FN Options History — April 2016

In April 2016, FN traded between $30.38 and $32.83. ATM implied volatility averaged 45.4%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 4.8% (HV 20d: 40.6%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-04-07: Highest Volume — 430 contracts
  • 2016-04-11: Largest IV spike — 42.7% change
  • 2016-04-26: Highest IV Rank — 43.2%
  • 2016-04-26: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.75$30.38$32.83$32.18$32.01
Max Pain$31.19$25.00$35.00$25.00$35.00
ATM IV45.4%28.5%60.0%28.5%57.6%
Expected Move13.7%8.2%17.2%8.2%16.5%
HV 20d40.6%30.4%48.9%46.2%30.9%
HV 60d44.2%36.1%45.5%44.9%36.1%
IV Rank26.7%7.4%43.2%7.4%40.5%
IV Percentile79.6%11.5%98.4%11.5%96.8%
Term Structure-7.0%-15.6%11.1%11.1%-9.8%
VWIV46.4%29.6%61.7%29.6%56.2%
Skew 25d3.2%-7.0%13.0%-1.8%-2.8%
Skew 10d11.1%-2.7%26.0%0.2%-1.6%
Call IV 25d44.0%29.4%57.9%29.4%57.9%
Put IV 25d47.2%27.6%55.0%27.6%55.0%
Bid-Ask Spread %99.3185.19123.07107.7099.42
Gamma HHI0.540.360.800.510.73
Net GEX13.0K2.2K29.1K21.8K8.4K
Net DEX-488.8K-883.3K-137.5K-883.3K-220.3K
Net VEX-1.5K-1.8K-1.2K-1.8K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.392.100.572.10
Total Volume286.19169430336211
Total OI596.714304843832420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$32.18$25.0028.5%8.2%46.2%7.4%29.6%-1.8%11.1%21.8K-883.3K-1.8K0.57107.70214122487345
2016-04-04$31.06$30.0035.1%12.9%48.6%15.0%44.6%3.3%-7.3%29.1K-744.3K-1.8K0.5794.74214122497345
2016-04-05$31.70$30.0038.5%13.3%48.9%18.8%42.1%9.5%-8.5%23.8K-805.8K-1.8K0.5685.19214120497345
2016-04-06$31.16$30.0038.2%13.6%44.1%18.5%42.7%6.5%-10.3%25.3K-752.8K-1.8K0.3998.47309120497346
2016-04-07$30.54$30.0033.6%12.7%44.3%13.2%42.7%5.5%-5.4%27.0K-537.2K-1.7K0.3992.46309121451346
2016-04-08$30.38$30.0035.0%12.7%43.5%14.8%44.3%4.3%-4.3%28.9K-496.9K-1.7K0.4092.41300121451348
2016-04-11$31.68$30.0049.9%14.3%42.2%31.8%45.9%12.7%-15.1%17.7K-688.6K-1.6K0.5795.72214121450348
2016-04-12$31.44$30.0044.4%12.5%42.2%25.5%42.4%5.5%-8.6%15.7K-719.2K-1.5K0.5796.77212121445348
2016-04-13$32.00$30.0049.0%14.0%41.0%30.7%47.9%3.7%-14.2%8.0K-754.8K-1.3K0.60106.91203121443348
2016-04-14$32.41$30.0046.3%13.3%41.0%27.7%44.9%9.3%-7.8%6.6K-804.9K-1.4K0.6390.57205129444348
2016-04-15$31.73$30.0043.7%12.5%42.2%24.8%44.3%-4.4%-6.9%5.9K-759.0K-1.4K0.6398.78205129447358
2016-04-18$31.52$30.0045.9%13.1%42.4%27.2%44.6%6.8%-2.0%5.3K-243.9K-1.4K1.0093.209999185119
2016-04-19$31.40$30.0041.3%11.8%41.7%21.9%41.3%3.6%-1.5%6.7K-246.6K-1.3K1.00104.909999197119
2016-04-20$31.75$30.0049.0%14.0%41.7%30.7%46.4%13.0%-3.9%5.9K-238.2K-1.3K1.52112.0867102197119
2016-04-21$31.33$30.0047.9%13.7%42.0%29.5%48.3%-2.0%-4.5%4.8K-186.2K-1.3K1.69106.6767113182132
2016-04-22$31.63$35.0047.5%13.6%38.7%29.0%38.2%1.1%-4.7%2.8K-137.5K-1.2K2.06104.4367138182143
2016-04-25$32.79$35.0054.9%15.8%40.4%37.5%56.4%-5.6%-15.6%2.2K-208.5K-1.4K1.0894.79128138182168
2016-04-26$32.82$35.0060.0%17.2%30.6%43.2%61.7%-7.0%-8.7%7.2K-293.7K-1.6K1.8494.4775138244168
2016-04-27$32.83$35.0056.9%16.3%30.4%39.8%58.1%4.2%-10.2%8.7K-254.7K-1.7K1.86123.0774138252168
2016-04-28$32.48$35.0051.0%14.6%30.6%33.0%51.2%1.4%-8.5%10.2K-287.5K-1.6K1.8692.8074138252168
2016-04-29$32.01$35.0057.6%16.5%30.9%40.5%56.2%-2.8%-9.8%8.4K-220.3K-1.5K2.1099.4268143252168