FN Options History — January 2014

In January 2014, FN traded between $17.69 and $19.68. ATM implied volatility averaged 41.5%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 11.4% (HV 20d: 30.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.10.

Notable Days

2014-01-15: Highest Volume — 152 contracts
2014-01-07: Largest IV spike — 34.6% change
2014-01-30: Highest IV Rank — 39.0%
2014-01-30: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.53	$17.69	$19.68	$19.68	$18.47
Max Pain	$17.26	$15.00	$17.50	$15.00	$17.50
ATM IV	41.5%	23.3%	53.8%	30.0%	53.1%
Expected Move	13.0%	8.6%	15.4%	8.6%	15.2%
HV 20d	30.1%	25.9%	33.3%	25.9%	30.0%
HV 60d	34.2%	33.0%	34.8%	34.5%	34.4%
IV Rank	23.0%	0.0%	39.0%	6.0%	38.0%
IV Percentile	53.9%	0.0%	95.6%	2.4%	94.4%
Term Structure	-3.4%	-9.1%	10.2%	10.2%	-5.5%
VWIV	46.1%	30.1%	53.1%	30.1%	53.1%
Skew 25d	4.5%	-3.7%	14.6%	0.1%	-3.7%
Skew 10d	9.6%	-16.1%	23.1%	-0.2%	-16.1%
Call IV 25d	43.6%	30.2%	53.9%	31.0%	53.9%
Put IV 25d	48.1%	31.2%	56.9%	31.2%	50.3%
Bid-Ask Spread %	85.86	68.04	108.65	101.48	93.24
Gamma HHI	0.41	0.33	0.54	0.54	0.41
Net GEX	10.3K	1.7K	27.7K	27.7K	7.9K
Net DEX	-516.0K	-887.1K	-255.1K	-869.2K	-380.0K
Net VEX	-1.8K	-2.0K	-1.5K	-1.8K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.10	0.00	18.00	0.10	0.10
Total Volume	33.952	0	152	32	106
Total OI	1,113.762	814	1,439	1,118	968

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
2014-01-02	$19.68	$15.00	30.0%	8.6%	25.9%	6.0%	30.1%	0.1%	10.2%	27.7K	-869.2K	-1.8K	0.10	101.48	29	3	757	361
2014-01-03	$19.55	$15.00	31.0%	8.9%	26.0%	7.2%	0.0%	-1.0%	9.0%	26.3K	-887.1K	-1.8K	0.00	108.65	0	45	770	364
2014-01-06	$19.00	$17.50	23.3%	11.4%	27.8%	0.0%	44.9%	14.6%	-1.2%	19.2K	-710.0K	-1.7K	10.00	86.21	2	20	770	409
2014-01-07	$18.88	$17.50	31.4%	11.8%	27.8%	10.3%	46.0%	4.5%	-4.1%	17.9K	-703.9K	-1.8K	18.00	77.40	1	18	770	429
2014-01-08	$18.71	$17.50	36.9%	13.2%	27.8%	17.3%	0.0%	2.5%	-5.5%	14.8K	-638.4K	-1.7K	0.00	77.45	29	0	771	447
2014-01-09	$18.45	$17.50	28.4%	12.1%	28.1%	6.6%	46.1%	8.2%	-1.6%	7.4K	-579.6K	-1.5K	8.33	86.06	6	50	773	447
2014-01-10	$18.17	$17.50	31.5%	12.8%	28.5%	10.5%	44.5%	5.7%	-4.7%	6.0K	-517.5K	-1.6K	0.00	77.64	0	14	766	497
2014-01-13	$17.69	$17.50	36.4%	12.5%	29.6%	16.7%	44.3%	7.1%	-2.6%	2.4K	-435.0K	-1.5K	0.00	91.07	0	19	766	511
2014-01-14	$18.01	$17.50	37.8%	13.2%	30.7%	18.5%	0.0%	7.6%	-5.9%	3.2K	-474.0K	-1.5K	0.00	81.23	0	0	766	521
2014-01-15	$18.10	$17.50	42.5%	13.0%	30.7%	24.5%	45.4%	2.2%	-2.7%	1.7K	-487.6K	-1.5K	0.00	95.69	152	0	766	521
2014-01-16	$18.00	$17.50	45.5%	13.1%	30.4%	28.4%	0.0%	8.7%	-4.5%	9.4K	-634.9K	-1.8K	0.00	68.04	2	0	918	521
2014-01-17	$18.22	$17.50	46.3%	13.3%	30.5%	29.4%	45.6%	5.8%	-4.0%	8.6K	-679.2K	-1.8K	0.00	91.06	25	0	918	521
2014-01-21	$18.92	$17.50	45.2%	13.0%	33.2%	27.9%	48.7%	5.5%	-4.7%	8.4K	-361.4K	-1.8K	0.40	79.70	57	23	527	287
2014-01-22	$19.11	$17.50	47.2%	13.5%	31.6%	30.5%	46.7%	2.3%	-4.5%	10.1K	-463.8K	-2.0K	1.63	79.24	16	26	583	310
2014-01-23	$18.69	$17.50	50.3%	14.4%	32.2%	34.4%	48.7%	5.0%	-7.1%	8.9K	-387.2K	-2.0K	1.67	83.80	6	10	586	336
2014-01-24	$18.13	$17.50	49.0%	14.0%	30.9%	32.8%	48.8%	5.6%	-5.3%	6.0K	-265.7K	-1.9K	0.00	83.60	0	10	580	346
2014-01-27	$17.99	$17.50	50.3%	14.4%	30.7%	34.4%	50.2%	6.4%	-5.6%	5.7K	-255.1K	-1.9K	0.10	82.04	29	3	580	346
2014-01-28	$18.52	$17.50	52.6%	15.1%	33.1%	37.4%	0.0%	6.4%	-7.1%	8.1K	-370.1K	-2.0K	0.00	79.83	0	0	607	349
2014-01-29	$18.26	$17.50	48.9%	14.0%	33.2%	32.7%	48.1%	-3.3%	-4.9%	7.8K	-349.2K	-1.9K	0.00	96.05	0	12	607	349
2014-01-30	$18.56	$17.50	53.8%	15.4%	33.3%	39.0%	0.0%	3.6%	-9.1%	8.2K	-387.5K	-2.0K	0.00	83.59	0	0	607	361
2014-01-31	$18.47	$17.50	53.1%	15.2%	30.0%	38.0%	53.1%	-3.7%	-5.5%	7.9K	-380.0K	-2.0K	0.10	93.24	96	10	607	361