FN Options History — May 2014

In May 2014, FN traded between $18.63 and $22.06. ATM implied volatility averaged 46.7%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 12.5% (HV 20d: 59.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2014-05-02: Highest Volume — 454 contracts
2014-05-08: Largest IV spike — 199.7% change
2014-05-08: Highest IV Rank — 100.0%
2014-05-09: Largest Expected Move — 22.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.63	$18.63	$22.06	$21.17	$19.02
Max Pain	$20.24	$20.00	$22.50	$20.00	$20.00
ATM IV	46.7%	24.7%	120.9%	55.4%	36.2%
Expected Move	11.2%	7.1%	22.4%	15.9%	10.4%
HV 20d	59.1%	32.0%	65.0%	32.0%	63.9%
HV 60d	42.2%	30.2%	44.8%	30.2%	44.8%
IV Rank	25.8%	1.4%	100.0%	41.0%	13.2%
IV Percentile	45.5%	0.8%	100.0%	97.2%	43.3%
Term Structure	-5.2%	-27.7%	9.3%	-15.7%	-9.7%
VWIV	38.1%	27.2%	69.7%	55.1%	69.7%
Skew 25d	9.8%	-7.6%	39.1%	3.7%	0.4%
Skew 10d	9.8%	-1.8%	38.0%	5.4%	5.7%
Call IV 25d	36.3%	28.1%	57.2%	49.5%	37.7%
Put IV 25d	46.1%	30.6%	96.3%	53.2%	38.1%
Bid-Ask Spread %	107.59	67.62	153.69	90.43	104.98
Gamma HHI	0.44	0.31	0.61	0.34	0.45
Net GEX	12.0K	1.1K	42.9K	20.0K	8.0K
Net DEX	-224.9K	-928.8K	27.5K	-603.6K	-129.2K
Net VEX	-2.4K	-3.2K	-1.8K	-1.9K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.00	5.00	0.00	0.00
Total Volume	84.238	0	454	16	2
Total OI	1,264.762	792	1,759	792	1,328

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
2014-05-01	$21.17	$20.00	55.4%	15.9%	32.0%	41.0%	55.1%	3.7%	-15.7%	20.0K	-603.6K	-1.9K	0.00	90.43	16	0	590	202
2014-05-02	$21.82	$20.00	49.9%	14.3%	33.7%	34.0%	49.5%	4.5%	-13.3%	23.0K	-741.5K	-1.9K	0.46	80.25	310	144	603	202
2014-05-05	$22.06	$22.50	56.6%	10.7%	32.9%	42.5%	41.2%	4.6%	-2.9%	42.9K	-928.8K	-2.6K	1.04	67.62	24	25	913	346
2014-05-06	$18.99	$22.50	38.7%	8.9%	63.5%	19.6%	36.2%	3.4%	-3.1%	7.2K	18.6K	-1.8K	2.79	80.42	112	312	937	371
2014-05-07	$18.82	$20.00	37.6%	11.8%	63.4%	18.2%	45.4%	-7.6%	-14.3%	1.1K	27.5K	-2.6K	1.00	118.30	10	10	1,013	594
2014-05-08	$18.70	$20.00	112.6%	17.5%	62.0%	100.0%	36.2%	13.4%	-24.5%	4.1K	-25.9K	-2.9K	0.00	125.50	29	0	1,023	594
2014-05-09	$19.02	$20.00	120.9%	22.4%	61.9%	100.0%	0.0%	21.5%	-25.1%	13.4K	-196.3K	-3.2K	0.00	152.32	0	0	1,029	594
2014-05-12	$19.70	$20.00	44.9%	10.5%	63.3%	22.1%	36.8%	14.6%	1.5%	15.5K	-161.9K	-2.4K	0.00	94.28	171	0	1,029	594
2014-05-13	$19.51	$20.00	102.7%	19.4%	63.4%	81.3%	0.0%	26.1%	-27.7%	18.9K	-150.2K	-2.5K	0.00	153.69	122	0	1,067	594
2014-05-14	$18.82	$20.00	33.7%	9.4%	64.4%	10.7%	0.0%	39.1%	1.8%	6.4K	-33.1K	-2.5K	0.00	128.50	0	0	1,165	594
2014-05-15	$19.32	$20.00	34.0%	9.7%	65.0%	11.0%	34.2%	11.1%	-5.0%	7.3K	-15.3K	-2.1K	5.00	107.19	2	10	1,051	572
2014-05-16	$19.44	$20.00	31.7%	9.1%	64.6%	8.6%	0.0%	7.2%	-5.8%	20.4K	-81.5K	-2.0K	0.00	106.97	2	0	1,051	572
2014-05-19	$19.57	$20.00	25.6%	7.3%	64.5%	2.4%	27.2%	9.7%	9.3%	3.2K	-195.5K	-2.2K	0.00	113.89	44	0	486	412
2014-05-20	$19.22	$20.00	31.6%	9.1%	63.4%	8.6%	31.0%	9.0%	0.1%	6.7K	-201.2K	-2.2K	4.29	99.33	7	30	529	412
2014-05-21	$19.59	$20.00	24.7%	7.1%	64.1%	1.4%	27.5%	6.6%	6.0%	5.8K	-207.6K	-2.2K	1.33	107.44	15	20	536	442
2014-05-22	$19.56	$20.00	30.1%	8.6%	63.4%	7.0%	30.3%	2.4%	3.8%	8.1K	-215.3K	-2.4K	0.00	115.05	2	0	551	462
2014-05-23	$19.85	$20.00	31.1%	8.9%	63.4%	8.0%	31.3%	1.8%	2.8%	8.5K	-262.2K	-2.4K	0.00	103.62	1	0	553	462
2014-05-27	$19.90	$20.00	26.2%	7.5%	62.5%	3.0%	27.2%	25.5%	2.4%	13.7K	-276.0K	-2.2K	0.00	111.94	30	0	553	462
2014-05-28	$19.57	$20.00	24.7%	7.1%	62.7%	1.4%	0.0%	2.5%	3.9%	14.5K	-317.6K	-2.2K	0.00	107.49	0	10	574	462
2014-05-29	$18.63	$20.00	30.9%	8.9%	63.3%	7.8%	30.7%	5.4%	6.9%	3.4K	-26.5K	-2.2K	0.56	90.08	198	111	574	462
2014-05-30	$19.02	$20.00	36.2%	10.4%	63.9%	13.2%	69.7%	0.4%	-9.7%	8.0K	-129.2K	-2.9K	0.00	104.98	2	0	758	570