FN Options History — July 2015

In July 2015, FN traded between $17.94 and $18.81. ATM implied volatility averaged 36.8%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 8.5% (HV 20d: 28.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.36.

Notable Days

2015-07-09: Highest Volume — 168 contracts
2015-07-10: Largest IV spike — 43.4% change
2015-07-13: Highest IV Rank — 49.5%
2015-07-08: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.43	$17.94	$18.81	$18.74	$18.54
Max Pain	$17.73	$17.50	$20.00	$17.50	$20.00
ATM IV	36.8%	25.9%	59.2%	28.4%	39.1%
Expected Move	10.0%	7.4%	12.1%	8.1%	11.2%
HV 20d	28.3%	21.1%	32.5%	28.5%	22.8%
HV 60d	24.9%	23.9%	26.1%	24.3%	24.3%
IV Rank	19.0%	4.4%	49.5%	7.7%	22.2%
IV Percentile	42.4%	3.6%	90.9%	9.9%	57.9%
Term Structure	0.4%	-6.6%	11.0%	3.3%	-5.4%
VWIV	38.6%	31.0%	47.4%	35.3%	43.7%
Skew 25d	2.8%	-6.5%	8.7%	-6.5%	5.2%
Skew 10d	5.8%	-2.9%	23.5%	9.1%	9.6%
Call IV 25d	36.1%	27.7%	44.2%	32.2%	43.3%
Put IV 25d	38.9%	25.7%	48.4%	25.7%	48.4%
Bid-Ask Spread %	105.53	96.99	110.76	105.11	106.56
Gamma HHI	0.63	0.48	0.88	0.64	0.50
Net GEX	-437	-2.6K	4.5K	4.5K	-798
Net DEX	-90.0K	-213.1K	11.9K	-144.2K	-5.8K
Net VEX	-385	-671	-279	-671	-352
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	0.91	1.55	1.30	0.91
Total Volume	138.136	101	168	152	109
Total OI	318.545	105	489	469	142

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
2015-07-01	$18.74	$17.50	28.4%	8.1%	28.5%	7.7%	35.3%	-6.5%	3.3%	4.5K	-144.2K	-671	1.30	105.11	66	86	241	228
2015-07-02	$18.50	$17.50	35.2%	10.1%	28.9%	16.9%	35.1%	7.0%	-1.6%	2.0K	-143.9K	-556	1.30	109.81	66	86	242	228
2015-07-06	$18.72	$17.50	32.2%	10.8%	29.2%	12.9%	39.1%	2.5%	-1.0%	3.1K	-177.7K	-461	1.30	96.99	66	86	242	228
2015-07-07	$18.70	$17.50	34.9%	10.2%	29.1%	16.5%	36.3%	1.3%	-2.0%	2.9K	-175.0K	-463	1.30	98.50	66	86	242	228
2015-07-08	$18.26	$17.50	34.2%	12.1%	30.3%	15.5%	43.4%	4.8%	-4.9%	-1.6K	-134.9K	-441	1.30	97.90	66	86	242	228
2015-07-09	$17.94	$17.50	34.8%	10.7%	29.9%	16.4%	38.4%	-0.7%	-1.7%	-2.4K	-81.1K	-482	1.55	103.76	66	102	242	228
2015-07-10	$18.52	$17.50	49.9%	9.6%	31.9%	36.9%	41.0%	4.2%	11.0%	444	-149.7K	-471	1.55	104.31	66	102	242	247
2015-07-13	$18.81	$17.50	59.2%	9.4%	32.5%	49.5%	41.7%	4.5%	-6.6%	2.6K	-184.7K	-381	1.55	106.98	66	102	242	247
2015-07-14	$18.76	$17.50	48.2%	8.8%	32.5%	34.6%	36.3%	6.2%	0.9%	-703	-199.4K	-329	1.55	101.31	66	102	242	247
2015-07-15	$18.64	$17.50	33.2%	9.5%	32.5%	14.2%	31.0%	1.8%	-5.0%	-2.2K	-203.3K	-305	1.55	106.37	66	102	242	247
2015-07-16	$18.78	$17.50	25.9%	7.4%	32.3%	4.4%	34.9%	6.2%	-0.5%	-1.5K	-211.9K	-283	1.55	110.03	66	102	242	247
2015-07-17	$18.56	$17.50	33.9%	9.7%	32.4%	15.2%	43.7%	3.4%	8.8%	-1.6K	-213.1K	-281	1.55	104.32	66	102	242	247
2015-07-20	$18.21	$17.50	31.4%	9.0%	30.3%	11.8%	37.1%	-2.3%	5.5%	-1.8K	11.9K	-279	1.49	106.00	45	67	34	71
2015-07-21	$18.18	$17.50	36.9%	10.6%	28.7%	19.3%	36.8%	-2.9%	-1.4%	-1.5K	4.8K	-335	1.49	106.80	45	67	49	71
2015-07-22	$18.09	$17.50	35.0%	10.0%	27.9%	16.7%	37.2%	8.7%	4.4%	-1.7K	11.8K	-331	1.43	110.47	47	67	49	71
2015-07-23	$18.25	$17.50	42.1%	12.1%	25.1%	26.3%	47.4%	6.9%	-0.9%	-1.3K	2.5K	-351	1.43	104.38	47	67	54	71
2015-07-24	$18.20	$17.50	38.4%	11.0%	24.9%	21.3%	41.6%	1.5%	2.4%	-1.4K	2.3K	-346	1.43	107.77	47	67	54	71
2015-07-27	$18.09	$17.50	33.9%	9.7%	24.9%	15.2%	39.2%	-0.9%	4.7%	-1.3K	7.6K	-338	1.34	107.89	50	67	54	71
2015-07-28	$18.00	$17.50	31.4%	9.0%	21.1%	11.8%	33.8%	5.1%	4.7%	-1.7K	10.4K	-331	1.02	108.33	50	51	57	71
2015-07-29	$18.53	$17.50	34.0%	9.7%	23.2%	15.3%	34.6%	3.9%	-3.0%	-2.6K	-8.2K	-337	1.06	110.76	49	52	57	74
2015-07-30	$18.46	$20.00	36.2%	10.4%	23.2%	18.3%	41.3%	1.3%	-2.3%	-1.1K	977	-350	0.91	107.36	57	52	59	75
2015-07-31	$18.54	$20.00	39.1%	11.2%	22.8%	22.2%	43.7%	5.2%	-5.4%	-798	-5.8K	-352	0.91	106.56	57	52	67	75