FN Options History — November 2015

In November 2015, FN traded between $21.17 and $24.07. ATM implied volatility averaged 39.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 15.6% (HV 20d: 54.9%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2015-11-12: Highest Volume — 262 contracts
2015-11-03: Largest IV drop — 69.7% change
2015-11-02: Highest IV Rank — 100.0%
2015-11-02: Largest Expected Move — 31.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.12	$21.17	$24.07	$21.17	$23.93
Max Pain	$27.50	$20.00	$30.00	$20.00	$25.00
ATM IV	39.3%	26.5%	109.9%	109.9%	31.8%
Expected Move	10.8%	7.6%	31.5%	31.5%	9.1%
HV 20d	54.9%	29.0%	58.3%	29.0%	53.4%
HV 60d	40.7%	33.5%	43.1%	33.5%	39.8%
IV Rank	19.0%	4.4%	100.0%	100.0%	10.4%
IV Percentile	46.4%	7.1%	100.0%	100.0%	30.6%
Term Structure	-1.6%	-16.5%	6.1%	-4.0%	-3.2%
VWIV	40.9%	25.2%	165.1%	165.1%	38.8%
Skew 25d	1.2%	-77.0%	25.3%	23.1%	-1.7%
Skew 10d	6.2%	-122.1%	66.9%	44.4%	42.2%
Call IV 25d	41.0%	25.6%	120.8%	119.1%	30.9%
Put IV 25d	42.3%	26.6%	142.2%	142.2%	29.3%
Bid-Ask Spread %	119.26	97.94	143.13	128.59	120.78
Gamma HHI	0.60	0.46	0.81	0.52	0.50
Net GEX	9.8K	4.8K	16.0K	4.8K	12.5K
Net DEX	-419.8K	-747.7K	-219.5K	-354.3K	-258.9K
Net VEX	-1.4K	-1.7K	-914	-1.2K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	2.01	0.59	0.38
Total Volume	128.8	0	262	183	2
Total OI	546.8	406	664	406	513

Daily Data (20 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
2015-11-02	$21.17	$20.00	109.9%	31.5%	29.0%	100.0%	165.1%	23.1%	-4.0%	4.8K	-354.3K	-1.2K	0.59	128.59	115	68	330	76
2015-11-03	$24.07	$20.00	33.3%	9.5%	52.9%	12.1%	28.6%	2.8%	-3.3%	16.0K	-747.7K	-914	0.31	101.14	125	39	391	88
2015-11-04	$22.93	$20.00	49.3%	14.1%	56.8%	30.5%	50.2%	-77.0%	-16.5%	13.3K	-496.7K	-1.1K	0.98	134.86	92	90	346	110
2015-11-05	$23.04	$30.00	36.7%	8.9%	56.8%	16.0%	32.2%	10.7%	1.0%	12.5K	-493.8K	-1.2K	1.03	122.24	87	90	370	161
2015-11-06	$22.99	$30.00	38.3%	8.6%	56.9%	17.8%	0.0%	3.4%	3.1%	11.6K	-480.1K	-1.2K	0.00	143.13	0	0	359	161
2015-11-09	$22.62	$30.00	35.6%	8.5%	57.2%	14.8%	0.0%	-2.8%	-0.9%	12.4K	-430.8K	-1.2K	0.00	130.01	0	0	359	161
2015-11-10	$22.55	$30.00	40.3%	8.9%	57.3%	20.2%	35.6%	-1.2%	-1.3%	12.9K	-440.6K	-1.2K	1.03	117.31	87	90	369	161
2015-11-11	$22.72	$30.00	66.5%	19.1%	57.2%	50.3%	36.2%	-0.9%	-14.1%	12.9K	-492.1K	-1.2K	1.03	127.65	87	90	369	161
2015-11-12	$23.25	$30.00	31.0%	8.9%	57.5%	9.4%	26.5%	6.8%	-0.8%	10.5K	-541.0K	-1.2K	2.01	97.94	87	175	369	179
2015-11-13	$23.24	$30.00	31.8%	9.1%	57.6%	10.4%	28.5%	7.0%	2.2%	7.9K	-456.7K	-1.6K	1.12	129.89	92	103	369	269
2015-11-16	$23.33	$30.00	26.5%	7.6%	57.4%	4.4%	0.0%	3.0%	0.0%	5.1K	-443.3K	-1.7K	0.00	138.41	2	0	364	277
2015-11-17	$22.78	$30.00	30.4%	8.7%	58.3%	8.8%	30.4%	4.3%	5.0%	6.4K	-426.5K	-1.7K	1.10	113.27	94	103	376	277
2015-11-18	$22.99	$30.00	33.4%	9.6%	58.3%	12.2%	31.1%	1.1%	-3.6%	8.6K	-417.9K	-1.7K	1.10	101.42	94	103	385	277
2015-11-19	$23.11	$30.00	31.7%	9.1%	56.6%	10.3%	26.8%	4.5%	6.1%	7.5K	-458.9K	-1.7K	0.57	110.00	94	54	385	277
2015-11-20	$23.67	$30.00	29.8%	8.6%	57.0%	8.2%	25.2%	25.3%	-4.4%	5.4K	-523.2K	-1.6K	0.57	120.31	94	54	385	279
2015-11-23	$23.63	$30.00	32.9%	9.4%	56.3%	11.6%	31.3%	4.8%	2.9%	5.1K	-229.7K	-1.6K	0.00	103.31	33	0	244	218
2015-11-24	$23.42	$25.00	33.5%	9.6%	55.1%	12.4%	0.0%	3.5%	-2.9%	8.4K	-219.5K	-1.6K	0.00	101.58	0	0	276	218
2015-11-25	$23.42	$25.00	31.3%	9.0%	53.7%	9.8%	26.9%	7.0%	-0.5%	9.6K	-236.1K	-1.6K	0.38	114.47	120	46	286	218
2015-11-27	$23.47	$25.00	31.9%	9.1%	53.2%	10.5%	38.8%	1.4%	3.4%	12.0K	-248.2K	-1.7K	0.38	128.81	120	46	305	218
2015-11-30	$23.93	$25.00	31.8%	9.1%	53.4%	10.4%	0.0%	-1.7%	-3.2%	12.5K	-258.9K	-1.5K	0.00	120.78	0	2	295	218