FN Options History — January 2016

In January 2016, FN traded between $21.80 and $23.97. ATM implied volatility averaged 41.4%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 12.1% (HV 20d: 29.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.53.

Notable Days

2016-01-25: Highest Volume — 311 contracts
2016-01-06: Largest IV spike — 36.3% change
2016-01-27: Highest IV Rank — 32.6%
2016-01-27: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.94	$21.80	$23.97	$23.79	$23.42
Max Pain	$20.42	$20.00	$22.50	$22.50	$20.00
ATM IV	41.4%	25.9%	50.6%	25.9%	46.9%
Expected Move	12.3%	10.1%	14.5%	11.4%	13.5%
HV 20d	29.3%	26.2%	32.3%	32.0%	30.8%
HV 60d	39.7%	38.9%	40.5%	39.0%	39.5%
IV Rank	22.1%	4.5%	32.6%	4.5%	28.4%
IV Percentile	76.8%	5.6%	94.8%	5.6%	92.5%
Term Structure	-1.8%	-9.6%	47.5%	-6.6%	-7.8%
VWIV	43.6%	34.3%	51.1%	40.3%	45.1%
Skew 25d	4.8%	-6.7%	16.6%	8.6%	7.0%
Skew 10d	10.6%	-1.9%	23.8%	13.7%	14.7%
Call IV 25d	40.4%	33.8%	49.5%	35.2%	44.4%
Put IV 25d	45.2%	38.3%	53.8%	43.8%	51.5%
Bid-Ask Spread %	104.16	88.79	134.66	90.13	122.38
Gamma HHI	0.74	0.44	0.94	0.46	0.93
Net GEX	34.7K	-5.0K	86.6K	13.5K	86.6K
Net DEX	-587.4K	-1.5M	183.4K	-334.2K	-1.5M
Net VEX	-1.7K	-3.3K	-778	-1.2K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.14	1.13	0.55	0.62
Total Volume	157.474	66	311	136	97
Total OI	740.421	195	1,210	533	1,210

Daily Data (19 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
2016-01-04	$23.79	$0.00	25.9%	11.4%	32.0%	4.5%	0.0%	8.6%	-6.6%	13.5K	-334.2K	-1.2K	0.55	90.13	88	48	294	239
2016-01-05	$23.97	$0.00	31.5%	10.5%	30.8%	10.8%	0.0%	7.5%	-3.5%	10.9K	-350.4K	-1.2K	0.55	91.54	88	48	294	243
2016-01-06	$23.26	$0.00	42.9%	11.6%	31.4%	23.8%	0.0%	3.1%	-3.5%	13.0K	-244.7K	-1.2K	0.55	108.72	88	48	294	243
2016-01-07	$23.58	$0.00	37.3%	12.1%	30.9%	17.4%	0.0%	7.5%	-6.8%	24.0K	-342.7K	-974	0.55	88.79	88	48	294	229
2016-01-08	$23.23	$0.00	39.8%	12.6%	30.4%	20.3%	0.0%	5.7%	-8.2%	15.6K	-260.3K	-1.1K	0.55	98.27	88	48	294	229
2016-01-11	$23.25	$0.00	38.6%	12.6%	29.9%	18.9%	0.0%	3.7%	-6.3%	16.6K	-289.3K	-961	0.55	100.75	88	48	294	229
2016-01-12	$23.28	$0.00	46.0%	11.6%	29.9%	27.3%	40.3%	4.3%	-3.3%	16.1K	-292.2K	-931	0.53	95.31	90	48	294	229
2016-01-13	$22.39	$22.50	35.3%	10.1%	32.3%	15.2%	34.3%	-6.7%	5.5%	21.7K	-89.8K	-949	0.65	116.91	74	48	296	229
2016-01-14	$22.17	$22.50	44.0%	12.6%	32.3%	25.1%	44.6%	2.8%	-7.2%	25.4K	-55.3K	-909	0.69	92.37	74	51	292	229
2016-01-15	$22.11	$20.00	37.9%	10.9%	26.5%	18.1%	43.0%	2.2%	-2.2%	-5.0K	183.4K	-796	0.66	124.70	74	49	292	232
2016-01-19	$21.80	$20.00	39.4%	11.3%	26.2%	19.8%	39.0%	-1.1%	47.5%	-4.9K	69.8K	-778	1.13	114.87	31	35	53	142
2016-01-20	$22.08	$20.00	46.2%	13.2%	26.8%	27.5%	47.4%	1.5%	-6.7%	-4.8K	71.2K	-780	0.14	99.48	262	37	53	142
2016-01-21	$22.30	$20.00	42.4%	12.1%	27.1%	23.2%	42.3%	3.8%	-4.1%	68.1K	-1.0M	-3.3K	0.14	95.63	269	37	1,042	147
2016-01-22	$23.08	$20.00	40.8%	11.7%	27.6%	21.4%	40.4%	7.6%	-1.1%	74.7K	-1.3M	-3.2K	0.14	102.03	269	37	1,049	147
2016-01-25	$22.78	$20.00	45.5%	13.1%	26.5%	26.8%	45.5%	7.2%	-7.1%	68.4K	-1.3M	-3.0K	0.14	95.07	274	37	1,049	147
2016-01-26	$23.43	$20.00	46.3%	13.3%	28.5%	27.6%	45.5%	5.1%	-9.6%	83.5K	-1.4M	-2.9K	0.66	112.33	56	37	1,059	147
2016-01-27	$23.14	$20.00	50.6%	14.5%	28.5%	32.6%	48.9%	16.6%	1.9%	67.8K	-1.3M	-3.0K	0.66	134.66	56	37	1,059	147
2016-01-28	$22.71	$20.00	49.5%	14.2%	28.4%	31.4%	51.1%	4.3%	-6.1%	67.5K	-1.3M	-2.9K	0.62	95.11	60	37	1,059	147
2016-01-29	$23.42	$20.00	46.9%	13.5%	30.8%	28.4%	45.1%	7.0%	-7.8%	86.6K	-1.5M	-2.8K	0.62	122.38	60	37	1,063	147