FN Options History — December 2015

In December 2015, FN traded between $21.60 and $24.38. ATM implied volatility averaged 31.9%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.9% (HV 20d: 29.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2015-12-18: Highest Volume — 157 contracts
  • 2015-12-16: Largest IV spike — 47.2% change
  • 2015-12-16: Highest IV Rank — 32.2%
  • 2015-12-16: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.23$21.60$24.38$23.76$23.88
Max Pain$22.73$22.50$25.00$25.00$22.50
ATM IV31.9%22.0%50.8%29.2%27.0%
Expected Move8.9%6.3%14.6%8.4%7.8%
HV 20d29.0%20.0%52.6%52.6%32.1%
HV 60d40.0%38.9%40.9%39.6%39.0%
IV Rank10.6%0.0%32.2%7.4%5.8%
IV Percentile33.2%0.0%94.8%14.7%10.3%
Term Structure6.0%-21.7%47.4%-4.0%10.9%
VWIV32.5%23.2%47.9%29.9%32.7%
Skew 25d4.9%-5.1%26.9%-0.9%-0.5%
Skew 10d4.4%-4.8%20.6%2.9%-2.4%
Call IV 25d29.1%20.7%38.2%38.2%27.9%
Put IV 25d34.0%21.2%47.6%37.3%27.3%
Bid-Ask Spread %112.29101.47124.96124.96116.30
Gamma HHI0.490.430.730.510.47
Net GEX9.7K5.8K12.7K11.5K11.0K
Net DEX-226.2K-460.1K18.3K-256.4K-361.0K
Net VEX-1.4K-1.6K-1.1K-1.6K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.420.620.460.56
Total Volume128.09101570137
Total OI531.955497555513533

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$23.76$25.0029.2%8.4%52.6%7.4%0.0%-0.9%-4.0%11.5K-256.4K-1.6K0.00124.9600295218
2015-12-02$23.37$25.0031.3%9.0%26.4%9.8%29.9%1.5%2.1%12.1K-277.0K-1.5K0.46113.699343305218
2015-12-03$23.18$22.5041.1%9.7%20.0%21.0%37.3%1.1%-3.3%12.0K-231.9K-1.6K0.47114.579243313218
2015-12-04$23.78$22.5026.6%7.4%21.8%4.4%26.6%4.8%2.9%10.9K-258.2K-1.5K0.47107.839243314218
2015-12-07$23.20$22.5036.0%9.5%23.7%15.2%0.0%4.2%3.1%11.7K-229.0K-1.5K0.00105.9100304218
2015-12-08$22.76$22.5039.0%9.4%24.0%18.7%32.7%6.3%-0.1%9.8K-162.4K-1.5K0.42101.4710243314218
2015-12-09$22.30$22.5029.3%8.4%25.1%7.6%31.8%0.4%2.8%9.7K-114.1K-1.5K0.44109.8610245324218
2015-12-10$22.01$22.5033.1%9.5%25.3%12.0%34.3%10.8%-0.2%7.6K-81.1K-1.5K0.45105.679945334221
2015-12-11$22.08$22.5034.5%9.9%23.7%13.5%35.5%11.2%-0.5%7.4K-100.2K-1.5K0.53102.099751334221
2015-12-14$21.60$22.5033.7%9.7%24.6%12.6%47.9%5.0%1.1%6.4K18.3K-1.4K0.53109.109751314235
2015-12-15$21.87$22.5034.5%9.9%25.1%13.5%43.5%3.6%-0.5%5.9K12.7K-1.5K0.53121.159751314235
2015-12-16$22.99$22.5050.8%14.6%30.2%32.2%40.7%26.9%-21.7%7.1K-198.7K-1.5K0.53122.479751314235
2015-12-17$23.29$22.5028.7%8.2%30.4%6.8%29.5%-0.4%7.8%10.6K-206.7K-1.4K0.53102.229751314235
2015-12-18$23.34$22.5028.4%8.1%30.4%6.5%28.5%1.2%9.4%9.4K-185.8K-1.4K0.62110.659760314235
2015-12-21$23.14$22.5032.4%9.3%29.2%11.1%32.3%4.7%47.4%9.3K-198.3K-1.5K0.43109.499039268229
2015-12-22$23.87$22.5038.0%10.9%31.4%17.5%23.6%8.2%18.5%5.8K-279.5K-1.5K0.43116.079039283229
2015-12-23$24.38$22.5029.8%8.6%32.0%8.2%32.9%10.1%11.7%12.7K-381.6K-1.3K0.43118.949139283229
2015-12-24$24.05$22.5022.3%6.4%32.5%0.0%24.0%4.0%10.8%8.4K-460.1K-1.1K0.54116.119149285229
2015-12-28$23.80$22.5023.9%6.8%32.7%1.8%26.6%5.1%11.7%10.6K-304.5K-1.3K0.54113.649149287239
2015-12-29$24.19$22.5029.1%8.4%32.5%7.8%36.5%6.4%9.8%12.0K-346.6K-1.3K0.56116.298849287239
2015-12-30$24.17$22.5022.0%6.3%32.4%0.0%23.2%-5.1%12.1%11.2K-373.9K-1.3K0.56111.918849294239
2015-12-31$23.88$22.5027.0%7.8%32.1%5.8%32.7%-0.5%10.9%11.0K-361.0K-1.3K0.56116.308849294239