FN Options History — June 2016

In June 2016, FN traded between $34.23 and $38.71. ATM implied volatility averaged 31.3%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 2.1% (HV 20d: 33.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2016-06-08: Highest Volume — 259 contracts
  • 2016-06-16: Largest IV drop — 32.1% change
  • 2016-06-15: Highest IV Rank — 20.5%
  • 2016-06-15: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.59$34.23$38.71$36.46$37.03
Max Pain$32.95$30.00$35.00$35.00$35.00
ATM IV31.3%25.7%40.0%26.5%29.2%
Expected Move8.8%7.1%11.5%7.6%8.4%
HV 20d33.4%29.1%37.9%30.7%37.9%
HV 60d39.9%37.5%42.9%42.9%39.0%
IV Rank10.7%4.3%20.5%5.1%8.2%
IV Percentile26.0%4.8%74.6%6.7%11.1%
Term Structure9.3%-15.6%28.2%5.2%21.4%
VWIV32.8%25.0%42.2%25.1%29.2%
Skew 25d1.0%-15.5%15.6%-7.1%9.5%
Skew 10d3.7%-11.2%41.3%41.3%5.8%
Call IV 25d32.0%21.6%43.8%36.9%27.1%
Put IV 25d33.0%28.3%39.0%29.8%36.6%
Bid-Ask Spread %109.69101.34120.13112.88116.38
Gamma HHI0.510.390.650.630.47
Net GEX15.7K57236.6K26.1K2.3K
Net DEX-723.9K-1.2M-214.2K-842.4K-496.8K
Net VEX-2.3K-2.6K-1.9K-2.0K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.891.122.572.101.26
Total Volume227.636183259220183
Total OI634.364536720607613

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$36.46$35.0026.5%7.6%30.7%5.1%25.1%-7.1%5.2%26.1K-842.4K-2.0K2.10112.8871149364243
2016-06-02$36.15$30.0029.4%7.6%29.9%8.5%29.7%2.1%14.1%26.7K-869.1K-2.1K2.41111.2964154375243
2016-06-03$36.79$30.0031.2%7.1%29.3%10.5%28.1%1.6%14.8%24.1K-896.4K-1.9K2.48107.8362154379248
2016-06-06$36.96$30.0033.6%10.6%29.1%13.2%36.3%2.5%-4.7%29.0K-931.2K-2.0K2.48103.0862154389248
2016-06-07$37.77$30.0037.0%8.0%29.4%17.0%31.2%1.9%5.3%21.5K-1.1M-1.9K2.57106.6560154398258
2016-06-08$38.71$30.0029.6%8.5%30.1%8.7%31.8%15.6%5.9%19.1K-1.2M-1.9K1.47103.89105154399258
2016-06-09$37.87$30.0025.7%7.4%31.7%4.3%30.9%2.1%4.0%23.8K-1.1M-2.3K1.52104.24101154433258
2016-06-10$36.58$30.0028.7%8.2%34.6%7.6%34.5%1.8%16.0%28.7K-926.3K-2.3K1.57110.7598154428258
2016-06-13$35.64$30.0031.6%9.1%35.9%11.0%32.5%-5.4%7.7%30.7K-755.9K-2.2K1.73108.3089154417258
2016-06-14$36.17$30.0036.9%10.6%36.2%17.0%37.4%0.1%0.5%36.6K-899.0K-2.1K1.95103.7379154417258
2016-06-15$36.36$35.0040.0%11.5%36.0%20.5%41.2%-7.3%-3.6%28.4K-826.5K-2.4K2.04118.9782167410310
2016-06-16$36.51$35.0027.2%7.8%35.9%5.9%31.1%1.8%14.8%14.4K-906.8K-2.2K2.04105.6582167410310
2016-06-17$36.80$35.0027.5%7.9%30.6%6.3%31.0%1.9%13.3%3.9K-950.6K-2.1K2.04106.7682167410310
2016-06-20$37.91$35.0030.7%8.8%31.7%9.9%33.9%0.9%28.2%6.6K-567.6K-2.2K2.30109.9970161272264
2016-06-21$37.21$35.0031.9%9.1%33.0%11.3%37.9%3.4%22.3%6.0K-538.3K-2.4K2.21114.6073161282284
2016-06-22$36.38$35.0035.6%10.2%33.8%15.5%37.5%-0.9%-15.6%6.7K-458.2K-2.4K2.27118.7571161286284
2016-06-23$36.66$35.0029.3%8.4%33.6%8.3%33.9%5.8%19.3%3.5K-422.0K-2.5K1.88103.9084158284294
2016-06-24$35.02$35.0034.4%9.9%35.2%14.1%28.9%-15.5%0.0%3.5K-341.7K-2.6K1.88120.1384158297298
2016-06-27$34.23$35.0035.4%10.2%35.8%15.3%42.2%-0.9%7.5%1.6K-214.2K-2.5K1.26111.5282103297298
2016-06-28$35.61$35.0031.3%9.0%37.9%10.7%33.2%3.5%9.9%572-332.2K-2.5K1.12112.6191102298303
2016-06-29$36.27$35.0026.9%7.7%37.3%5.6%25.0%5.2%19.4%1.2K-418.2K-2.5K1.12101.3491102305308
2016-06-30$37.03$35.0029.2%8.4%37.9%8.2%29.2%9.5%21.4%2.3K-496.8K-2.4K1.26116.3881102305308