FN Options History — December 2013

In December 2013, FN traded between $19.28 and $20.65. ATM implied volatility averaged 31.3%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.5% (HV 20d: 23.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2013-12-30: Highest Volume — 58 contracts
2013-12-24: Largest IV drop — 16.1% change
2013-12-27: Highest IV Rank — 8.6%
2013-12-04: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.79	$19.28	$20.65	$20.09	$20.56
Max Pain	$15.95	$15.00	$20.00	$20.00	$15.00
ATM IV	31.3%	25.5%	34.3%	32.1%	27.1%
Expected Move	8.9%	7.3%	9.8%	9.2%	7.8%
HV 20d	23.8%	14.0%	44.5%	43.3%	22.1%
HV 60d	37.7%	33.0%	40.4%	40.2%	33.3%
IV Rank	3.5%	0.0%	8.6%	2.9%	2.1%
IV Percentile	5.4%	0.0%	10.7%	6.0%	0.4%
Term Structure	5.4%	-2.6%	15.3%	-0.9%	13.1%
VWIV	37.8%	29.2%	79.8%	32.9%	31.2%
Skew 25d	6.8%	0.3%	10.8%	2.9%	4.2%
Skew 10d	10.7%	2.5%	16.4%	4.4%	9.7%
Call IV 25d	28.0%	21.6%	33.8%	29.0%	24.6%
Put IV 25d	34.8%	27.4%	44.3%	31.9%	28.8%
Bid-Ask Spread %	95.77	83.98	107.82	101.81	105.09
Gamma HHI	0.41	0.33	0.54	0.40	0.54
Net GEX	16.8K	-6.0K	29.8K	14.0K	28.3K
Net DEX	-839.0K	-1.1M	-694.7K	-881.2K	-1.1M
Net VEX	-1.8K	-2.1K	-1.7K	-2.1K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.00	2.41	0.00	1.17
Total Volume	9.238	0	58	0	13
Total OI	1,073.19	993	1,105	1,079	1,105

Daily Data (21 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
2013-12-02	$20.09	$20.00	32.1%	9.2%	43.3%	2.9%	0.0%	2.9%	-0.9%	14.0K	-881.2K	-2.1K	0.00	101.81	0	0	732	347
2013-12-03	$19.61	$20.00	32.9%	9.4%	44.5%	4.0%	32.9%	9.6%	-2.1%	14.6K	-783.7K	-2.0K	0.00	98.14	1	0	732	347
2013-12-04	$19.65	$20.00	34.3%	9.8%	25.3%	6.0%	0.0%	10.8%	-2.6%	14.2K	-803.6K	-2.1K	0.00	98.28	0	0	732	347
2013-12-05	$19.59	$20.00	34.2%	9.8%	25.4%	5.8%	0.0%	10.6%	-2.2%	14.3K	-784.4K	-2.0K	0.00	99.35	0	0	732	347
2013-12-06	$19.68	$15.00	30.8%	8.7%	24.7%	1.1%	0.0%	3.0%	6.0%	13.7K	-796.4K	-2.0K	0.00	83.98	0	0	732	347
2013-12-09	$19.52	$15.00	32.9%	9.7%	24.8%	4.1%	34.0%	0.3%	3.6%	13.0K	-770.1K	-1.9K	0.00	96.23	20	0	732	347
2013-12-10	$19.38	$15.00	32.6%	9.3%	24.9%	3.6%	32.2%	9.5%	5.1%	13.2K	-754.8K	-2.0K	0.00	85.51	3	0	737	347
2013-12-11	$19.31	$15.00	34.0%	9.1%	24.9%	5.6%	0.0%	8.7%	5.2%	13.7K	-725.6K	-1.9K	0.00	86.37	0	0	734	347
2013-12-12	$19.31	$15.00	31.7%	9.1%	24.7%	2.3%	0.0%	8.1%	5.2%	13.8K	-721.4K	-1.8K	2.00	85.70	1	2	734	347
2013-12-13	$19.28	$15.00	31.9%	9.1%	21.3%	2.6%	0.0%	8.1%	5.6%	13.6K	-714.9K	-1.8K	0.00	86.37	20	0	734	349
2013-12-16	$19.39	$15.00	32.9%	9.4%	20.5%	4.0%	33.0%	8.7%	4.4%	15.5K	-744.5K	-1.9K	0.00	87.13	4	0	754	349
2013-12-17	$19.53	$15.00	32.4%	9.3%	17.5%	3.4%	0.0%	8.3%	5.1%	14.4K	-765.2K	-1.8K	0.00	87.33	0	0	754	349
2013-12-18	$19.75	$15.00	29.6%	8.5%	14.0%	0.0%	0.0%	9.0%	6.7%	12.6K	-806.0K	-1.8K	0.00	88.26	0	0	754	349
2013-12-19	$19.36	$15.00	30.7%	8.8%	15.8%	1.5%	79.8%	6.2%	6.1%	15.5K	-694.7K	-1.7K	1.50	94.60	2	3	742	349
2013-12-20	$19.93	$15.00	28.2%	8.1%	19.0%	0.0%	0.0%	9.5%	8.6%	-6.0K	-826.2K	-1.7K	0.00	97.54	0	0	744	346
2013-12-23	$20.02	$15.00	30.4%	8.7%	19.0%	3.0%	30.4%	1.6%	6.4%	25.5K	-914.9K	-1.7K	0.00	103.27	15	0	722	271
2013-12-24	$20.65	$15.00	25.5%	7.3%	21.6%	0.0%	0.0%	6.7%	15.3%	29.8K	-1.0M	-1.7K	1.00	107.23	10	10	737	271
2013-12-26	$20.32	$15.00	29.3%	8.4%	21.9%	5.0%	29.2%	5.1%	10.3%	26.7K	-1.0M	-1.7K	0.00	104.27	0	22	747	281
2013-12-27	$20.35	$15.00	32.1%	9.2%	21.9%	8.6%	0.0%	6.6%	6.5%	25.3K	-1.0M	-1.8K	0.00	107.82	0	10	747	303
2013-12-30	$20.24	$15.00	31.1%	8.9%	22.0%	7.3%	31.2%	5.6%	8.5%	26.1K	-997.4K	-1.7K	2.41	106.97	17	41	747	313
2013-12-31	$20.56	$15.00	27.1%	7.8%	22.1%	2.1%	0.0%	4.2%	13.1%	28.3K	-1.1M	-1.8K	1.17	105.09	6	7	751	354