FN Options History — June 2015

In June 2015, FN traded between $18.28 and $20.69. ATM implied volatility averaged 28.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.7% (HV 20d: 21.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.52.

Notable Days

2015-06-08: Highest Volume — 217 contracts
2015-06-22: Largest IV spike — 27.2% change
2015-06-09: Highest IV Rank — 15.1%
2015-06-23: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.30	$18.28	$20.69	$18.29	$18.75
Max Pain	$17.84	$17.50	$20.00	$20.00	$17.50
ATM IV	28.6%	22.7%	34.4%	30.4%	29.2%
Expected Move	8.0%	6.5%	9.7%	8.7%	8.4%
HV 20d	21.9%	17.2%	29.4%	21.8%	29.4%
HV 60d	22.3%	21.0%	24.4%	23.3%	24.4%
IV Rank	7.6%	0.0%	15.1%	9.7%	8.8%
IV Percentile	13.3%	0.0%	36.5%	17.5%	12.3%
Term Structure	2.1%	-12.1%	10.6%	0.4%	-12.1%
VWIV	32.1%	23.4%	40.3%	28.3%	40.3%
Skew 25d	2.9%	-9.5%	11.1%	4.4%	-9.5%
Skew 10d	5.9%	-9.6%	18.6%	5.0%	16.5%
Call IV 25d	29.1%	23.4%	36.8%	27.1%	36.8%
Put IV 25d	32.0%	21.7%	42.2%	31.5%	27.3%
Bid-Ask Spread %	106.39	98.22	109.92	106.42	108.46
Gamma HHI	0.69	0.50	0.88	0.50	0.63
Net GEX	5.5K	1.6K	11.2K	1.6K	4.2K
Net DEX	-209.9K	-381.4K	-62.8K	-62.8K	-142.6K
Net VEX	-748	-1.0K	-404	-946	-710
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.00	1.80	1.76	1.28
Total Volume	185.773	1	217	215	153
Total OI	469.727	455	474	472	469

Daily Data (22 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
2015-06-01	$18.29	$20.00	30.4%	8.7%	21.8%	9.7%	28.3%	4.4%	0.4%	1.6K	-62.8K	-946	1.76	106.42	78	137	239	233
2015-06-02	$18.28	$20.00	24.7%	7.1%	20.4%	1.9%	0.0%	-4.6%	10.6%	2.2K	-63.3K	-1.0K	0.00	109.60	1	0	239	233
2015-06-03	$18.66	$20.00	27.3%	7.8%	21.7%	5.3%	25.2%	4.7%	6.0%	3.5K	-113.9K	-961	1.73	107.78	79	137	240	233
2015-06-04	$18.66	$17.50	31.0%	8.8%	21.7%	10.4%	31.2%	4.3%	3.8%	3.5K	-112.1K	-986	1.73	104.45	79	137	240	233
2015-06-05	$18.78	$17.50	32.3%	8.2%	21.7%	12.2%	32.0%	3.3%	-1.6%	3.2K	-113.7K	-966	1.73	104.92	79	137	240	233
2015-06-08	$18.85	$17.50	32.8%	9.1%	21.4%	12.9%	36.3%	4.3%	-4.4%	3.4K	-130.9K	-978	1.71	109.92	80	137	240	233
2015-06-09	$18.85	$17.50	34.4%	7.7%	21.1%	15.1%	33.0%	4.9%	0.4%	4.0K	-137.9K	-955	1.71	106.23	80	137	241	233
2015-06-10	$19.19	$17.50	30.1%	8.6%	21.8%	9.3%	35.3%	6.9%	-5.2%	3.7K	-161.8K	-945	1.80	106.09	76	137	241	233
2015-06-11	$19.45	$17.50	27.8%	8.0%	21.8%	6.1%	39.1%	9.6%	-1.9%	4.5K	-200.6K	-904	1.80	105.08	76	137	241	233
2015-06-12	$19.45	$17.50	30.9%	8.9%	21.8%	10.4%	31.9%	2.1%	-1.7%	4.8K	-228.9K	-836	1.80	108.60	76	137	241	233
2015-06-15	$19.40	$17.50	24.8%	7.1%	21.1%	1.9%	34.1%	7.0%	4.1%	5.8K	-203.5K	-768	1.80	105.06	76	137	241	233
2015-06-16	$19.50	$17.50	22.7%	6.5%	20.4%	0.0%	30.2%	10.7%	8.2%	7.4K	-280.9K	-531	1.47	98.22	76	112	241	233
2015-06-17	$19.23	$17.50	25.3%	7.3%	19.8%	3.5%	31.4%	2.4%	4.1%	5.3K	-196.1K	-754	1.47	104.86	76	112	241	233
2015-06-18	$19.37	$17.50	23.6%	6.8%	19.8%	1.2%	26.9%	-3.7%	5.4%	6.0K	-212.6K	-694	1.47	106.07	76	112	241	233
2015-06-19	$19.99	$17.50	23.2%	6.7%	18.9%	0.7%	23.4%	-0.4%	7.6%	11.2K	-330.3K	-404	1.47	106.22	76	112	241	233
2015-06-22	$20.43	$17.50	29.5%	8.5%	19.0%	9.2%	31.0%	4.6%	6.6%	7.5K	-353.0K	-483	1.27	106.84	80	102	232	223
2015-06-23	$20.69	$17.50	33.7%	9.7%	17.2%	14.9%	36.1%	11.1%	-1.0%	7.0K	-381.4K	-430	1.27	107.31	80	102	237	223
2015-06-24	$19.85	$17.50	29.7%	8.5%	23.9%	9.4%	34.5%	-1.1%	3.2%	7.9K	-311.3K	-562	1.57	107.33	67	105	237	223
2015-06-25	$19.96	$17.50	30.5%	8.7%	23.7%	10.6%	35.6%	2.1%	2.0%	7.8K	-307.6K	-555	1.57	104.16	67	105	237	226
2015-06-26	$19.86	$17.50	28.9%	8.3%	23.9%	8.4%	29.7%	3.6%	1.8%	8.5K	-323.8K	-531	1.59	108.07	66	105	237	226
2015-06-29	$19.08	$17.50	26.0%	7.5%	28.6%	4.4%	28.0%	-2.5%	9.0%	8.7K	-248.0K	-546	1.28	108.94	67	86	236	226
2015-06-30	$18.75	$17.50	29.2%	8.4%	29.4%	8.8%	40.3%	-9.5%	-12.1%	4.2K	-142.6K	-710	1.28	108.46	67	86	241	228