FN Options History — November 2014

In November 2014, FN traded between $16.61 and $18.29. ATM implied volatility averaged 37.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 1.8% (HV 20d: 39.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.87.

Notable Days

2014-11-21: Highest Volume — 602 contracts
2014-11-04: Largest IV drop — 33.3% change
2014-11-03: Highest IV Rank — 42.8%
2014-11-04: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.33	$16.61	$18.29	$18.29	$16.77
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	37.8%	26.1%	65.1%	65.1%	26.1%
Expected Move	11.6%	10.9%	12.9%	12.6%	11.2%
HV 20d	39.6%	33.4%	42.9%	41.5%	34.9%
HV 60d	40.7%	33.1%	56.6%	55.9%	34.2%
IV Rank	14.8%	2.9%	42.8%	42.8%	2.9%
IV Percentile	48.5%	2.8%	94.4%	94.4%	2.8%
Term Structure	-1.7%	-14.2%	8.3%	-14.2%	2.0%
VWIV	42.3%	38.1%	48.5%	45.0%	41.0%
Skew 25d	5.6%	-10.9%	16.4%	11.1%	1.9%
Skew 10d	9.7%	-17.3%	26.4%	11.5%	1.8%
Call IV 25d	37.5%	26.7%	66.9%	66.9%	31.2%
Put IV 25d	43.1%	29.4%	78.0%	78.0%	33.1%
Bid-Ask Spread %	91.52	77.72	106.80	89.38	106.80
Gamma HHI	0.45	0.38	0.56	0.39	0.38
Net GEX	41.4K	20.2K	62.3K	34.3K	20.3K
Net DEX	-1.0M	-1.4M	-622.9K	-1.4M	-622.9K
Net VEX	-4.5K	-5.7K	-3.9K	-5.7K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.39	1.50	0.77	1.50
Total Volume	308.316	0	602	413	0
Total OI	2,058.316	1,843	2,266	2,045	1,869

Daily Data (19 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
2014-11-03	$18.29	$15.00	65.1%	12.6%	41.5%	42.8%	45.0%	11.1%	-14.2%	34.3K	-1.4M	-5.7K	0.77	89.38	234	179	1,567	478
2014-11-04	$17.53	$15.00	43.5%	12.9%	42.8%	20.6%	45.8%	-1.6%	-3.7%	38.5K	-1.3M	-5.4K	0.77	87.37	234	180	1,605	496
2014-11-05	$17.42	$15.00	36.5%	12.5%	42.9%	13.5%	44.3%	6.5%	-3.0%	40.6K	-1.1M	-5.1K	0.75	89.30	239	180	1,605	496
2014-11-06	$17.50	$15.00	37.5%	11.4%	42.3%	14.6%	41.5%	15.9%	-1.0%	42.3K	-1.1M	-4.9K	0.69	81.66	239	165	1,600	496
2014-11-07	$17.39	$15.00	40.4%	11.8%	42.1%	17.5%	40.5%	14.2%	-0.2%	41.0K	-1.1M	-5.1K	0.91	87.98	211	191	1,600	491
2014-11-10	$17.70	$15.00	37.5%	11.8%	42.0%	14.5%	41.6%	4.0%	-1.4%	48.6K	-1.2M	-4.8K	1.01	88.80	190	191	1,599	510
2014-11-11	$17.69	$15.00	40.1%	11.9%	41.3%	17.3%	40.5%	16.4%	-7.4%	47.8K	-1.1M	-4.3K	0.91	96.74	209	191	1,487	409
2014-11-12	$17.94	$15.00	37.1%	11.5%	41.3%	14.2%	39.5%	6.5%	-2.3%	62.3K	-1.3M	-4.5K	0.91	95.86	209	191	1,599	510
2014-11-13	$17.51	$15.00	40.5%	11.3%	42.9%	17.6%	39.9%	-4.0%	-11.4%	50.1K	-1.2M	-4.7K	0.71	94.29	209	149	1,599	510
2014-11-14	$17.81	$15.00	40.4%	12.0%	33.4%	17.5%	0.0%	11.3%	-4.7%	53.8K	-1.3M	-4.4K	0.00	101.93	0	0	1,599	510
2014-11-17	$16.83	$15.00	35.4%	11.3%	39.9%	12.4%	38.1%	-10.9%	3.0%	52.1K	-958.5K	-4.3K	0.70	93.65	219	154	1,599	510
2014-11-18	$16.91	$15.00	37.5%	11.0%	38.4%	14.6%	40.2%	1.2%	-2.3%	57.8K	-929.6K	-4.1K	0.80	77.72	193	154	1,623	506
2014-11-19	$16.61	$15.00	34.7%	11.3%	38.6%	11.6%	46.3%	-0.0%	2.1%	36.8K	-770.0K	-4.0K	0.00	86.60	0	163	1,623	505
2014-11-20	$16.99	$15.00	35.7%	11.3%	38.6%	12.7%	48.5%	14.5%	8.3%	47.3K	-830.5K	-4.4K	1.36	91.82	209	285	1,616	650
2014-11-21	$16.98	$15.00	33.8%	10.9%	38.6%	10.7%	40.6%	14.5%	0.3%	50.1K	-896.3K	-4.3K	0.90	83.78	317	285	1,616	650
2014-11-24	$17.25	$15.00	32.3%	11.5%	38.5%	9.3%	42.8%	1.6%	0.2%	20.3K	-709.2K	-3.9K	0.00	96.95	0	25	1,303	540
2014-11-25	$17.15	$15.00	32.1%	11.5%	36.4%	9.0%	41.0%	4.9%	0.6%	21.6K	-723.0K	-4.2K	0.39	96.03	153	60	1,303	560
2014-11-26	$17.00	$15.00	31.7%	11.4%	36.4%	8.6%	0.0%	-2.2%	3.0%	20.2K	-634.1K	-4.1K	1.50	92.16	20	30	1,309	560
2014-11-28	$16.77	$15.00	26.1%	11.2%	34.9%	2.9%	0.0%	1.9%	2.0%	20.3K	-622.9K	-3.9K	0.00	106.80	0	0	1,309	560