FN Options History — February 2014

In February 2014, FN traded between $16.91 and $19.42. ATM implied volatility averaged 36.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 3.7% (HV 20d: 39.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.50.

Notable Days

2014-02-06: Highest Volume — 627 contracts
2014-02-04: Largest IV drop — 24.5% change
2014-02-03: Highest IV Rank — 47.7%
2014-02-03: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.28	$16.91	$19.42	$18.42	$19.42
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	36.1%	26.3%	60.7%	60.7%	28.7%
Expected Move	10.5%	7.5%	17.4%	17.4%	8.2%
HV 20d	39.7%	30.0%	43.1%	30.0%	37.3%
HV 60d	31.3%	26.9%	32.7%	26.9%	31.4%
IV Rank	16.3%	3.8%	47.7%	47.7%	6.9%
IV Percentile	28.2%	0.8%	98.4%	98.4%	2.4%
Term Structure	-0.9%	-14.7%	3.0%	-14.7%	3.0%
VWIV	43.9%	36.5%	57.8%	57.8%	36.5%
Skew 25d	5.8%	-0.2%	15.7%	2.4%	8.0%
Skew 10d	13.1%	4.2%	65.5%	4.2%	10.9%
Call IV 25d	33.4%	26.8%	52.4%	52.4%	29.0%
Put IV 25d	39.2%	33.7%	54.8%	54.8%	37.0%
Bid-Ask Spread %	94.86	85.85	100.50	95.06	97.27
Gamma HHI	0.51	0.22	0.70	0.34	0.43
Net GEX	38.4K	5.8K	74.5K	11.5K	50.9K
Net DEX	-1.1M	-2.3M	-55.3K	-416.2K	-1.6M
Net VEX	-3.4K	-5.3K	-2.1K	-2.1K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	0.00	20.00	0.26	0.00
Total Volume	132.474	0	627	322	142
Total OI	1,773.684	1,074	2,621	1,074	1,599

Daily Data (19 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
2014-02-03	$18.42	$17.50	60.7%	17.4%	30.0%	47.7%	57.8%	2.4%	-14.7%	11.5K	-416.2K	-2.1K	0.26	95.06	256	66	703	371
2014-02-04	$17.00	$17.50	45.8%	13.1%	39.8%	28.7%	50.3%	15.7%	-4.6%	5.8K	-55.3K	-2.1K	0.53	96.04	111	59	914	429
2014-02-05	$16.91	$17.50	40.0%	11.5%	39.8%	21.3%	41.0%	-0.2%	-1.5%	7.9K	-115.1K	-2.3K	0.00	99.90	13	0	976	444
2014-02-06	$17.28	$17.50	39.8%	11.4%	40.9%	21.1%	39.8%	4.9%	-0.7%	9.7K	-193.2K	-2.3K	0.01	94.98	622	5	973	444
2014-02-07	$17.40	$17.50	36.1%	10.9%	40.9%	16.3%	38.2%	4.2%	-1.0%	44.9K	-984.4K	-4.8K	0.00	85.85	29	0	1,819	442
2014-02-10	$17.18	$17.50	39.2%	11.2%	40.8%	20.3%	0.0%	12.3%	-0.3%	34.4K	-705.4K	-4.0K	20.00	98.44	1	20	1,581	442
2014-02-11	$17.86	$17.50	31.7%	10.9%	42.3%	10.7%	0.0%	13.8%	-1.1%	40.3K	-989.3K	-3.9K	0.00	100.50	25	0	1,582	452
2014-02-12	$17.97	$17.50	34.7%	10.4%	41.9%	14.6%	36.5%	6.5%	-0.5%	39.1K	-1.1M	-4.0K	0.00	91.55	6	0	1,580	452
2014-02-13	$18.26	$17.50	36.5%	10.5%	42.2%	16.9%	0.0%	5.5%	0.4%	41.0K	-1.3M	-3.8K	0.00	89.37	605	0	1,574	452
2014-02-14	$18.74	$17.50	35.4%	10.1%	43.1%	15.4%	0.0%	3.4%	1.1%	74.5K	-2.3M	-5.3K	0.00	92.00	95	0	2,169	452
2014-02-18	$18.75	$17.50	37.6%	10.8%	43.0%	18.3%	0.0%	4.3%	-1.6%	47.4K	-1.5M	-3.4K	0.00	93.89	0	0	1,556	452
2014-02-19	$18.70	$17.50	37.6%	10.8%	40.8%	18.2%	0.0%	4.4%	-1.3%	46.1K	-1.5M	-3.4K	0.00	94.60	17	0	1,556	452
2014-02-20	$18.77	$17.50	33.0%	9.5%	40.6%	12.4%	0.0%	4.0%	0.2%	48.3K	-1.6M	-3.3K	16.67	94.28	3	50	1,572	439
2014-02-21	$19.01	$17.50	31.3%	9.0%	40.1%	10.2%	0.0%	5.4%	0.8%	44.5K	-1.6M	-3.3K	0.00	94.09	0	0	1,572	489
2014-02-24	$18.84	$17.50	29.8%	8.6%	38.6%	8.3%	0.0%	4.9%	2.9%	44.5K	-1.3M	-3.2K	0.00	96.29	4	0	1,263	172
2014-02-25	$18.79	$17.50	26.3%	7.5%	38.4%	3.8%	0.0%	2.3%	0.4%	45.4K	-1.3M	-3.1K	0.00	95.55	0	0	1,267	172
2014-02-26	$18.98	$17.50	30.0%	8.6%	37.2%	8.5%	0.0%	4.7%	1.9%	45.9K	-1.3M	-3.0K	0.00	95.56	0	10	1,267	172
2014-02-27	$18.97	$17.50	31.1%	8.9%	36.8%	10.0%	0.0%	4.2%	-0.5%	46.6K	-1.3M	-3.0K	0.00	97.13	378	0	1,267	182
2014-02-28	$19.42	$17.50	28.7%	8.2%	37.3%	6.9%	0.0%	8.0%	3.0%	50.9K	-1.6M	-3.5K	0.00	97.27	142	0	1,417	182