FN Options History — March 2015

In March 2015, FN traded between $17.79 and $19.64. ATM implied volatility averaged 30.3%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.6% (HV 20d: 21.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2015-03-06: Highest Volume — 200 contracts
  • 2015-03-04: Largest IV spike — 26.9% change
  • 2015-03-10: Highest IV Rank — 14.0%
  • 2015-03-04: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.59$17.79$19.64$17.92$18.99
Max Pain$15.34$15.00$17.50$17.50$15.00
ATM IV30.3%23.4%37.5%33.2%35.2%
Expected Move8.6%6.7%10.7%9.5%10.1%
HV 20d21.7%16.1%25.8%22.8%25.7%
HV 60d27.5%25.8%29.8%29.8%26.8%
IV Rank6.8%0.0%14.0%9.6%12.1%
IV Percentile17.4%0.0%46.4%31.7%38.1%
Term Structure3.9%-5.9%12.9%11.6%4.8%
VWIV30.4%23.6%39.6%36.1%30.1%
Skew 25d1.6%-17.1%18.9%17.2%-1.7%
Skew 10d6.6%-5.9%15.6%15.1%12.6%
Call IV 25d29.1%18.5%40.1%25.0%33.2%
Put IV 25d30.6%22.9%45.4%42.2%31.5%
Bid-Ask Spread %106.0499.98110.12108.51107.86
Gamma HHI0.480.440.610.440.46
Net GEX42.2K33.2K53.1K33.2K39.2K
Net DEX-850.1K-1.2M-626.6K-626.6K-963.8K
Net VEX-2.1K-2.6K-1.6K-2.5K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.003.130.771.12
Total Volume70.7730200189155
Total OI1,486.1821,4621,5121,5081,462

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$17.92$17.5033.2%9.5%22.8%9.6%36.1%17.2%11.6%33.2K-626.6K-2.5K0.77108.5110782980528
2015-03-03$17.90$17.5029.4%8.4%22.9%5.6%30.2%3.4%5.2%35.2K-651.9K-2.6K0.77109.7610782980528
2015-03-04$18.05$17.5037.3%10.7%22.1%13.8%39.6%18.9%0.4%43.1K-666.9K-2.2K0.80108.6710382980528
2015-03-05$18.19$15.0031.6%9.1%16.1%7.9%31.4%4.4%2.0%38.7K-729.5K-2.5K0.80102.2410382984528
2015-03-06$17.79$15.0031.7%8.5%18.9%8.0%29.0%8.3%3.5%36.7K-640.8K-2.3K0.94105.0810397964528
2015-03-09$18.31$15.0032.6%8.2%18.8%8.9%0.0%14.2%9.1%40.7K-740.3K-2.1K0.00105.4500964531
2015-03-10$17.99$15.0037.5%10.1%20.4%14.0%0.0%4.3%-3.7%35.8K-649.1K-2.3K0.00104.3300964531
2015-03-11$18.13$15.0030.6%8.8%20.5%6.9%30.8%0.3%4.6%38.5K-698.4K-2.2K0.00101.0320964531
2015-03-12$18.38$15.0028.4%8.1%20.6%4.6%0.0%3.5%12.9%41.0K-752.7K-2.0K0.0099.9800966531
2015-03-13$18.72$15.0025.1%7.2%21.0%1.3%25.7%2.7%11.1%45.9K-873.8K-2.0K0.00102.54240966531
2015-03-16$18.79$15.0023.4%6.7%21.0%0.0%0.0%-1.3%7.8%44.5K-910.0K-2.2K0.00105.5830967531
2015-03-17$18.96$15.0026.4%7.6%20.5%3.1%23.6%-6.3%0.9%41.6K-951.4K-2.2K0.10104.41515967531
2015-03-18$19.04$15.0027.6%7.9%20.4%4.4%0.0%-5.5%-0.1%43.4K-976.6K-2.2K0.00107.4300961526
2015-03-19$19.03$15.0029.4%8.4%20.5%6.1%0.0%-6.8%-4.5%42.8K-980.3K-2.2K3.13107.60825961526
2015-03-20$19.49$15.0031.3%9.0%21.4%8.1%33.4%2.7%2.0%48.1K-1.1M-2.1K0.00106.7080969516
2015-03-23$19.64$15.0028.0%8.0%21.2%4.8%28.3%-3.1%1.1%53.1K-1.2M-1.9K0.00107.4360956506
2015-03-24$19.20$15.0026.1%7.5%21.6%2.8%24.9%-8.9%5.8%47.7K-1.1M-2.0K0.00106.3750956506
2015-03-25$18.58$15.0030.9%8.9%25.0%7.7%0.0%-17.1%-5.9%40.5K-842.2K-2.0K0.00106.0900956506
2015-03-26$18.48$15.0030.0%8.6%24.9%6.8%33.5%-4.3%4.3%42.9K-805.3K-1.8K1.05106.677882956506
2015-03-27$18.51$15.0031.2%8.9%24.9%8.0%27.9%5.2%4.7%46.0K-832.7K-1.7K0.00110.1210956506
2015-03-30$18.90$15.0029.2%8.4%25.8%6.0%31.0%4.6%7.2%50.6K-968.8K-1.6K1.11109.027482956506
2015-03-31$18.99$15.0035.2%10.1%25.7%12.1%30.1%-1.7%4.8%39.2K-963.8K-1.9K1.12107.867382956506