FN Options History — February 2015 In February 2015, FN traded between $16.18 and $17.97. ATM implied volatility averaged 35.8%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.8% (HV 20d: 28.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.81.
Notable Days 2015-02-04 : Highest Volume — 315 contracts2015-02-06 : Largest IV drop — 36.3% change2015-02-02 : Highest IV Rank — 33.6%2015-02-02 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $16.96 $16.18 $17.97 $16.46 $17.97 Max Pain $19.08 $17.50 $20.00 $17.50 $17.50 ATM IV 35.8% 25.5% 56.5% 56.5% 36.4% Expected Move 10.4% 7.6% 16.2% 16.2% 10.4% HV 20d 28.1% 21.6% 33.1% 31.3% 23.0% HV 60d 31.2% 29.5% 33.0% 31.5% 30.0% IV Rank 12.3% 1.7% 33.6% 33.6% 12.9% IV Percentile 38.7% 1.2% 86.5% 86.5% 43.3% Term Structure 0.5% -13.4% 9.4% -13.4% -6.3% VWIV 35.4% 25.1% 56.5% 56.5% 35.8% Skew 25d 9.9% -0.7% 21.6% 15.5% 13.7% Skew 10d 13.1% -2.5% 26.9% 14.4% 20.1% Call IV 25d 33.8% 25.9% 52.6% 52.6% 28.2% Put IV 25d 43.7% 27.3% 68.1% 68.1% 41.9% Bid-Ask Spread % 101.38 78.15 110.51 91.90 109.05 Gamma HHI 0.35 0.29 0.45 0.29 0.45 Net GEX 17.3K 8.4K 36.1K 8.4K 36.1K Net DEX -304.0K -673.2K -78.8K -159.1K -673.2K Net VEX -2.8K -3.1K -2.4K -2.8K -2.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.26 2.15 2.15 0.73 Total Volume 209.526 20 315 63 195 Total OI 1,462.053 1,304 1,543 1,304 1,468
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 2015-02-02 $16.46 $17.50 56.5% 16.2% 31.3% 33.6% 56.5% 15.5% -13.4% 8.4K -159.1K -2.8K 2.15 91.90 20 43 765 539 2015-02-03 $16.80 $17.50 39.8% 11.4% 32.2% 16.4% 40.0% 21.6% -11.9% 12.3K -259.2K -2.5K 0.63 78.15 186 118 781 575 2015-02-04 $16.19 $17.50 42.7% 12.2% 32.9% 19.4% 35.3% 1.1% 2.2% 9.1K -86.2K -2.7K 0.69 93.02 186 129 870 560 2015-02-05 $16.18 $20.00 40.1% 11.6% 32.9% 16.7% 27.2% 2.6% -1.4% 9.1K -78.8K -2.8K 0.70 89.54 168 117 870 591 2015-02-06 $16.66 $20.00 25.5% 9.9% 33.1% 1.7% 25.1% 13.7% 2.0% 11.0K -132.6K -2.9K 0.59 91.93 168 99 872 590 2015-02-09 $16.71 $20.00 32.1% 9.5% 32.8% 8.5% 38.7% 15.4% 2.9% 12.9K -190.0K -2.8K 0.59 100.77 168 99 872 590 2015-02-10 $16.78 $20.00 38.5% 10.1% 32.9% 15.1% 38.0% 7.1% 3.2% 12.4K -225.6K -3.0K 1.01 104.30 98 99 872 590 2015-02-11 $16.98 $20.00 33.2% 9.5% 32.7% 9.6% 35.2% 12.1% 3.9% 12.9K -248.0K -2.8K 1.00 101.75 99 99 876 590 2015-02-12 $16.94 $20.00 35.8% 10.3% 32.7% 12.3% 35.9% 10.6% 2.4% 15.1K -329.7K -2.9K 1.00 107.54 99 99 879 590 2015-02-13 $16.98 $20.00 35.9% 10.3% 30.8% 12.3% 29.9% 9.7% 0.3% 14.2K -264.2K -2.9K 0.52 99.04 190 99 879 590 2015-02-17 $16.85 $20.00 34.8% 10.0% 23.7% 11.3% 40.8% 17.8% 7.2% 16.4K -331.5K -3.1K 0.52 109.00 190 99 953 590 2015-02-18 $16.87 $20.00 40.8% 11.7% 23.5% 17.4% 41.2% 16.2% 2.8% 16.3K -329.8K -3.1K 0.52 104.72 190 99 953 590 2015-02-19 $16.89 $20.00 32.0% 9.2% 23.3% 8.3% 33.4% 4.5% 9.4% 17.1K -286.0K -2.9K 1.00 109.98 10 10 953 590 2015-02-20 $16.92 $20.00 32.6% 9.4% 23.1% 9.0% 0.0% 2.0% -2.7% 18.5K -243.0K -2.7K 0.26 107.07 62 16 953 590 2015-02-23 $16.91 $20.00 32.4% 9.3% 21.6% 8.7% 32.8% 12.4% 0.0% 19.2K -334.5K -2.4K 0.61 103.98 135 82 888 528 2015-02-24 $17.47 $17.50 26.6% 7.6% 24.2% 2.7% 26.9% -0.7% 3.6% 26.8K -437.6K -2.4K 0.93 109.98 88 82 918 528 2015-02-25 $17.72 $17.50 28.0% 8.0% 23.2% 4.2% 28.9% 4.6% 8.7% 29.5K -533.6K -2.7K 0.93 110.51 88 82 940 528 2015-02-26 $17.93 $17.50 36.9% 10.6% 23.2% 13.4% 34.9% 8.1% -3.5% 31.2K -633.4K -2.8K 0.93 103.92 88 82 940 528 2015-02-27 $17.97 $17.50 36.4% 10.4% 23.0% 12.9% 35.8% 13.7% -6.3% 36.1K -673.2K -2.6K 0.73 109.05 113 82 940 528
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