FN Options History — March 2014

In March 2014, FN traded between $19.24 and $20.77. ATM implied volatility averaged 30.0%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.5% (HV 20d: 30.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.37.

Notable Days

2014-03-04: Highest Volume — 111 contracts
2014-03-05: Largest IV drop — 6.1% change
2014-03-25: Highest IV Rank — 11.5%
2014-03-25: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.04	$19.24	$20.77	$19.54	$20.77
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	30.0%	26.9%	32.3%	30.2%	31.3%
Expected Move	8.7%	7.7%	9.3%	8.7%	9.0%
HV 20d	30.4%	25.2%	40.3%	37.2%	34.6%
HV 60d	33.6%	31.1%	34.9%	31.1%	33.8%
IV Rank	8.5%	4.6%	11.5%	8.8%	10.2%
IV Percentile	8.8%	1.2%	21.0%	5.6%	16.3%
Term Structure	5.9%	0.7%	11.6%	1.7%	11.6%
VWIV	29.9%	24.8%	32.3%	28.1%	30.5%
Skew 25d	5.9%	-1.5%	12.0%	9.6%	-0.3%
Skew 10d	9.7%	-1.9%	19.5%	13.4%	0.3%
Call IV 25d	28.5%	24.1%	33.5%	30.5%	33.5%
Put IV 25d	34.4%	29.6%	40.1%	40.1%	33.2%
Bid-Ask Spread %	110.39	91.26	128.61	98.18	100.88
Gamma HHI	0.35	0.29	0.46	0.40	0.32
Net GEX	44.3K	28.6K	52.1K	52.1K	28.6K
Net DEX	-1.8M	-2.1M	-1.5M	-1.7M	-2.1M
Net VEX	-3.0K	-3.6K	-2.4K	-3.6K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.00	14.50	0.00	0.00
Total Volume	18.429	0	111	1	40
Total OI	1,650.619	1,588	1,712	1,626	1,712

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
2014-03-03	$19.54	$17.50	30.2%	8.7%	37.2%	8.8%	0.0%	9.6%	1.7%	52.1K	-1.7M	-3.6K	0.00	98.18	1	0	1,444	182
2014-03-04	$20.49	$17.50	29.9%	8.6%	40.3%	8.4%	0.0%	5.5%	0.7%	49.1K	-2.0M	-3.1K	0.10	100.80	101	10	1,445	182
2014-03-05	$20.35	$17.50	28.1%	8.1%	25.3%	6.1%	28.1%	3.8%	2.5%	49.2K	-1.9M	-3.6K	1.67	103.04	15	25	1,446	192
2014-03-06	$20.17	$17.50	26.9%	7.7%	25.6%	4.6%	0.0%	2.7%	2.9%	47.1K	-1.9M	-3.5K	0.00	128.61	1	0	1,446	217
2014-03-07	$20.22	$17.50	28.0%	8.7%	25.2%	6.0%	0.0%	4.3%	5.1%	48.1K	-1.9M	-3.4K	0.00	103.71	0	3	1,445	217
2014-03-10	$20.01	$17.50	28.5%	8.7%	26.0%	6.6%	0.0%	2.7%	5.2%	47.4K	-1.8M	-3.3K	0.00	91.26	0	0	1,445	220
2014-03-11	$19.37	$17.50	29.4%	8.9%	28.8%	7.8%	0.0%	7.3%	4.5%	50.2K	-1.5M	-3.6K	0.00	110.85	0	0	1,445	220
2014-03-12	$19.79	$17.50	29.3%	8.5%	26.8%	7.7%	0.0%	2.2%	5.9%	48.6K	-1.7M	-3.2K	0.00	112.49	0	0	1,445	220
2014-03-13	$19.24	$17.50	31.0%	8.9%	29.3%	9.9%	31.2%	6.8%	4.9%	51.5K	-1.5M	-3.4K	0.00	112.07	1	0	1,445	220
2014-03-14	$19.70	$17.50	29.7%	8.5%	29.8%	8.2%	0.0%	9.2%	5.7%	49.3K	-1.7M	-3.2K	0.00	114.63	0	0	1,445	220
2014-03-17	$19.89	$17.50	30.2%	8.7%	28.8%	8.8%	24.8%	9.8%	4.9%	48.4K	-1.8M	-3.1K	0.00	112.47	4	0	1,445	220
2014-03-18	$19.83	$17.50	29.1%	8.3%	28.8%	7.4%	0.0%	9.1%	5.9%	48.9K	-1.8M	-3.0K	0.00	113.70	0	0	1,446	220
2014-03-19	$20.10	$17.50	28.9%	8.3%	29.0%	7.1%	0.0%	10.8%	6.3%	50.0K	-1.9M	-2.7K	0.00	118.08	0	0	1,446	220
2014-03-20	$20.62	$17.50	30.0%	8.6%	30.0%	8.6%	29.7%	0.2%	5.6%	36.8K	-2.0M	-2.4K	0.00	115.35	23	0	1,368	220
2014-03-21	$20.24	$17.50	31.1%	8.9%	31.0%	9.9%	31.2%	4.5%	5.5%	41.5K	-1.9M	-2.7K	1.52	112.00	23	35	1,384	220
2014-03-24	$20.08	$17.50	31.0%	8.9%	30.9%	9.8%	31.3%	12.0%	9.5%	36.9K	-1.8M	-2.8K	0.00	112.92	23	0	1,382	246
2014-03-25	$19.95	$17.50	32.3%	9.3%	31.0%	11.5%	32.3%	11.3%	7.6%	39.0K	-1.8M	-2.8K	0.07	112.58	15	1	1,389	246
2014-03-26	$19.64	$17.50	32.0%	9.2%	31.6%	11.1%	0.0%	8.8%	8.5%	41.8K	-1.7M	-2.9K	0.00	118.81	4	0	1,404	246
2014-03-27	$20.50	$17.50	31.9%	9.1%	34.8%	10.9%	0.0%	-1.5%	9.4%	32.9K	-2.0M	-2.6K	0.00	110.87	0	0	1,408	246
2014-03-28	$20.38	$17.50	30.5%	8.7%	34.1%	9.2%	30.5%	5.9%	9.8%	32.0K	-2.0M	-2.5K	14.50	114.97	4	58	1,408	246
2014-03-31	$20.77	$17.50	31.3%	9.0%	34.6%	10.2%	0.0%	-0.3%	11.6%	28.6K	-2.1M	-2.4K	0.00	100.88	40	0	1,412	300