28.9%7.5%0.0%-0.3%2.7%7.2K-320.0K-1.4K0.00108.9400397290
2013-10-30$16.45$17.5041.3%11.8%30.0%15.8%0.0%0.1%-2.2%6.8K-288.4K-1.4K0.00111.0300397290
2013-10-31$16.74$17.5040.0%11.5%30.6%14.0%0.0%-3.0%-3.6%7.7K-308.4K-1.3K0.00109.3800397290