FN Options History — October 2015

In October 2015, FN traded between $18.41 and $22.06. ATM implied volatility averaged 40.4%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 9.0% (HV 20d: 31.4%). 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 6 of 22 days. Put/call ratio averaged 0.22.

Notable Days

2015-10-16: Highest Volume — 291 contracts
2015-10-22: Largest IV spike — 87.5% change
2015-10-22: Highest IV Rank — 100.0%
2015-10-22: Largest Expected Move — 19.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.64	$18.41	$22.06	$18.41	$21.67
Max Pain	$19.69	$17.50	$20.00	$17.50	$20.00
ATM IV	40.4%	31.7%	69.4%	42.7%	40.4%
Expected Move	11.3%	9.1%	19.9%	12.2%	11.6%
HV 20d	31.4%	27.0%	35.3%	28.7%	33.1%
HV 60d	31.1%	29.3%	33.1%	29.5%	33.1%
IV Rank	31.1%	17.1%	100.0%	27.1%	37.8%
IV Percentile	65.6%	28.2%	100.0%	81.7%	80.2%
Term Structure	-0.7%	-23.6%	35.9%	8.4%	-14.0%
VWIV	37.8%	24.8%	61.3%	46.0%	43.7%
Skew 25d	7.6%	-3.4%	38.0%	4.7%	11.5%
Skew 10d	8.5%	-12.8%	19.5%	-2.0%	1.3%
Call IV 25d	38.3%	26.7%	51.6%	48.9%	43.8%
Put IV 25d	45.9%	32.3%	89.6%	53.7%	55.3%
Bid-Ask Spread %	108.28	95.21	132.34	104.75	113.07
Gamma HHI	0.47	0.42	0.71	0.43	0.47
Net GEX	12.1K	2.4K	17.6K	3.6K	16.4K
Net DEX	-280.5K	-404.0K	-64.1K	-73.8K	-365.4K
Net VEX	-880	-1.1K	-592	-674	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	0.44	0.44	0.35
Total Volume	179.727	10	291	166	216
Total OI	343.318	305	365	305	363

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
2015-10-01	$18.41	$17.50	42.7%	12.2%	28.7%	27.1%	46.0%	4.7%	8.4%	3.6K	-73.8K	-674	0.44	104.75	115	51	234	71
2015-10-02	$18.48	$17.50	42.7%	12.3%	28.6%	27.1%	46.1%	7.7%	7.3%	2.4K	-64.1K	-592	0.44	102.91	115	51	234	71
2015-10-05	$19.59	$0.00	37.6%	10.5%	35.3%	20.1%	0.0%	-1.4%	-1.1%	5.5K	-111.5K	-667	0.00	103.98	10	0	234	71
2015-10-06	$19.78	$0.00	41.0%	11.2%	35.2%	24.8%	0.0%	5.2%	-2.7%	6.7K	-164.4K	-730	0.41	97.45	124	51	244	71
2015-10-07	$19.91	$0.00	35.3%	11.3%	33.7%	17.1%	0.0%	1.5%	-4.5%	7.3K	-178.1K	-728	0.34	97.06	151	51	244	71
2015-10-08	$20.15	$0.00	36.5%	10.5%	33.8%	18.6%	0.0%	9.0%	-2.8%	11.6K	-224.7K	-792	0.36	97.66	141	51	274	71
2015-10-09	$20.26	$0.00	37.2%	10.9%	33.0%	19.7%	0.0%	4.0%	-4.4%	12.2K	-252.8K	-830	0.35	96.57	141	50	281	71
2015-10-12	$20.65	$0.00	54.0%	10.5%	32.0%	42.4%	36.7%	6.8%	-3.7%	10.8K	-279.6K	-844	0.36	99.87	143	51	281	73
2015-10-13	$20.69	$20.00	47.2%	10.7%	31.6%	33.2%	36.5%	1.7%	3.0%	12.2K	-320.3K	-843	0.38	95.21	135	51	283	74
2015-10-14	$20.59	$20.00	41.2%	11.8%	31.1%	25.1%	38.7%	7.7%	-6.3%	13.5K	-286.2K	-805	0.36	97.80	141	51	283	74
2015-10-15	$20.75	$20.00	38.5%	11.0%	30.6%	21.4%	38.4%	4.8%	-2.4%	10.3K	-304.6K	-773	0.36	99.40	142	51	289	74
2015-10-16	$20.88	$20.00	37.8%	10.8%	30.5%	35.5%	35.6%	4.4%	-2.3%	9.2K	-306.3K	-725	0.21	100.51	240	51	291	74
2015-10-19	$20.74	$20.00	35.6%	10.2%	30.1%	30.4%	36.9%	-3.4%	35.9%	16.1K	-302.1K	-981	0.03	108.91	201	6	314	25
2015-10-20	$21.00	$20.00	33.2%	9.5%	27.0%	24.6%	34.2%	-0.6%	-2.5%	17.6K	-335.2K	-1.0K	0.03	109.78	201	6	320	25
2015-10-21	$20.93	$20.00	37.0%	10.6%	27.1%	33.7%	35.2%	4.5%	3.6%	16.6K	-340.6K	-1.0K	0.04	111.19	148	6	320	25
2015-10-22	$21.82	$20.00	69.4%	19.9%	30.1%	100.0%	29.0%	36.6%	-23.6%	15.2K	-386.6K	-1.1K	0.04	132.34	155	6	324	25
2015-10-23	$22.06	$20.00	34.7%	9.9%	30.1%	25.6%	32.6%	7.3%	-3.0%	17.1K	-404.0K	-1.0K	0.04	118.30	160	6	321	25
2015-10-26	$21.57	$20.00	31.7%	9.1%	30.9%	19.2%	25.5%	5.9%	-1.3%	15.7K	-396.8K	-1.0K	0.04	122.37	160	6	329	25
2015-10-27	$20.96	$20.00	35.2%	10.1%	33.3%	26.6%	24.8%	8.1%	16.1%	14.4K	-361.9K	-1.0K	0.06	121.78	160	9	329	25
2015-10-28	$21.79	$20.00	43.9%	12.6%	31.9%	45.4%	41.5%	3.5%	-4.8%	16.6K	-364.9K	-1.1K	0.09	127.38	161	14	329	28
2015-10-29	$21.43	$20.00	36.6%	10.5%	33.1%	29.6%	61.3%	38.0%	-9.9%	15.5K	-346.3K	-1.1K	0.09	123.92	161	14	330	33
2015-10-30	$21.67	$20.00	40.4%	11.6%	33.1%	37.8%	43.7%	11.5%	-14.0%	16.4K	-365.4K	-1.0K	0.35	113.07	160	56	330	33