FN Options History — February 2016

In February 2016, FN traded between $25.15 and $29.73. ATM implied volatility averaged 38.7%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 14.7% (HV 20d: 53.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.21.

Notable Days

2016-02-01: Highest Volume — 487 contracts
2016-02-16: Largest IV spike — 28.7% change
2016-02-02: Highest IV Rank — 43.1%
2016-02-02: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.57	$25.15	$29.73	$25.15	$28.61
Max Pain	$22.38	$20.00	$22.50	$20.00	$22.50
ATM IV	38.7%	30.4%	59.9%	57.7%	34.5%
Expected Move	11.0%	8.7%	17.2%	16.5%	9.9%
HV 20d	53.4%	39.9%	55.8%	39.9%	52.5%
HV 60d	39.1%	32.8%	40.2%	32.8%	39.9%
IV Rank	19.0%	9.5%	43.1%	40.7%	14.2%
IV Percentile	63.6%	23.0%	98.4%	98.0%	47.6%
Term Structure	-2.6%	-14.0%	8.7%	-14.0%	-4.4%
VWIV	42.8%	34.7%	86.0%	66.1%	42.3%
Skew 25d	9.8%	-5.9%	38.3%	22.6%	-5.9%
Skew 10d	14.9%	-0.4%	46.2%	35.5%	1.9%
Call IV 25d	37.2%	29.7%	49.8%	46.1%	39.1%
Put IV 25d	47.0%	33.2%	88.1%	68.7%	33.2%
Bid-Ask Spread %	101.37	90.13	116.71	92.76	115.44
Gamma HHI	0.69	0.44	0.88	0.86	0.74
Net GEX	31.8K	18.7K	52.3K	47.8K	25.4K
Net DEX	-2.5M	-3.9M	-423.7K	-2.0M	-423.7K
Net VEX	-2.5K	-3.4K	-1.7K	-2.3K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.39	1.90	0.39	1.77
Total Volume	336.1	208	487	487	208
Total OI	1,517.5	749	2,008	1,218	783

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
2016-02-01	$25.15	$20.00	57.7%	16.5%	39.9%	40.7%	66.1%	22.6%	-14.0%	47.8K	-2.0M	-2.3K	0.39	92.76	350	137	1,071	147
2016-02-02	$28.08	$22.50	59.9%	17.2%	55.1%	43.1%	86.0%	38.3%	-11.3%	52.3K	-2.9M	-2.8K	0.57	100.72	274	157	1,370	247
2016-02-03	$29.00	$22.50	45.8%	13.1%	55.8%	27.1%	44.9%	32.1%	8.7%	24.1K	-3.5M	-1.7K	0.64	114.91	230	148	1,397	267
2016-02-04	$29.34	$22.50	34.7%	9.3%	53.8%	14.5%	35.0%	6.0%	-0.4%	44.5K	-3.8M	-2.0K	1.43	94.76	182	260	1,496	282
2016-02-05	$28.78	$22.50	33.3%	9.1%	54.9%	12.9%	40.7%	8.2%	2.1%	30.0K	-3.6M	-2.7K	1.27	99.79	173	220	1,497	399
2016-02-08	$29.01	$22.50	36.1%	10.6%	54.1%	16.0%	37.0%	3.7%	-2.5%	26.3K	-3.6M	-2.3K	1.27	90.13	173	220	1,498	419
2016-02-09	$28.42	$22.50	38.0%	9.6%	55.1%	18.2%	38.5%	6.2%	1.3%	32.1K	-3.5M	-2.8K	1.10	94.60	200	220	1,501	419
2016-02-10	$28.22	$22.50	36.6%	10.5%	55.4%	16.7%	40.9%	10.7%	0.4%	29.7K	-3.5M	-2.6K	1.10	100.29	209	229	1,518	419
2016-02-11	$27.65	$22.50	39.1%	11.2%	53.6%	19.5%	39.0%	5.9%	-2.1%	43.8K	-3.0M	-3.4K	1.29	90.66	208	269	1,528	419
2016-02-12	$27.99	$22.50	30.6%	8.8%	53.1%	9.8%	36.8%	6.7%	2.5%	45.0K	-3.1M	-3.2K	1.51	92.98	146	220	1,543	419
2016-02-16	$29.15	$22.50	39.4%	11.3%	53.7%	19.8%	41.1%	11.0%	-0.7%	23.1K	-3.7M	-2.3K	0.67	102.36	180	121	1,541	404
2016-02-17	$29.73	$22.50	36.7%	10.5%	52.7%	16.7%	36.7%	0.7%	-2.4%	38.1K	-3.9M	-2.3K	0.94	105.67	140	132	1,575	405
2016-02-18	$29.06	$22.50	35.1%	10.1%	54.4%	14.9%	38.9%	9.0%	1.3%	32.4K	-3.8M	-2.4K	0.92	99.79	146	134	1,566	416
2016-02-19	$28.89	$22.50	41.8%	12.0%	54.9%	22.6%	42.9%	5.6%	-8.4%	18.7K	-3.6M	-2.6K	0.92	101.38	146	134	1,570	438
2016-02-22	$28.93	$22.50	31.0%	8.9%	54.4%	10.3%	35.1%	10.1%	-4.4%	26.0K	-473.0K	-2.5K	1.59	116.71	92	146	439	329
2016-02-23	$28.79	$22.50	38.3%	11.0%	54.0%	18.6%	42.9%	7.5%	-8.8%	24.2K	-455.0K	-2.3K	1.59	109.21	92	146	439	310
2016-02-24	$28.98	$22.50	37.9%	10.9%	53.7%	18.1%	38.7%	5.9%	-5.4%	20.4K	-424.3K	-2.3K	1.90	105.08	77	146	439	310
2016-02-25	$28.99	$22.50	36.9%	10.6%	53.1%	16.9%	38.0%	11.4%	-2.3%	24.7K	-484.0K	-2.3K	1.52	94.97	96	146	445	310
2016-02-26	$28.57	$22.50	30.4%	8.7%	52.8%	9.5%	34.7%	0.2%	-0.9%	28.3K	-502.0K	-2.3K	1.72	105.14	79	136	465	310
2016-02-29	$28.61	$22.50	34.5%	9.9%	52.5%	14.2%	42.3%	-5.9%	-4.4%	25.4K	-423.7K	-2.2K	1.77	115.44	75	133	463	320