FN Options History — May 2015

In May 2015, FN traded between $18.18 and $18.94. ATM implied volatility averaged 36.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 12.8% (HV 20d: 23.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.67.

Notable Days

2015-05-06: Highest Volume — 273 contracts
2015-05-13: Largest IV drop — 38.3% change
2015-05-11: Highest IV Rank — 42.1%
2015-05-01: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.47	$18.18	$18.94	$18.30	$18.19
Max Pain	$19.88	$17.50	$20.00	$17.50	$20.00
ATM IV	36.4%	26.6%	64.5%	36.5%	30.1%
Expected Move	8.6%	7.2%	10.5%	10.5%	8.6%
HV 20d	23.6%	21.7%	27.0%	22.4%	21.8%
HV 60d	22.5%	21.9%	23.4%	22.2%	23.4%
IV Rank	14.9%	4.5%	42.1%	13.5%	9.3%
IV Percentile	35.9%	4.8%	94.4%	44.8%	16.7%
Term Structure	4.2%	-1.7%	9.9%	3.5%	4.4%
VWIV	27.9%	21.9%	36.1%	36.1%	30.0%
Skew 25d	6.0%	-0.3%	18.4%	11.1%	3.0%
Skew 10d	7.7%	-4.0%	19.4%	11.8%	3.3%
Call IV 25d	27.1%	16.6%	37.1%	29.9%	28.3%
Put IV 25d	33.1%	24.1%	41.5%	41.1%	31.3%
Bid-Ask Spread %	106.11	99.53	109.35	104.61	105.80
Gamma HHI	0.61	0.52	0.88	0.78	0.52
Net GEX	3.3K	1.9K	7.1K	4.0K	1.9K
Net DEX	-105.6K	-178.6K	-56.8K	-119.5K	-56.8K
Net VEX	-1.2K	-1.3K	-1.0K	-1.2K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.26	1.89	1.49	1.76
Total Volume	176.65	0	273	249	215
Total OI	510	454	585	454	472

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
2015-05-01	$18.30	$17.50	36.5%	10.5%	22.4%	13.5%	36.1%	11.1%	3.5%	4.0K	-119.5K	-1.2K	1.49	104.61	100	149	258	196
2015-05-04	$18.68	$20.00	46.8%	10.2%	23.4%	24.0%	32.7%	3.3%	1.9%	5.0K	-161.1K	-1.2K	0.26	99.53	38	10	263	196
2015-05-05	$18.57	$20.00	38.0%	8.3%	23.3%	15.0%	25.2%	3.6%	4.2%	7.1K	-178.6K	-1.2K	1.63	102.27	103	168	301	206
2015-05-06	$18.64	$20.00	35.3%	9.4%	23.4%	12.2%	27.4%	2.8%	-1.7%	5.0K	-133.1K	-1.3K	1.60	104.18	105	168	307	278
2015-05-07	$18.75	$20.00	42.3%	8.3%	23.2%	19.4%	24.6%	5.5%	8.7%	4.1K	-144.2K	-1.3K	1.63	105.23	103	168	300	278
2015-05-08	$18.55	$20.00	54.1%	7.7%	23.5%	31.5%	0.0%	2.8%	5.9%	3.5K	-124.3K	-1.2K	0.00	106.71	0	0	276	278
2015-05-11	$18.41	$20.00	64.5%	7.6%	23.2%	42.1%	0.0%	0.3%	-0.0%	2.8K	-93.7K	-1.2K	0.00	109.19	0	0	276	278
2015-05-12	$18.56	$20.00	53.8%	7.2%	23.4%	38.3%	27.0%	-0.3%	0.3%	2.5K	-77.9K	-1.2K	1.89	105.82	80	151	276	278
2015-05-13	$18.39	$20.00	33.2%	9.5%	23.5%	12.4%	30.6%	4.4%	6.0%	3.1K	-105.6K	-1.2K	1.89	105.81	80	151	286	278
2015-05-14	$18.52	$20.00	31.8%	9.1%	23.6%	11.5%	23.1%	10.7%	2.3%	3.0K	-96.3K	-1.2K	1.89	107.73	80	151	286	278
2015-05-15	$18.28	$20.00	31.5%	9.0%	22.3%	11.1%	21.9%	7.1%	-0.7%	2.7K	-84.6K	-1.2K	1.89	105.62	80	151	286	278
2015-05-18	$18.60	$20.00	26.8%	7.7%	21.7%	4.6%	0.0%	16.9%	6.0%	2.7K	-105.5K	-1.1K	0.00	109.07	0	0	242	233
2015-05-19	$18.25	$20.00	26.6%	7.6%	22.6%	4.5%	0.0%	4.5%	2.2%	3.1K	-98.0K	-1.1K	0.00	107.38	0	0	242	233
2015-05-20	$18.27	$20.00	28.8%	8.3%	22.6%	7.5%	28.7%	3.1%	5.3%	2.1K	-59.0K	-1.1K	1.85	109.35	74	137	242	233
2015-05-21	$18.94	$20.00	28.5%	8.2%	26.0%	7.1%	30.3%	18.4%	7.2%	3.3K	-128.2K	-1.1K	1.85	105.98	74	137	242	233
2015-05-22	$18.68	$20.00	30.1%	8.6%	26.4%	9.2%	27.0%	5.9%	7.7%	3.7K	-127.7K	-1.1K	1.76	106.45	78	137	242	233
2015-05-26	$18.35	$20.00	30.7%	8.8%	27.0%	10.1%	25.9%	7.0%	7.6%	2.3K	-70.4K	-1.1K	1.76	106.50	78	137	239	233
2015-05-27	$18.28	$20.00	30.6%	8.8%	25.1%	9.9%	28.6%	6.9%	2.3%	2.5K	-80.5K	-1.0K	1.76	107.22	78	137	239	233
2015-05-28	$18.18	$20.00	27.4%	7.9%	23.5%	5.5%	27.5%	3.3%	9.9%	2.3K	-66.9K	-1.1K	1.76	107.69	78	137	239	233
2015-05-29	$18.19	$20.00	30.1%	8.6%	21.8%	9.3%	30.0%	3.0%	4.4%	1.9K	-56.8K	-1.0K	1.76	105.80	78	137	239	233