FN Options History — July 2014

In July 2014, FN traded between $18.60 and $20.84. ATM implied volatility averaged 35.7%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 14.0% (HV 20d: 21.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 3.61.

Notable Days

  • 2014-07-21: Highest Volume — 167 contracts
  • 2014-07-10: Largest IV spike — 32.4% change
  • 2014-07-14: Highest IV Rank — 21.6%
  • 2014-07-14: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.74$18.60$20.84$20.84$18.60
Max Pain$20.34$20.00$22.50$20.00$20.00
ATM IV35.7%28.6%44.4%28.6%31.5%
Expected Move10.5%8.2%12.7%8.2%9.0%
HV 20d21.8%14.5%26.1%19.5%25.4%
HV 60d41.1%26.7%42.4%42.4%26.7%
IV Rank12.8%5.5%21.6%5.5%8.4%
IV Percentile48.6%7.9%83.3%7.9%29.4%
Term Structure-0.9%-8.5%8.6%8.6%6.5%
VWIV38.7%32.1%51.4%51.4%32.1%
Skew 25d2.1%-13.4%9.8%9.8%-1.1%
Skew 10d4.8%-22.3%17.7%10.5%5.4%
Call IV 25d38.7%21.0%48.4%21.0%31.3%
Put IV 25d40.8%30.3%52.4%30.8%30.3%
Bid-Ask Spread %99.9161.54112.4761.54104.30
Gamma HHI0.600.290.830.550.57
Net GEX25.7K5.7K63.3K23.3K16.7K
Net DEX-407.1K-763.8K-90.7K-763.8K-90.7K
Net VEX-2.4K-2.7K-2.1K-2.5K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.610.0050.000.671.00
Total Volume23.0910167250
Total OI1,065.2276351,2791,180900

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$20.84$20.0028.6%8.2%19.5%5.5%51.4%9.8%8.6%23.3K-763.8K-2.5K0.6761.541510769411
2014-07-02$20.59$20.0032.1%9.2%20.3%9.1%0.0%-3.8%-2.9%21.7K-649.3K-2.7K0.00106.2700764421
2014-07-03$20.59$20.0033.4%9.6%19.0%10.3%0.0%6.7%-4.6%21.7K-658.6K-2.7K0.00109.59200764421
2014-07-07$20.66$22.5031.0%10.8%18.8%7.9%0.0%7.8%-3.3%26.9K-710.7K-2.4K0.00108.9400774421
2014-07-08$20.52$22.5035.0%10.5%17.0%12.0%39.7%6.6%-0.4%24.5K-635.2K-2.5K0.00105.53100774421
2014-07-09$20.47$22.5028.9%11.9%14.5%5.8%40.6%5.4%-4.7%28.7K-694.6K-2.4K0.0077.72200784421
2014-07-10$19.68$20.0038.3%11.0%19.8%15.4%0.0%2.5%-2.4%32.5K-433.8K-2.4K0.0094.39100804421
2014-07-11$19.69$20.0037.8%10.8%19.6%14.9%0.0%7.5%-4.5%34.7K-382.5K-2.4K0.00103.3000814414
2014-07-14$19.81$20.0044.4%12.7%19.2%21.6%0.0%6.7%-7.0%34.3K-506.4K-2.3K0.0099.9100814414
2014-07-15$19.55$20.0041.6%11.9%19.7%18.7%0.0%5.8%-8.5%37.9K-311.3K-2.2K0.0097.3650814414
2014-07-16$19.49$20.0041.7%11.9%19.6%18.8%42.6%2.7%-6.9%37.0K-253.0K-2.1K1.4082.401014819414
2014-07-17$19.17$20.0042.3%12.1%20.2%19.5%35.1%3.9%-7.0%22.9K-166.7K-2.1K1.06102.161617825428
2014-07-18$19.93$20.0040.4%11.6%24.7%17.5%0.0%2.6%-4.4%63.3K-460.7K-2.1K50.0094.67150841438
2014-07-21$19.69$20.0041.0%11.8%23.9%18.1%38.0%-3.6%-0.3%5.7K-190.1K-2.1K0.00104.941670372263
2014-07-22$20.02$20.0036.3%10.4%24.8%13.3%34.5%-6.7%3.8%16.5K-383.7K-2.5K0.00108.85550539263
2014-07-23$19.53$20.0033.8%9.7%26.1%10.7%35.2%-3.3%6.0%19.9K-371.0K-2.6K0.00102.76010584263
2014-07-24$19.39$20.0031.8%9.1%25.4%8.7%32.7%-13.4%5.4%19.0K-344.1K-2.6K0.00100.62350584273
2014-07-25$19.28$20.0035.3%10.1%25.4%12.3%41.5%-1.9%5.2%20.3K-294.4K-2.6K0.00108.1920619273
2014-07-28$19.04$20.0036.4%10.4%25.5%13.5%41.0%2.8%-4.3%20.3K-285.4K-2.5K0.00101.98210620273
2014-07-29$18.84$20.0032.1%9.2%25.5%9.0%32.1%-0.3%1.0%19.3K-192.2K-2.4K1.00110.021010617273
2014-07-30$18.94$20.0032.6%9.4%25.0%9.6%0.0%8.7%4.5%19.2K-178.2K-2.4K0.00112.4700617283
2014-07-31$18.60$20.0031.5%9.0%25.4%8.4%0.0%-1.1%6.5%16.7K-90.7K-2.2K0.00104.3000617283