FN Options History — August 2014

In August 2014, FN traded between $14.53 and $19.40. ATM implied volatility averaged 48.5%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 6.0% (HV 20d: 54.6%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2014-08-18: Highest Volume — 1,064 contracts
2014-08-13: Largest IV spike — 42.4% change
2014-08-13: Highest IV Rank — 45.3%
2014-08-13: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.22	$14.53	$19.40	$18.70	$16.19
Max Pain	$17.38	$12.50	$20.00	$20.00	$12.50
ATM IV	48.5%	33.7%	67.5%	37.5%	62.4%
Expected Move	12.0%	9.8%	14.1%	10.7%	13.0%
HV 20d	54.6%	25.5%	84.8%	25.6%	84.7%
HV 60d	38.7%	25.1%	52.1%	26.7%	51.9%
IV Rank	25.9%	10.7%	45.3%	14.5%	40.0%
IV Percentile	83.2%	43.7%	98.8%	59.9%	98.0%
Term Structure	-5.1%	-20.8%	8.6%	8.6%	-14.0%
VWIV	41.5%	30.6%	50.1%	33.1%	30.6%
Skew 25d	7.5%	-6.5%	21.4%	1.9%	21.4%
Skew 10d	12.4%	-1.0%	43.5%	5.4%	43.5%
Call IV 25d	40.7%	32.2%	55.4%	36.1%	43.5%
Put IV 25d	48.2%	31.7%	68.3%	38.0%	65.0%
Bid-Ask Spread %	98.87	81.45	108.40	108.40	88.88
Gamma HHI	0.45	0.24	0.64	0.57	0.27
Net GEX	8.8K	-6.4K	28.5K	17.1K	-1.7K
Net DEX	-77.8K	-256.9K	183.8K	-112.7K	-122.1K
Net VEX	-2.9K	-4.3K	-1.1K	-2.2K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.00	4.86	0.00	0.33
Total Volume	79.762	0	1,064	0	4
Total OI	1,309.952	689	1,959	900	1,959

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
2014-08-01	$18.70	$20.00	37.5%	10.7%	25.6%	14.5%	0.0%	1.9%	8.6%	17.1K	-112.7K	-2.2K	0.00	108.40	0	0	617	283
2014-08-04	$18.71	$20.00	41.8%	11.6%	25.5%	19.0%	0.0%	5.0%	-1.3%	17.7K	-115.5K	-2.2K	0.00	107.98	10	0	617	283
2014-08-05	$18.64	$20.00	42.1%	12.3%	25.5%	19.2%	0.0%	9.4%	-1.2%	17.4K	-119.9K	-2.2K	0.00	99.84	0	0	627	283
2014-08-06	$19.25	$20.00	33.7%	9.8%	28.7%	10.7%	33.1%	10.8%	2.0%	22.9K	-208.9K	-2.2K	0.00	102.52	2	0	627	283
2014-08-07	$18.94	$20.00	36.9%	10.6%	25.8%	13.9%	0.0%	-2.5%	-2.4%	21.1K	-184.8K	-2.2K	0.00	105.98	13	0	629	283
2014-08-08	$19.30	$20.00	42.0%	10.5%	26.8%	19.2%	0.0%	-1.6%	-1.0%	23.3K	-252.3K	-2.3K	0.00	106.87	0	0	642	283
2014-08-11	$19.40	$20.00	34.2%	10.4%	26.8%	11.1%	0.0%	0.1%	-2.3%	28.5K	-256.9K	-2.2K	0.00	107.47	0	0	642	283
2014-08-12	$19.16	$20.00	47.4%	11.0%	26.8%	24.7%	0.0%	-2.0%	-2.7%	24.0K	-213.5K	-2.1K	0.00	107.32	0	0	642	283
2014-08-13	$18.40	$20.00	67.5%	14.1%	30.2%	45.3%	41.1%	12.0%	-8.9%	15.7K	-97.7K	-2.0K	4.86	100.91	7	34	642	274
2014-08-14	$17.07	$15.00	47.1%	13.5%	39.4%	24.3%	50.1%	-4.9%	-5.6%	7.0K	96.2K	-1.6K	2.73	102.60	11	30	649	283
2014-08-15	$17.75	$15.00	47.4%	13.6%	39.5%	24.7%	44.8%	9.1%	-6.3%	9.4K	-94.8K	-1.7K	0.96	100.53	27	26	660	208
2014-08-18	$14.53	$0.00	57.8%	13.0%	79.6%	35.3%	42.0%	18.3%	-7.4%	428	132.0K	-1.1K	1.68	98.27	397	667	471	218
2014-08-19	$14.81	$12.50	55.3%	11.6%	79.7%	32.8%	39.5%	17.2%	-7.5%	-5.1K	183.8K	-3.5K	1.72	85.11	69	119	788	843
2014-08-20	$14.91	$17.50	56.7%	12.0%	80.0%	34.2%	43.1%	8.7%	-7.5%	-5.6K	183.6K	-3.9K	1.25	81.45	12	15	854	950
2014-08-21	$15.00	$17.50	42.8%	12.7%	80.2%	19.9%	48.4%	19.2%	-1.2%	-6.4K	140.0K	-3.6K	0.00	103.77	17	0	865	965
2014-08-22	$15.70	$17.50	54.5%	12.4%	82.9%	32.0%	46.4%	-6.5%	-5.5%	-3.0K	25.6K	-4.0K	0.56	94.05	45	25	882	965
2014-08-25	$16.25	$17.50	57.5%	13.4%	84.4%	35.1%	36.7%	6.4%	-10.0%	-851	-128.1K	-4.3K	0.20	89.25	70	14	892	990
2014-08-26	$16.50	$17.50	48.5%	11.3%	84.8%	25.8%	30.6%	8.1%	-4.8%	4.1K	-199.5K	-4.2K	0.81	88.23	32	26	927	1,003
2014-08-27	$16.30	$12.50	53.2%	11.9%	84.7%	30.7%	0.0%	18.4%	-20.8%	-607	-183.7K	-4.3K	0.00	95.32	1	0	935	1,022
2014-08-28	$16.03	$12.50	53.1%	12.5%	84.6%	30.6%	0.0%	9.3%	-6.7%	-940	-104.6K	-4.3K	0.00	101.59	0	2	935	1,022
2014-08-29	$16.19	$12.50	62.4%	13.0%	84.7%	40.0%	0.0%	21.4%	-14.0%	-1.7K	-122.1K	-4.2K	0.33	88.88	3	1	935	1,024