FN Options History — March 2016

In March 2016, FN traded between $26.31 and $32.89. ATM implied volatility averaged 36.7%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.0% (HV 20d: 37.8%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2016-03-30: Highest Volume — 343 contracts
  • 2016-03-24: Largest IV spike — 45.4% change
  • 2016-03-29: Highest IV Rank — 35.2%
  • 2016-03-08: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.78$26.31$32.89$28.79$32.44
Max Pain$25.00$22.50$30.00$22.50$25.00
ATM IV36.7%25.1%52.9%33.6%25.1%
Expected Move10.9%7.2%22.2%9.6%7.2%
HV 20d37.8%27.1%48.9%47.2%48.9%
HV 60d41.9%39.7%44.9%39.7%44.8%
IV Rank16.8%3.6%35.2%13.2%3.6%
IV Percentile55.4%3.6%96.0%43.7%3.6%
Term Structure2.4%-25.5%23.8%0.8%19.2%
VWIV38.6%30.8%65.0%35.3%36.2%
Skew 25d3.0%-10.7%10.6%3.1%-9.5%
Skew 10d5.1%-13.2%19.0%5.0%8.8%
Call IV 25d37.7%30.0%53.6%34.9%36.4%
Put IV 25d40.7%26.9%52.2%38.0%26.9%
Bid-Ask Spread %107.0496.55122.42112.8799.00
Gamma HHI0.600.360.750.680.41
Net GEX15.6K77231.2K25.6K22.6K
Net DEX-308.1K-847.8K-21.1K-352.3K-847.8K
Net VEX-1.8K-2.3K-1.3K-2.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.571.821.820.57
Total Volume226.091175343206336
Total OI759.5630834783832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$28.79$22.5033.6%9.6%47.2%13.2%35.3%3.1%0.8%25.6K-352.3K-2.3K1.82112.8773133463320
2016-03-02$28.69$22.5028.8%8.3%27.1%7.8%32.0%8.9%3.3%31.2K-368.9K-2.3K1.41111.3294133462320
2016-03-03$27.57$25.0036.1%9.2%28.2%16.1%34.2%6.1%8.5%22.9K-263.7K-2.2K1.46107.9091133465320
2016-03-04$27.65$25.0036.8%10.8%27.8%16.9%37.5%1.9%-0.3%19.2K-211.2K-2.1K1.6496.5583136445320
2016-03-07$27.82$25.0043.6%10.3%27.3%24.6%35.4%5.0%1.6%19.2K-232.1K-2.2K1.30103.5093121466323
2016-03-08$26.31$30.0038.1%22.2%33.0%18.4%65.0%-1.4%-25.5%772-21.1K-2.0K1.26120.1993117472323
2016-03-09$27.15$25.0041.8%12.0%34.9%22.6%39.4%5.4%-4.4%6.2K-72.4K-1.7K1.30100.6988114477330
2016-03-10$26.62$25.0035.6%10.2%35.4%15.5%36.5%3.9%13.0%4.1K-99.7K-1.7K1.28100.4988113482330
2016-03-11$28.05$25.0031.9%9.1%39.8%11.3%33.1%8.0%3.3%23.7K-258.8K-1.7K1.2297.7793113482329
2016-03-14$27.87$25.0032.4%9.3%39.6%11.8%36.0%5.3%-1.9%15.9K-172.3K-1.8K1.09101.54104113476329
2016-03-15$27.25$25.0038.8%11.1%37.2%19.1%36.7%6.2%6.8%7.6K-133.6K-1.7K1.09105.75104113497329
2016-03-16$27.35$25.0048.0%13.8%36.4%29.7%46.5%4.5%-15.4%8.2K-106.5K-1.7K1.02122.42111113497329
2016-03-17$27.80$25.0031.7%9.1%36.3%11.0%33.8%2.0%1.9%6.5K-123.9K-1.5K1.02108.01111113505329
2016-03-18$28.14$25.0033.9%9.7%36.7%13.6%37.6%0.6%1.2%8.1K-168.5K-1.5K1.15110.1398113505329
2016-03-21$28.94$25.0030.5%8.7%38.1%9.7%36.0%6.1%23.8%16.1K-213.8K-1.6K1.65109.4666109305325
2016-03-22$28.86$25.0032.6%9.3%38.1%12.1%36.1%10.6%7.8%13.5K-226.9K-1.5K1.65107.4366109305325
2016-03-23$29.22$25.0031.3%9.0%38.3%10.6%30.8%2.3%11.3%18.9K-288.0K-1.3K1.65117.4266109305325
2016-03-24$30.67$25.0045.6%13.1%41.9%26.8%46.6%-5.4%-7.0%15.6K-495.6K-1.4K0.76107.82143109306325
2016-03-28$30.53$25.0041.2%11.8%41.5%21.9%41.5%6.1%1.9%18.5K-533.9K-1.5K0.76107.71144109335325
2016-03-29$32.89$25.0052.9%15.2%48.6%35.2%45.8%-10.7%-1.7%14.4K-764.2K-1.3K0.71103.41154109348325
2016-03-30$32.62$25.0037.8%10.8%48.9%18.0%37.0%6.3%3.7%25.2K-823.0K-1.5K0.60103.50214129444325
2016-03-31$32.44$25.0025.1%7.2%48.9%3.6%36.2%-9.5%19.2%22.6K-847.8K-2.2K0.5799.00214122487345