FN Options History — January 2015

In January 2015, FN traded between $16.09 and $17.34. ATM implied volatility averaged 45.4%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 13.7% (HV 20d: 31.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.78.

Notable Days

2015-01-15: Highest Volume — 378 contracts
2015-01-12: Largest IV spike — 29.9% change
2015-01-27: Highest IV Rank — 33.6%
2015-01-27: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.73	$16.09	$17.34	$17.22	$16.40
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	45.4%	36.4%	56.5%	39.4%	49.6%
Expected Move	13.1%	11.0%	16.2%	11.0%	14.2%
HV 20d	31.6%	28.2%	34.1%	32.0%	32.7%
HV 60d	34.9%	32.6%	37.0%	36.2%	32.6%
IV Rank	22.2%	12.9%	33.6%	16.5%	26.5%
IV Percentile	65.8%	43.7%	86.9%	54.4%	73.4%
Term Structure	-1.9%	-9.0%	13.2%	-2.1%	-8.0%
VWIV	47.1%	36.1%	57.0%	41.6%	50.2%
Skew 25d	5.5%	-4.3%	14.7%	-1.4%	12.1%
Skew 10d	10.3%	-10.3%	64.3%	-2.4%	12.0%
Call IV 25d	44.5%	33.2%	53.0%	39.0%	47.6%
Put IV 25d	50.0%	36.8%	60.9%	37.6%	59.7%
Bid-Ask Spread %	98.03	91.23	105.95	93.71	92.34
Gamma HHI	0.33	0.27	0.39	0.37	0.29
Net GEX	10.6K	7.0K	14.0K	12.5K	8.9K
Net DEX	-376.7K	-613.0K	-106.9K	-564.2K	-161.7K
Net VEX	-2.8K	-3.1K	-2.5K	-2.8K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.00	7.63	0.85	2.53
Total Volume	191.2	0	378	283	272
Total OI	1,581.8	1,146	1,921	1,828	1,279

Daily Data (20 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
2015-01-02	$17.22	$0.00	39.4%	11.0%	32.0%	16.5%	0.0%	-1.4%	-2.1%	12.5K	-564.2K	-2.8K	0.85	93.71	153	130	1,255	573
2015-01-05	$17.34	$0.00	39.4%	12.7%	32.0%	16.5%	0.0%	13.7%	-0.3%	12.9K	-613.0K	-3.1K	0.00	98.59	0	0	1,255	573
2015-01-06	$16.81	$0.00	38.0%	12.5%	31.9%	15.1%	0.0%	2.0%	0.7%	11.6K	-514.7K	-3.0K	0.00	103.98	0	0	1,255	573
2015-01-07	$16.77	$0.00	36.4%	12.1%	31.2%	12.9%	0.0%	13.4%	3.4%	9.6K	-477.4K	-3.0K	0.00	103.35	0	0	1,255	573
2015-01-08	$17.25	$0.00	42.6%	12.5%	32.9%	19.3%	0.0%	8.1%	1.2%	12.1K	-588.6K	-3.0K	0.85	93.78	153	130	1,255	573
2015-01-09	$17.03	$0.00	40.0%	12.4%	30.4%	16.6%	41.6%	3.4%	1.4%	11.4K	-583.4K	-2.9K	0.67	96.47	193	130	1,255	573
2015-01-12	$16.96	$17.50	51.9%	12.3%	29.6%	28.9%	42.0%	2.1%	0.5%	13.5K	-571.0K	-2.8K	0.68	100.83	193	131	1,295	573
2015-01-13	$16.72	$17.50	49.5%	13.0%	28.7%	26.4%	46.6%	12.7%	-1.4%	12.8K	-500.2K	-2.8K	0.70	99.87	187	131	1,295	573
2015-01-14	$16.69	$17.50	47.6%	13.6%	28.2%	24.4%	48.4%	-1.9%	-3.3%	10.9K	-454.0K	-2.7K	0.70	95.93	187	131	1,293	573
2015-01-15	$16.21	$17.50	38.8%	11.1%	30.0%	15.4%	43.5%	-4.3%	13.2%	9.9K	-397.0K	-2.5K	0.56	102.63	242	136	1,293	573
2015-01-16	$17.13	$17.50	41.8%	12.0%	34.1%	18.4%	42.0%	-2.7%	-0.7%	14.0K	-542.7K	-2.8K	7.63	105.16	8	61	1,348	573
2015-01-20	$16.98	$17.50	46.3%	13.3%	32.8%	23.0%	45.8%	14.7%	-2.7%	11.7K	-305.8K	-2.8K	3.03	99.89	33	100	711	435
2015-01-21	$16.82	$17.50	44.6%	12.8%	31.8%	21.4%	0.0%	0.1%	0.5%	10.1K	-274.6K	-3.0K	0.00	105.95	1	0	739	517
2015-01-22	$16.69	$17.50	50.1%	14.4%	31.8%	27.0%	51.1%	2.4%	-4.9%	9.6K	-217.4K	-3.0K	3.17	98.86	64	203	740	517
2015-01-23	$16.34	$17.50	40.1%	11.5%	32.1%	16.7%	36.1%	4.3%	-6.0%	9.2K	-178.6K	-2.8K	3.17	103.06	64	203	740	517
2015-01-26	$16.38	$17.50	50.1%	14.4%	32.1%	27.0%	50.8%	10.9%	-3.5%	8.0K	-154.9K	-2.9K	0.20	91.52	10	2	740	517
2015-01-27	$16.09	$17.50	56.5%	16.2%	32.4%	33.6%	57.0%	3.5%	-8.7%	7.0K	-106.9K	-2.8K	0.20	91.23	10	2	750	519
2015-01-28	$16.26	$17.50	52.8%	15.1%	32.8%	29.8%	52.5%	3.0%	-8.1%	7.9K	-146.2K	-2.8K	2.66	91.96	77	205	760	519
2015-01-29	$16.50	$17.50	51.8%	14.9%	33.0%	28.8%	51.9%	13.6%	-9.0%	9.5K	-181.3K	-2.8K	2.66	91.54	77	205	760	519
2015-01-30	$16.40	$17.50	49.6%	14.2%	32.7%	26.5%	50.2%	12.1%	-8.0%	8.9K	-161.7K	-2.8K	2.53	92.34	77	195	760	519