FN Options History — September 2014

In September 2014, FN traded between $14.38 and $16.00. ATM implied volatility averaged 54.8%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 3.7% (HV 20d: 51.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.30.

Notable Days

2014-09-23: Highest Volume — 190 contracts
2014-09-08: Largest IV spike — 38.7% change
2014-09-08: Highest IV Rank — 50.2%
2014-09-29: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.25	$14.38	$16.00	$16.00	$14.60
Max Pain	$12.98	$12.50	$15.00	$12.50	$15.00
ATM IV	54.8%	47.1%	72.3%	62.4%	47.1%
Expected Move	12.8%	11.8%	13.6%	12.6%	12.9%
HV 20d	51.1%	17.2%	84.7%	84.7%	22.6%
HV 60d	51.3%	50.9%	51.9%	51.8%	51.9%
IV Rank	32.3%	24.4%	50.2%	40.0%	24.4%
IV Percentile	89.7%	78.2%	98.8%	98.0%	78.2%
Term Structure	-5.1%	-33.2%	6.4%	-15.4%	0.9%
VWIV	45.6%	43.8%	48.3%	45.5%	48.3%
Skew 25d	9.7%	-5.5%	29.4%	26.9%	8.8%
Skew 10d	11.6%	-8.8%	38.2%	28.0%	15.4%
Call IV 25d	42.2%	34.6%	59.6%	35.6%	44.3%
Put IV 25d	51.9%	43.6%	69.6%	62.5%	53.1%
Bid-Ask Spread %	97.28	78.97	103.58	101.37	103.39
Gamma HHI	0.42	0.25	0.62	0.26	0.62
Net GEX	-7.5K	-17.1K	-556	-1.2K	-15.4K
Net DEX	122.9K	-125.7K	444.5K	-101.1K	341.4K
Net VEX	-3.5K	-4.0K	-3.0K	-4.0K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.30	0.00	30.67	0.23	0.15
Total Volume	50.619	3	190	16	53
Total OI	1,900.381	1,382	2,184	1,956	1,735

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
2014-09-02	$16.00	$12.50	62.4%	12.6%	84.7%	40.0%	0.0%	26.9%	-15.4%	-1.2K	-101.1K	-4.0K	0.23	101.37	13	3	932	1,024
2014-09-03	$15.92	$12.50	61.5%	12.2%	84.7%	39.1%	0.0%	22.7%	-22.3%	-1.9K	-72.9K	-3.9K	0.00	100.07	0	21	927	1,024
2014-09-04	$15.94	$12.50	64.2%	12.3%	83.5%	41.9%	0.0%	29.4%	-33.2%	-556	-125.7K	-4.0K	2.40	95.67	10	24	927	1,024
2014-09-05	$15.86	$12.50	52.1%	12.3%	83.4%	29.5%	0.0%	10.7%	5.7%	-3.3K	-36.7K	-3.8K	0.00	97.87	0	3	937	1,048
2014-09-08	$15.78	$12.50	72.3%	11.8%	82.8%	50.2%	0.0%	15.4%	-11.3%	-2.8K	-17.3K	-3.8K	0.00	82.02	19	0	937	1,051
2014-09-09	$15.42	$12.50	64.4%	13.2%	82.7%	42.1%	0.0%	7.8%	0.3%	-2.9K	13.9K	-3.7K	2.75	101.99	12	33	943	1,051
2014-09-10	$15.48	$12.50	58.0%	13.4%	82.9%	35.6%	0.0%	6.8%	-0.3%	-1.4K	64.6K	-3.5K	2.04	99.36	23	47	955	1,062
2014-09-11	$15.25	$12.50	50.9%	13.2%	82.2%	28.3%	0.0%	7.3%	-3.8%	-3.6K	67.0K	-3.5K	2.92	100.81	13	38	978	1,104
2014-09-12	$15.27	$12.50	52.4%	12.1%	78.5%	29.8%	45.5%	7.4%	-1.4%	-4.0K	112.1K	-3.5K	2.17	84.75	24	52	980	1,094
2014-09-15	$15.18	$12.50	50.5%	13.1%	76.7%	27.9%	0.0%	10.2%	-6.3%	-4.0K	109.6K	-3.5K	3.33	99.37	15	50	1,003	1,118
2014-09-16	$15.21	$12.50	52.1%	13.5%	26.8%	29.5%	0.0%	8.1%	-6.1%	-7.9K	142.0K	-3.4K	5.67	95.53	6	34	1,017	1,167
2014-09-17	$15.35	$12.50	51.0%	13.2%	26.2%	28.4%	0.0%	5.3%	-3.6%	-9.6K	67.9K	-3.5K	3.00	103.04	2	6	1,011	1,164
2014-09-18	$15.53	$12.50	48.6%	13.2%	26.3%	26.0%	0.0%	12.6%	-3.4%	-9.8K	-23.2K	-3.3K	0.91	94.29	23	21	997	1,164
2014-09-19	$15.22	$12.50	50.1%	13.2%	27.4%	27.4%	0.0%	1.5%	-3.1%	-17.1K	57.2K	-3.3K	2.74	98.50	23	63	987	1,171
2014-09-22	$14.83	$12.50	53.4%	12.2%	23.4%	30.8%	44.7%	-1.6%	-1.1%	-7.8K	224.7K	-3.1K	1.60	101.86	20	32	694	688
2014-09-23	$14.69	$12.50	52.7%	12.0%	18.8%	30.1%	0.0%	13.2%	-3.6%	-7.2K	238.1K	-3.0K	30.67	102.56	6	184	712	687
2014-09-24	$14.59	$12.50	54.8%	12.5%	17.2%	32.3%	43.8%	4.4%	-1.8%	-13.5K	409.9K	-3.2K	1.04	78.97	48	50	718	841
2014-09-25	$14.38	$15.00	49.0%	13.1%	17.3%	26.4%	0.0%	6.7%	6.4%	-14.5K	444.5K	-3.3K	0.25	103.58	20	5	766	891
2014-09-26	$14.94	$15.00	50.8%	13.1%	23.0%	28.2%	0.0%	-5.5%	1.1%	-14.9K	336.7K	-3.5K	0.87	103.51	23	20	780	888
2014-09-29	$14.75	$15.00	51.9%	13.6%	22.6%	29.3%	48.3%	5.0%	-5.2%	-14.8K	327.7K	-3.4K	0.00	94.32	24	0	803	908
2014-09-30	$14.60	$15.00	47.1%	12.9%	22.6%	24.4%	0.0%	8.8%	0.9%	-15.4K	341.4K	-3.4K	0.15	103.39	46	7	827	908