FN Options History — May 2016

In May 2016, FN traded between $32.14 and $36.10. ATM implied volatility averaged 35.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 11.4% (HV 20d: 46.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2016-05-03: Highest Volume — 396 contracts
  • 2016-05-11: Largest IV spike — 41.4% change
  • 2016-05-02: Highest IV Rank — 41.8%
  • 2016-05-02: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.05$32.14$36.10$32.24$35.52
Max Pain$34.52$30.00$35.00$35.00$35.00
ATM IV35.3%22.6%58.7%58.7%29.5%
Expected Move10.1%6.5%16.8%16.8%8.5%
HV 20d46.7%28.1%49.9%28.1%49.9%
HV 60d42.0%36.0%43.4%36.0%42.7%
IV Rank15.2%0.7%41.8%41.8%8.6%
IV Percentile43.3%0.8%97.2%97.2%13.9%
Term Structure0.7%-30.1%19.8%-3.7%1.1%
VWIV36.1%22.6%59.6%59.6%29.4%
Skew 25d1.6%-37.0%31.7%-5.2%31.7%
Skew 10d5.2%-62.9%57.2%-1.5%57.2%
Call IV 25d39.0%30.0%79.0%63.5%30.1%
Put IV 25d40.6%22.6%61.7%58.3%61.7%
Bid-Ask Spread %109.8495.34120.5699.43115.96
Gamma HHI0.650.360.820.650.72
Net GEX27.0K7.9K45.4K7.9K40.7K
Net DEX-585.6K-855.1K-203.9K-203.9K-710.7K
Net VEX-1.9K-2.3K-1.3K-1.3K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.602.041.512.04
Total Volume261.571184396238222
Total OI574.048410665410576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$32.24$35.0058.7%16.8%28.1%41.8%59.6%-5.2%-3.7%7.9K-203.9K-1.3K1.5199.4395143242168
2016-05-03$36.10$30.0038.2%11.0%48.2%18.5%38.6%26.8%10.4%17.5K-698.5K-1.3K0.6096.72248148284169
2016-05-04$35.36$30.0036.3%10.4%48.5%16.3%43.3%7.1%0.1%30.2K-855.1K-2.0K0.74111.38214158390162
2016-05-05$34.64$35.0039.6%13.8%48.5%20.0%35.8%-30.7%19.8%26.5K-757.5K-2.3K0.71115.23209148390172
2016-05-06$34.46$35.0035.1%9.5%48.5%15.0%33.4%-0.0%-0.5%31.6K-697.9K-2.1K0.89102.96170152392212
2016-05-09$34.12$35.0030.8%9.1%46.9%10.1%32.6%0.2%3.2%34.1K-710.6K-2.0K0.8295.34171140402217
2016-05-10$34.14$35.0030.4%6.5%46.7%9.6%24.2%-1.2%5.1%45.4K-762.4K-1.9K0.82118.09171140405216
2016-05-11$34.32$35.0042.9%12.3%46.5%23.8%40.7%-2.8%-6.2%35.1K-673.3K-2.0K1.11114.42126140405216
2016-05-12$34.14$35.0030.9%8.9%46.4%10.2%32.1%2.5%2.3%39.0K-693.6K-2.0K1.1599.58126145417216
2016-05-13$33.87$35.0032.7%9.4%45.8%12.2%36.6%5.9%-0.6%31.9K-649.9K-2.1K1.75115.1383145417223
2016-05-16$34.05$35.0036.1%10.4%45.6%16.1%39.1%8.6%-2.8%36.5K-673.6K-2.1K1.75110.6783145439223
2016-05-17$33.84$35.0029.6%8.5%45.7%8.7%35.6%8.8%-0.3%42.1K-670.0K-2.0K1.75111.7883145439223
2016-05-18$33.65$35.0036.8%10.5%45.7%16.8%40.6%9.1%-1.3%36.3K-618.7K-1.9K1.75111.4483145439223
2016-05-19$32.14$35.0036.8%10.5%48.6%16.8%38.6%4.2%-4.9%10.4K-423.2K-1.9K1.75112.8883145440223
2016-05-20$32.42$35.0047.1%13.5%48.6%28.6%38.3%-1.1%-30.1%7.9K-328.4K-1.8K1.49115.9997145442223
2016-05-23$32.59$35.0034.8%10.0%46.9%14.6%31.9%-4.7%-1.2%9.6K-269.4K-1.8K2.0297.8165131280193
2016-05-24$33.42$35.0033.4%9.6%47.7%13.0%37.5%6.9%1.3%14.7K-347.9K-1.6K2.02118.3465131276193
2016-05-25$33.94$35.0030.3%8.7%48.0%9.5%39.9%-0.1%0.2%16.3K-402.5K-1.6K1.83110.5765119276193
2016-05-26$35.30$35.0028.7%8.2%49.6%7.6%28.7%5.1%4.2%20.7K-520.5K-1.6K0.88112.27147130276193
2016-05-27$34.80$35.0022.6%6.5%49.6%0.7%22.6%-37.0%18.4%33.0K-630.7K-2.3K1.63120.5673119357213
2016-05-31$35.52$35.0029.5%8.5%49.9%8.6%29.4%31.7%1.1%40.7K-710.7K-1.9K2.04115.9673149363213