FN Options History — November 2013

In November 2013, FN traded between $16.72 and $20.18. ATM implied volatility averaged 40.7%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 3.2% (HV 20d: 43.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.11.

Notable Days

2013-11-05: Highest Volume — 159 contracts
2013-11-05: Largest IV drop — 33.2% change
2013-11-04: Highest IV Rank — 51.4%
2013-11-01: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.20	$16.72	$20.18	$16.72	$19.80
Max Pain	$19.72	$17.50	$20.00	$17.50	$20.00
ATM IV	40.7%	30.4%	66.8%	53.7%	30.5%
Expected Move	10.4%	8.7%	15.4%	15.4%	8.8%
HV 20d	43.9%	30.3%	47.7%	30.3%	43.4%
HV 60d	40.6%	35.9%	42.3%	35.9%	40.2%
IV Rank	14.9%	0.5%	51.4%	33.1%	0.7%
IV Percentile	36.7%	1.2%	99.2%	92.1%	2.0%
Term Structure	-0.1%	-12.9%	4.9%	-12.9%	-0.1%
VWIV	40.1%	29.9%	54.8%	54.8%	29.9%
Skew 25d	4.1%	-5.5%	10.7%	-5.5%	10.7%
Skew 10d	18.1%	-2.2%	73.6%	3.0%	16.8%
Call IV 25d	33.6%	27.9%	53.7%	53.7%	28.5%
Put IV 25d	37.8%	26.7%	48.2%	48.2%	39.2%
Bid-Ask Spread %	104.49	89.41	108.45	105.83	101.15
Gamma HHI	0.34	0.30	0.44	0.40	0.36
Net GEX	12.3K	7.5K	14.9K	7.5K	14.0K
Net DEX	-685.3K	-835.3K	-308.1K	-308.1K	-835.3K
Net VEX	-1.6K	-2.2K	-1.1K	-1.3K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	1.39	0.00	0.00
Total Volume	40.55	0	159	26	0
Total OI	921.35	687	1,079	687	1,079

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
2013-11-01	$16.72	$17.50	53.7%	15.4%	30.3%	33.1%	54.8%	-5.5%	-12.9%	7.5K	-308.1K	-1.3K	0.00	105.83	26	0	397	290
2013-11-04	$17.13	$0.00	66.8%	12.4%	31.2%	51.4%	0.0%	9.3%	-2.8%	8.9K	-353.8K	-1.2K	0.00	105.02	97	0	414	290
2013-11-05	$19.02	$0.00	44.6%	10.7%	47.2%	20.4%	37.8%	2.9%	0.8%	13.2K	-711.4K	-1.2K	0.05	107.23	151	8	505	290
2013-11-06	$19.00	$17.50	42.5%	11.0%	47.1%	17.5%	37.8%	8.6%	2.5%	11.9K	-688.0K	-1.3K	1.39	98.94	41	57	507	298
2013-11-07	$18.74	$20.00	43.1%	11.1%	47.7%	18.2%	0.0%	4.9%	4.9%	11.4K	-585.2K	-1.5K	0.00	103.25	8	0	538	355
2013-11-08	$18.95	$20.00	44.1%	10.2%	46.9%	19.7%	0.0%	7.2%	1.1%	11.4K	-604.0K	-1.4K	0.00	106.03	1	0	534	355
2013-11-11	$19.05	$20.00	49.1%	10.5%	46.8%	26.6%	0.0%	2.4%	1.4%	12.0K	-623.3K	-1.3K	0.00	107.81	0	0	533	355
2013-11-12	$19.18	$20.00	51.1%	10.8%	46.1%	29.4%	0.0%	4.3%	-2.0%	12.1K	-649.9K	-1.2K	0.00	108.45	5	0	533	355
2013-11-13	$19.31	$20.00	52.6%	10.7%	45.7%	31.5%	0.0%	4.2%	-3.1%	12.5K	-675.0K	-1.1K	0.00	108.00	20	0	533	355
2013-11-14	$19.97	$20.00	37.9%	10.9%	43.9%	11.1%	0.0%	7.1%	-0.9%	11.9K	-771.7K	-1.3K	0.00	101.86	11	0	546	355
2013-11-15	$19.60	$20.00	37.3%	10.7%	43.4%	10.2%	0.0%	6.9%	-2.2%	11.7K	-722.6K	-1.3K	0.00	102.06	14	0	547	355
2013-11-18	$20.18	$20.00	34.6%	9.9%	44.1%	6.5%	0.0%	5.8%	-0.4%	10.0K	-717.8K	-1.3K	0.00	89.41	143	0	495	314
2013-11-19	$19.55	$20.00	30.7%	8.8%	46.1%	0.9%	29.9%	-0.4%	2.9%	13.3K	-761.0K	-1.8K	0.31	107.01	107	33	623	314
2013-11-20	$19.54	$20.00	32.3%	9.3%	45.2%	3.2%	0.0%	6.5%	1.7%	13.5K	-736.0K	-2.1K	0.00	105.52	12	0	688	347
2013-11-21	$19.60	$20.00	31.3%	9.0%	45.2%	1.8%	0.0%	-1.7%	2.5%	13.1K	-780.2K	-2.2K	0.00	107.02	20	0	700	347
2013-11-22	$19.56	$20.00	30.4%	8.7%	45.2%	0.5%	0.0%	6.2%	3.1%	13.8K	-772.3K	-2.2K	0.00	107.17	0	0	720	347
2013-11-25	$19.48	$20.00	35.8%	10.3%	45.3%	8.1%	0.0%	5.4%	-3.1%	14.9K	-766.8K	-2.1K	0.00	105.99	0	0	720	347
2013-11-26	$19.81	$20.00	32.6%	9.4%	44.8%	3.7%	0.0%	-1.2%	2.0%	13.9K	-826.5K	-2.1K	0.00	107.44	42	0	720	347
2013-11-27	$19.84	$20.00	32.8%	9.4%	43.4%	3.9%	0.0%	-0.9%	2.7%	14.0K	-816.5K	-2.2K	0.00	104.70	15	0	732	347
2013-11-29	$19.80	$20.00	30.5%	8.8%	43.4%	0.7%	0.0%	10.7%	-0.1%	14.0K	-835.3K	-2.2K	0.00	101.15	0	0	732	347