FN Options History — October 2014

In October 2014, FN traded between $14.31 and $18.14. ATM implied volatility averaged 63.3%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 30.6% (HV 20d: 32.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.37.

Notable Days

  • 2014-10-17: Highest Volume — 1,008 contracts
  • 2014-10-16: Largest IV drop — 35.0% change
  • 2014-10-15: Highest IV Rank — 74.9%
  • 2014-10-10: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.71$14.31$18.14$14.55$18.14
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV63.3%45.4%96.4%50.6%56.7%
Expected Move13.7%12.1%14.8%13.5%12.6%
HV 20d32.7%22.6%41.5%22.6%41.5%
HV 60d53.4%51.3%56.0%51.9%56.0%
IV Rank41.0%22.7%74.9%28.0%34.2%
IV Percentile90.3%69.0%98.8%84.1%87.7%
Term Structure-8.0%-15.8%3.1%-6.4%-10.9%
VWIV45.7%37.2%49.0%49.0%44.4%
Skew 25d6.8%-12.1%22.7%-0.3%9.4%
Skew 10d14.8%-9.4%37.4%3.8%31.2%
Call IV 25d59.1%42.2%70.9%55.3%56.1%
Put IV 25d65.9%55.0%77.1%55.0%65.5%
Bid-Ask Spread %90.0773.74104.92104.9277.58
Gamma HHI0.470.220.610.610.40
Net GEX5.3K-14.2K34.6K-14.1K34.6K
Net DEX-294.0K-1.4M342.5K295.4K-1.4M
Net VEX-4.3K-5.7K-3.0K-3.4K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.000.840.000.84
Total Volume511.21771,0087356
Total OI2,027.8261,7432,3691,7432,049

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$14.55$15.0050.6%13.5%22.6%28.0%0.0%-0.3%-6.4%-14.1K295.4K-3.4K0.00104.9270828915
2014-10-02$14.81$15.0062.6%13.7%23.9%40.3%0.0%20.5%-4.5%-12.9K298.7K-3.4K0.79100.12216170835915
2014-10-03$15.05$15.0064.6%14.6%24.9%42.3%0.0%5.7%-3.5%-12.0K172.4K-3.9K0.0099.511201,0111,043
2014-10-06$15.20$15.0071.8%14.0%25.2%49.7%49.0%9.9%-14.1%-11.9K123.2K-3.8K0.3773.7483311,0081,043
2014-10-07$14.70$15.0075.9%14.0%26.6%53.9%0.0%22.7%-13.4%-11.1K227.0K-3.8K0.2993.2535101,0461,066
2014-10-08$14.63$15.0073.7%14.4%26.5%51.6%46.2%11.2%-14.5%-10.6K233.6K-4.0K0.4289.284481891,0811,056
2014-10-09$14.48$15.0078.9%14.7%26.3%56.9%47.0%19.2%-9.1%-10.3K297.3K-3.8K0.4294.174521891,0811,054
2014-10-10$14.32$15.0071.9%14.8%26.4%49.8%47.3%-1.0%-7.5%-10.3K314.7K-3.6K0.4284.784551891,0911,054
2014-10-13$14.31$15.0071.8%14.7%26.4%49.6%45.8%8.3%-15.2%-10.8K342.5K-3.4K0.4492.174351901,1031,054
2014-10-14$14.78$15.0076.4%14.6%29.2%54.4%47.1%-2.4%-9.0%-13.7K299.7K-3.4K0.4692.534121901,1131,042
2014-10-15$14.81$15.0096.4%14.4%29.0%74.9%46.3%11.1%-8.3%-13.0K209.7K-3.3K0.4691.693741721,1111,042
2014-10-16$14.85$15.0062.7%14.8%28.6%40.3%0.0%-12.1%-6.8%-14.2K151.4K-3.2K0.2784.483771031,1101,030
2014-10-17$16.11$15.0060.1%12.8%40.4%37.7%41.8%-0.2%-15.8%4.9K-895.0K-3.0K0.0782.97946621,3181,051
2014-10-20$16.06$15.0059.9%14.6%39.1%37.5%37.2%3.8%-6.3%19.0K-539.6K-4.8K0.2392.107181631,390421
2014-10-21$16.57$15.0046.3%12.5%39.9%23.6%46.7%2.6%3.1%19.8K-671.8K-5.0K0.3787.174431631,394445
2014-10-22$16.33$15.0045.4%13.3%40.3%22.7%48.2%11.4%-0.5%22.1K-750.9K-5.3K0.4090.944091631,446445
2014-10-23$16.71$15.0049.8%13.4%40.0%27.1%47.0%12.2%-8.3%23.6K-808.4K-5.5K0.3490.854591551,452448
2014-10-24$16.74$15.0058.6%13.3%38.4%36.2%47.1%2.5%-8.0%25.1K-863.2K-5.6K0.3592.614741651,511448
2014-10-27$16.51$15.0055.1%13.3%38.4%32.6%48.2%3.7%-7.1%26.8K-833.3K-5.4K0.3891.754081571,551458
2014-10-28$17.13$15.0051.2%12.1%39.5%28.6%43.8%11.0%-2.3%30.7K-930.6K-5.4K0.3789.154271571,553460
2014-10-29$16.98$15.0056.2%13.1%39.7%33.7%45.4%5.9%-8.2%28.6K-969.8K-5.4K0.3793.134361611,559460
2014-10-30$17.50$15.0059.3%12.8%40.4%36.9%44.1%1.0%-7.3%30.9K-1.1M-5.4K0.3782.704361611,567482
2014-10-31$18.14$15.0056.7%12.6%41.5%34.2%44.4%9.4%-10.9%34.6K-1.4M-5.7K0.8477.581931631,567482