FN Options History — December 2014

In December 2014, FN traded between $15.79 and $17.77. ATM implied volatility averaged 35.7%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 1.7% (HV 20d: 34.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2014-12-23: Highest Volume — 289 contracts
  • 2014-12-12: Largest IV spike — 33.9% change
  • 2014-12-15: Highest IV Rank — 18.3%
  • 2014-12-17: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.04$15.79$17.77$16.47$17.74
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV35.7%29.6%41.1%37.7%33.3%
Expected Move11.3%10.2%13.1%11.2%11.0%
HV 20d34.0%30.9%36.7%32.2%32.7%
HV 60d36.2%34.4%37.3%34.4%36.4%
IV Rank12.7%6.5%18.3%14.7%10.2%
IV Percentile42.4%13.1%59.5%54.4%34.5%
Term Structure3.1%-4.3%11.1%-4.3%3.6%
VWIV40.9%38.3%45.9%40.6%43.4%
Skew 25d5.7%-6.3%19.8%-1.9%8.2%
Skew 10d9.0%-0.7%29.2%7.6%16.0%
Call IV 25d33.7%24.8%43.1%41.2%29.4%
Put IV 25d39.4%28.2%52.3%39.3%37.6%
Bid-Ask Spread %94.6187.85101.1299.3690.35
Gamma HHI0.390.330.490.340.43
Net GEX17.9K10.1K30.9K15.3K16.7K
Net DEX-601.7K-826.0K-325.1K-501.2K-673.3K
Net VEX-3.5K-4.1K-3.0K-3.8K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.000.840.550.00
Total Volume214.22702892494
Total OI1,856.3181,8151,8691,8691,830

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$16.47$15.0037.7%11.2%32.2%14.7%40.6%-1.9%-4.3%15.3K-501.2K-3.8K0.5599.36161881,309560
2014-12-02$16.74$15.0030.7%11.2%32.8%7.6%40.6%11.5%7.6%19.1K-584.5K-3.9K0.5596.87161881,309560
2014-12-03$17.37$15.0034.1%11.2%32.7%11.1%39.2%0.2%1.8%23.4K-709.7K-3.9K0.5596.56161881,309560
2014-12-04$17.25$15.0034.4%11.1%32.7%11.3%0.0%4.4%-4.1%18.4K-696.8K-3.4K0.0098.46501,309560
2014-12-05$17.77$15.0029.9%11.3%34.4%6.7%42.2%19.8%3.0%30.9K-826.0K-4.1K0.5195.73171881,304560
2014-12-08$17.40$15.0035.4%10.3%35.2%12.4%38.3%10.1%2.0%24.6K-748.1K-3.8K0.5189.48171881,304560
2014-12-09$17.28$15.0038.9%10.8%34.6%16.0%38.8%-0.1%0.8%22.2K-686.8K-3.6K0.5189.29174881,304560
2014-12-10$16.67$15.0040.9%10.8%36.7%18.1%40.7%2.3%0.7%20.1K-621.5K-3.5K0.5196.06174881,302560
2014-12-11$16.36$15.0029.9%10.8%36.6%6.8%39.9%-6.3%2.0%16.1K-514.8K-3.4K0.5494.41162881,302560
2014-12-12$15.97$15.0040.1%11.9%36.5%17.2%40.0%8.9%9.4%13.0K-388.9K-3.5K0.5399.81165881,304560
2014-12-15$15.79$15.0041.1%12.3%35.7%18.3%40.4%0.3%4.9%10.1K-325.1K-3.2K0.5392.99166881,309560
2014-12-16$16.02$15.0040.6%12.3%30.9%17.7%41.2%4.0%10.0%11.7K-347.2K-3.3K0.5388.14166881,303560
2014-12-17$16.54$15.0034.6%13.1%33.2%11.6%45.9%10.6%5.1%16.1K-488.4K-3.5K0.5389.75166881,303560
2014-12-18$17.02$15.0038.0%12.2%34.2%15.1%43.4%9.3%4.7%18.4K-541.1K-3.4K0.5390.39166881,303560
2014-12-19$17.40$15.0031.4%12.0%34.1%8.3%0.0%5.2%11.1%22.0K-668.6K-3.1K0.0089.10001,303560
2014-12-22$17.49$0.0038.8%10.5%34.2%15.8%0.0%19.1%-1.7%17.7K-596.2K-3.2K0.5299.43171891,257560
2014-12-23$17.68$0.0040.6%10.6%33.9%17.7%0.0%5.8%-3.9%19.9K-724.8K-3.4K0.84100.861571321,257558
2014-12-24$17.51$0.0035.5%12.1%34.1%12.5%0.0%8.2%6.3%15.6K-657.3K-3.4K0.8487.851571321,257593
2014-12-26$17.55$0.0029.6%10.2%33.9%6.5%0.0%2.1%3.2%14.8K-666.2K-3.2K0.71101.121571121,257593
2014-12-29$17.38$0.0036.7%10.4%33.7%13.8%0.0%0.0%-0.8%14.9K-599.6K-3.3K0.7195.941571121,257593
2014-12-30$17.57$0.0032.4%10.9%33.0%9.3%0.0%3.2%6.9%12.8K-672.5K-3.0K0.0099.380201,257593
2014-12-31$17.74$0.0033.3%11.0%32.7%10.2%0.0%8.2%3.6%16.7K-673.3K-3.2K0.0090.35401,257573