FN Options History — August 2015

In August 2015, FN traded between $18.10 and $20.22. ATM implied volatility averaged 34.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.0% (HV 20d: 27.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2015-08-17: Highest Volume — 213 contracts
2015-08-07: Largest IV spike — 36.1% change
2015-08-07: Highest IV Rank — 34.4%
2015-08-27: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.11	$18.10	$20.22	$18.28	$19.83
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	34.8%	25.1%	48.1%	33.3%	37.9%
Expected Move	9.6%	7.2%	10.9%	9.5%	10.9%
HV 20d	27.7%	18.7%	36.5%	22.9%	36.0%
HV 60d	26.6%	24.1%	29.7%	24.4%	29.6%
IV Rank	16.3%	3.2%	34.4%	14.3%	20.6%
IV Percentile	39.8%	2.4%	73.4%	32.5%	57.9%
Term Structure	2.3%	-7.4%	40.4%	0.9%	-4.2%
VWIV	34.7%	25.0%	43.7%	42.3%	37.2%
Skew 25d	1.7%	-9.5%	14.0%	-1.2%	-7.5%
Skew 10d	3.9%	-14.0%	12.1%	12.0%	-6.6%
Call IV 25d	33.9%	24.6%	39.9%	35.4%	39.9%
Put IV 25d	35.6%	22.6%	49.4%	34.2%	32.4%
Bid-Ask Spread %	105.54	89.12	128.77	115.13	107.00
Gamma HHI	0.62	0.46	0.95	0.56	0.74
Net GEX	5.7K	-1.7K	38.8K	-1.7K	8.2K
Net DEX	-75.6K	-250.8K	9.3K	974	-145.9K
Net VEX	-424	-499	-340	-340	-431
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	0.80	0.00	0.72
Total Volume	129.952	0	213	10	146
Total OI	210.286	142	308	142	225

Daily Data (21 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
2015-08-03	$18.28	$20.00	33.3%	9.5%	22.9%	14.3%	0.0%	-1.2%	0.9%	-1.7K	974	-340	0.00	115.13	10	0	67	75
2015-08-04	$18.10	$20.00	37.3%	10.7%	23.1%	19.7%	42.3%	7.5%	1.8%	-1.3K	9.3K	-344	0.80	109.50	65	52	77	75
2015-08-05	$18.38	$20.00	33.7%	9.7%	22.3%	14.9%	36.7%	6.8%	1.0%	-517	-7.0K	-363	0.80	107.64	65	52	87	75
2015-08-06	$18.47	$20.00	35.3%	9.7%	21.3%	17.1%	33.7%	5.2%	0.2%	-463	-14.3K	-372	0.80	104.88	65	52	87	75
2015-08-07	$18.72	$20.00	48.1%	9.0%	18.7%	34.4%	33.8%	3.9%	7.9%	-442	-17.6K	-369	0.80	100.52	65	52	87	75
2015-08-10	$19.24	$20.00	36.9%	10.3%	20.3%	19.2%	36.6%	14.0%	-3.7%	690	-39.0K	-374	0.51	97.67	101	52	87	75
2015-08-11	$18.89	$20.00	34.7%	7.9%	21.5%	16.2%	0.0%	5.0%	8.0%	2.6K	-49.3K	-424	0.00	102.51	0	0	113	75
2015-08-12	$18.62	$20.00	34.8%	10.0%	22.0%	16.4%	34.7%	6.9%	3.0%	1.3K	-24.5K	-393	0.51	102.82	101	52	113	75
2015-08-13	$18.64	$20.00	37.0%	10.6%	21.8%	19.4%	33.8%	2.7%	-0.0%	1.8K	-30.2K	-410	0.51	101.14	102	52	113	75
2015-08-14	$18.95	$20.00	36.4%	10.4%	22.1%	18.6%	38.2%	7.1%	1.6%	2.0K	-43.8K	-418	0.79	101.94	66	52	114	75
2015-08-17	$18.90	$20.00	38.0%	10.9%	20.9%	20.7%	43.7%	10.1%	-3.9%	2.8K	-52.3K	-432	0.51	97.25	141	72	125	75
2015-08-18	$20.22	$20.00	25.4%	7.3%	31.2%	3.6%	25.2%	0.1%	3.5%	38.8K	-250.8K	-459	0.70	89.12	114	80	212	96
2015-08-19	$19.85	$20.00	25.1%	7.2%	32.2%	3.2%	25.0%	-1.1%	4.0%	14.4K	-167.0K	-474	0.00	110.63	0	7	192	101
2015-08-20	$19.50	$20.00	26.1%	7.5%	33.1%	4.6%	26.4%	-3.9%	4.7%	14.3K	-139.8K	-476	0.70	105.89	114	80	192	104
2015-08-21	$19.67	$20.00	31.5%	9.0%	33.1%	11.9%	30.5%	-6.2%	-1.6%	5.0K	-101.7K	-445	0.73	106.11	109	80	192	104
2015-08-24	$19.03	$20.00	33.8%	9.7%	35.4%	15.1%	36.5%	9.5%	40.4%	4.2K	-58.4K	-495	0.72	128.77	85	61	132	71
2015-08-25	$18.86	$20.00	32.6%	9.4%	35.6%	13.4%	35.7%	-4.3%	-2.3%	5.8K	-90.6K	-499	0.72	105.26	85	61	158	67
2015-08-26	$19.55	$20.00	37.3%	10.7%	36.3%	19.8%	36.4%	-4.1%	0.7%	6.6K	-99.3K	-496	0.72	108.36	85	61	158	67
2015-08-27	$19.70	$20.00	38.1%	10.9%	36.3%	20.9%	36.7%	-5.4%	-7.4%	6.9K	-126.7K	-455	0.72	106.63	85	61	158	67
2015-08-28	$19.95	$20.00	37.0%	10.6%	36.5%	19.4%	36.1%	-9.5%	-6.1%	7.9K	-140.1K	-435	0.72	107.61	85	61	158	67
2015-08-31	$19.83	$20.00	37.9%	10.9%	36.0%	20.6%	37.2%	-7.5%	-4.2%	8.2K	-145.9K	-431	0.72	107.00	85	61	158	67