FN Options History — September 2015

In September 2015, FN traded between $18.36 and $19.88. ATM implied volatility averaged 36.7%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.2% (HV 20d: 32.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2015-09-30: Highest Volume — 180 contracts
2015-09-04: Largest IV spike — 35.6% change
2015-09-23: Highest IV Rank — 28.2%
2015-09-23: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.10	$18.36	$19.88	$19.62	$18.36
Max Pain	$17.74	$17.50	$20.00	$20.00	$17.50
ATM IV	36.7%	26.9%	43.5%	38.0%	40.4%
Expected Move	10.5%	8.5%	12.5%	10.9%	11.6%
HV 20d	32.5%	26.6%	38.0%	36.1%	29.3%
HV 60d	29.8%	29.0%	30.8%	29.7%	29.9%
IV Rank	18.9%	5.7%	28.2%	20.7%	24.0%
IV Percentile	53.1%	8.3%	80.2%	59.1%	75.4%
Term Structure	-1.7%	-10.4%	8.8%	0.4%	8.6%
VWIV	40.3%	34.5%	48.5%	37.2%	42.9%
Skew 25d	4.6%	-9.4%	15.8%	-9.1%	-4.5%
Skew 10d	6.6%	-13.8%	16.1%	0.7%	-8.5%
Call IV 25d	38.6%	28.0%	53.0%	39.8%	53.0%
Put IV 25d	43.2%	30.8%	59.2%	30.8%	48.5%
Bid-Ask Spread %	102.17	98.35	108.99	108.99	101.63
Gamma HHI	0.53	0.31	0.80	0.73	0.45
Net GEX	4.4K	-363	10.6K	7.8K	3.7K
Net DEX	-72.8K	-133.5K	-30.6K	-123.1K	-60.6K
Net VEX	-352	-639	-210	-451	-465
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.41	0.84	0.68	0.58
Total Volume	140.571	0	180	151	180
Total OI	217.81	127	286	225	286

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
2015-09-01	$19.62	$20.00	38.0%	10.9%	36.1%	20.7%	37.2%	-9.1%	0.4%	7.8K	-123.1K	-451	0.68	108.99	90	61	158	67
2015-09-02	$19.88	$20.00	40.6%	11.6%	36.0%	24.2%	39.6%	-9.4%	-9.1%	7.8K	-133.5K	-384	0.68	106.21	90	61	154	67
2015-09-03	$19.60	$17.50	26.9%	9.1%	36.6%	5.7%	34.9%	9.4%	3.1%	10.6K	-119.1K	-412	0.68	102.27	90	61	154	67
2015-09-04	$19.24	$17.50	36.5%	9.4%	37.1%	18.7%	39.6%	15.8%	1.9%	7.5K	-98.5K	-407	0.68	101.58	90	61	154	67
2015-09-08	$19.47	$17.50	36.4%	10.1%	36.1%	18.5%	0.0%	1.0%	0.2%	8.8K	-91.8K	-364	0.00	102.04	0	0	154	67
2015-09-09	$18.96	$17.50	33.6%	9.6%	36.7%	14.8%	38.4%	8.0%	1.2%	6.7K	-62.7K	-341	0.62	99.27	99	61	154	67
2015-09-10	$19.12	$17.50	30.5%	8.8%	36.4%	10.6%	34.5%	4.0%	0.6%	7.6K	-81.1K	-337	0.62	99.29	99	61	163	67
2015-09-11	$18.79	$17.50	40.0%	11.5%	37.0%	23.4%	36.5%	2.0%	-7.1%	4.1K	-43.6K	-291	0.62	101.31	99	61	163	67
2015-09-14	$18.40	$17.50	39.0%	11.2%	37.3%	22.1%	42.0%	3.6%	8.8%	-363	-30.6K	-250	0.62	102.09	99	61	163	67
2015-09-15	$18.76	$17.50	32.8%	9.4%	38.0%	13.7%	0.0%	-2.4%	-3.2%	289	-35.0K	-228	0.00	98.35	0	0	163	67
2015-09-16	$19.20	$17.50	38.8%	11.1%	29.9%	21.8%	42.2%	6.9%	-8.0%	9.5K	-62.9K	-272	0.62	99.79	99	61	163	67
2015-09-17	$19.00	$17.50	36.1%	10.4%	29.4%	18.2%	37.5%	2.6%	-8.0%	693	-45.3K	-235	0.62	104.72	99	61	163	67
2015-09-18	$19.23	$17.50	40.8%	11.7%	29.2%	24.5%	39.5%	8.4%	-5.8%	702	-44.4K	-240	0.62	100.75	99	61	163	67
2015-09-21	$19.63	$17.50	36.6%	10.5%	30.0%	18.8%	46.8%	15.1%	-0.8%	820	-65.4K	-218	0.72	98.62	71	51	78	52
2015-09-22	$18.98	$17.50	32.4%	9.3%	30.1%	13.2%	35.4%	2.9%	-1.0%	613	-46.3K	-210	0.84	102.73	61	51	75	52
2015-09-23	$19.00	$17.50	43.5%	12.5%	29.9%	28.2%	41.7%	5.3%	-6.9%	575	-40.1K	-219	0.55	102.89	92	51	75	52
2015-09-24	$19.03	$17.50	29.6%	8.5%	26.9%	9.3%	35.1%	5.1%	7.8%	1.3K	-55.4K	-282	0.41	101.48	125	51	110	52
2015-09-25	$19.09	$17.50	37.9%	10.9%	26.7%	20.6%	45.2%	14.1%	-3.4%	3.8K	-94.7K	-541	0.45	103.93	114	51	178	52
2015-09-28	$18.80	$17.50	38.0%	10.9%	26.6%	20.8%	47.6%	12.8%	-3.8%	5.1K	-95.9K	-608	0.45	103.64	114	51	234	52
2015-09-29	$19.01	$17.50	41.8%	12.0%	27.0%	25.9%	48.5%	5.9%	-10.4%	5.2K	-97.8K	-639	0.45	104.01	114	51	234	52
2015-09-30	$18.36	$17.50	40.4%	11.6%	29.3%	24.0%	42.9%	-4.5%	8.6%	3.7K	-60.6K	-465	0.58	101.63	114	66	234	52