FN Options History — June 2014

In June 2014, FN traded between $18.86 and $20.77. ATM implied volatility averaged 30.6%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.2% (HV 20d: 31.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.40.

Notable Days

2014-06-18: Highest Volume — 200 contracts
2014-06-09: Largest IV spike — 25.0% change
2014-06-10: Highest IV Rank — 14.0%
2014-06-30: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.12	$18.86	$20.77	$18.94	$20.60
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	30.6%	25.9%	37.0%	29.0%	34.0%
Expected Move	8.8%	7.9%	9.7%	8.3%	9.7%
HV 20d	31.8%	19.6%	62.5%	62.5%	19.6%
HV 60d	43.9%	42.5%	44.8%	44.8%	42.5%
IV Rank	7.5%	2.7%	14.0%	5.8%	11.0%
IV Percentile	19.5%	2.4%	48.4%	6.7%	41.7%
Term Structure	5.4%	-1.1%	19.0%	4.7%	7.8%
VWIV	27.0%	20.2%	34.8%	30.1%	20.2%
Skew 25d	12.2%	-1.9%	52.2%	6.7%	52.2%
Skew 10d	21.8%	-5.7%	111.7%	13.6%	111.7%
Call IV 25d	27.0%	17.8%	34.2%	30.5%	24.8%
Put IV 25d	39.3%	27.4%	77.0%	37.2%	77.0%
Bid-Ask Spread %	101.29	56.95	111.62	102.60	106.75
Gamma HHI	0.54	0.43	0.65	0.43	0.60
Net GEX	22.6K	4.2K	34.9K	4.2K	24.2K
Net DEX	-546.0K	-803.2K	-103.0K	-120.8K	-632.8K
Net VEX	-2.9K	-3.2K	-2.6K	-2.8K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.00	20.00	0.00	0.21
Total Volume	24.905	0	200	11	20
Total OI	1,328.286	1,090	1,461	1,328	1,191

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
2014-06-02	$18.94	$20.00	29.0%	8.3%	62.5%	5.8%	0.0%	6.7%	4.7%	4.2K	-120.8K	-2.8K	0.00	102.60	11	0	758	570
2014-06-03	$18.86	$20.00	28.1%	8.1%	62.1%	5.0%	0.0%	3.8%	2.2%	6.2K	-107.7K	-2.8K	0.00	99.19	18	0	769	570
2014-06-04	$18.87	$20.00	30.6%	8.8%	32.3%	7.5%	0.0%	17.6%	2.0%	5.5K	-103.0K	-2.8K	0.00	106.29	12	0	759	570
2014-06-05	$19.33	$20.00	28.4%	8.1%	33.3%	5.2%	30.1%	-1.1%	-1.1%	12.1K	-232.3K	-2.7K	0.00	108.95	23	0	771	570
2014-06-06	$19.52	$20.00	25.9%	9.6%	33.3%	2.7%	0.0%	7.4%	0.4%	20.1K	-340.4K	-2.9K	0.00	99.81	70	0	794	570
2014-06-09	$20.03	$20.00	32.4%	9.5%	33.9%	9.3%	0.0%	15.3%	3.3%	27.2K	-551.1K	-3.2K	0.00	101.76	0	0	864	570
2014-06-10	$20.54	$20.00	37.0%	9.4%	32.8%	14.0%	0.0%	41.5%	2.3%	31.2K	-740.1K	-3.1K	0.00	100.08	1	0	864	570
2014-06-11	$20.70	$20.00	34.7%	9.5%	32.6%	11.7%	34.8%	2.2%	5.5%	26.4K	-803.2K	-3.1K	0.00	101.15	5	0	863	570
2014-06-12	$20.49	$20.00	33.4%	9.6%	29.7%	10.3%	0.0%	0.8%	3.9%	27.6K	-793.4K	-3.2K	0.00	99.88	10	0	868	570
2014-06-13	$20.20	$20.00	33.1%	9.5%	29.1%	10.1%	21.6%	-1.9%	1.7%	30.8K	-701.2K	-3.1K	20.00	97.03	1	20	868	570
2014-06-16	$20.25	$20.00	30.3%	8.7%	29.1%	7.1%	0.0%	-0.7%	4.6%	31.7K	-651.3K	-3.1K	0.00	111.62	0	0	869	589
2014-06-17	$20.32	$20.00	28.9%	8.3%	29.1%	5.7%	0.0%	4.9%	5.3%	33.3K	-690.5K	-3.0K	0.25	107.22	4	1	869	589
2014-06-18	$20.34	$20.00	29.9%	8.6%	28.1%	6.8%	30.3%	6.0%	3.1%	34.9K	-714.2K	-3.0K	0.00	107.57	200	0	871	590
2014-06-19	$20.08	$20.00	27.5%	7.9%	27.9%	4.3%	0.0%	3.5%	5.2%	29.6K	-548.5K	-2.7K	0.00	104.96	8	0	809	580
2014-06-20	$20.47	$20.00	27.6%	7.9%	28.6%	4.4%	0.0%	16.5%	19.0%	25.7K	-711.0K	-2.8K	0.00	106.64	8	0	817	580
2014-06-23	$20.40	$20.00	31.8%	9.1%	28.3%	8.7%	0.0%	8.2%	8.0%	19.6K	-578.2K	-2.6K	1.90	102.14	10	19	707	383
2014-06-24	$20.46	$20.00	29.5%	8.5%	28.3%	6.4%	0.0%	9.7%	6.1%	20.5K	-554.4K	-2.7K	0.00	110.19	0	10	717	402
2014-06-25	$20.75	$20.00	29.1%	8.3%	27.8%	6.0%	23.2%	40.0%	13.4%	21.3K	-598.7K	-2.6K	0.00	105.60	14	0	717	412
2014-06-26	$20.77	$20.00	28.7%	8.2%	19.9%	5.6%	28.9%	21.4%	14.0%	21.9K	-630.9K	-2.6K	0.21	56.95	48	10	721	412
2014-06-27	$20.56	$20.00	32.9%	9.4%	19.8%	9.8%	0.0%	2.2%	1.8%	21.5K	-663.0K	-2.8K	0.00	90.77	0	0	769	422
2014-06-30	$20.60	$20.00	34.0%	9.7%	19.6%	11.0%	20.2%	52.2%	7.8%	24.2K	-632.8K	-2.7K	0.00	106.75	0	20	769	422