FN Options History — July 2016

In July 2016, FN traded between $35.67 and $40.58. ATM implied volatility averaged 49.9%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 14.3% (HV 20d: 35.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.08.

Notable Days

2016-07-28: Highest Volume — 626 contracts
2016-07-08: Largest IV spike — 187.1% change
2016-07-12: Highest IV Rank — 73.3%
2016-07-28: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.70	$35.67	$40.58	$36.27	$37.72
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	49.9%	26.5%	86.4%	35.1%	53.3%
Expected Move	13.3%	10.1%	16.8%	10.1%	15.3%
HV 20d	35.6%	31.2%	45.3%	38.1%	45.2%
HV 60d	38.5%	37.5%	40.2%	39.0%	37.5%
IV Rank	31.7%	5.2%	73.3%	14.9%	35.6%
IV Percentile	79.5%	4.8%	99.6%	44.0%	93.7%
Term Structure	-4.3%	-13.5%	16.1%	8.9%	0.6%
VWIV	47.3%	37.3%	59.2%	38.8%	59.2%
Skew 25d	2.7%	-18.4%	16.7%	-3.5%	6.9%
Skew 10d	9.7%	-25.2%	56.4%	1.7%	18.7%
Call IV 25d	47.7%	39.1%	61.9%	39.1%	59.5%
Put IV 25d	50.4%	35.7%	66.4%	35.7%	66.4%
Bid-Ask Spread %	97.09	82.84	116.87	116.87	106.30
Gamma HHI	0.59	0.46	0.69	0.49	0.67
Net GEX	13.5K	-2.0K	43.0K	4.0K	43.0K
Net DEX	-604.8K	-1.1M	-332.7K	-507.3K	-879.3K
Net VEX	-2.9K	-4.6K	-2.5K	-2.5K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.13	1.65	1.44	0.32
Total Volume	190.95	75	626	198	294
Total OI	644.2	441	1,023	621	1,023

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
2016-07-01	$36.27	$35.00	35.1%	10.1%	38.1%	14.9%	38.8%	-3.5%	8.9%	4.0K	-507.3K	-2.5K	1.44	116.87	81	117	313	308
2016-07-05	$35.80	$35.00	33.4%	12.9%	38.3%	13.0%	45.2%	1.7%	-3.8%	-31	-402.1K	-2.6K	1.52	100.50	77	117	319	328
2016-07-06	$35.71	$35.00	44.4%	14.6%	37.3%	25.5%	50.8%	-18.4%	-10.3%	-1.7K	-332.7K	-2.5K	1.63	113.04	72	117	320	328
2016-07-07	$35.67	$35.00	26.5%	13.3%	35.9%	5.2%	46.0%	1.4%	-3.4%	-2.0K	-369.3K	-2.5K	1.39	102.08	72	100	319	328
2016-07-08	$36.64	$35.00	76.1%	12.2%	36.8%	61.6%	43.0%	3.2%	0.4%	1.8K	-448.8K	-2.5K	1.18	89.22	85	100	319	331
2016-07-11	$37.43	$35.00	75.7%	13.4%	35.5%	61.1%	46.2%	1.2%	-4.5%	5.6K	-577.0K	-2.5K	1.15	102.24	87	100	338	331
2016-07-12	$37.85	$35.00	86.4%	12.6%	34.2%	73.3%	45.0%	5.4%	-7.0%	7.9K	-629.4K	-2.6K	0.93	96.13	107	100	345	331
2016-07-13	$37.86	$35.00	42.2%	12.1%	33.9%	23.0%	45.1%	3.3%	-4.2%	11.9K	-726.1K	-2.7K	1.26	92.05	76	96	390	331
2016-07-14	$38.26	$35.00	43.1%	12.4%	34.0%	24.0%	44.5%	-0.0%	-6.4%	13.1K	-753.4K	-2.8K	1.41	97.53	68	96	397	337
2016-07-15	$38.23	$35.00	43.3%	12.4%	34.0%	24.3%	42.8%	-1.9%	-13.5%	12.0K	-849.9K	-2.6K	1.45	97.48	66	96	401	337
2016-07-18	$37.78	$35.00	41.3%	11.8%	34.3%	22.0%	42.8%	2.3%	16.1%	12.8K	-446.4K	-2.6K	0.78	95.73	45	35	289	152
2016-07-19	$37.93	$35.00	46.0%	13.2%	32.6%	27.4%	50.0%	3.0%	-8.2%	12.6K	-441.7K	-2.7K	0.88	92.03	40	35	296	153
2016-07-20	$37.81	$35.00	45.8%	13.1%	31.9%	27.0%	46.5%	0.1%	-5.2%	13.3K	-470.8K	-2.7K	1.32	88.05	37	49	302	154
2016-07-21	$37.32	$35.00	49.8%	14.3%	31.2%	31.6%	37.3%	16.7%	-12.5%	11.0K	-397.1K	-2.7K	1.65	103.72	34	56	303	169
2016-07-22	$37.83	$35.00	38.9%	11.1%	31.4%	19.2%	45.6%	7.7%	-2.2%	11.3K	-410.8K	-2.7K	1.60	99.89	35	56	313	181
2016-07-25	$40.58	$35.00	52.9%	15.2%	35.0%	35.2%	54.2%	13.5%	-9.4%	13.3K	-700.1K	-2.7K	0.17	82.84	284	48	313	181
2016-07-26	$39.96	$35.00	53.7%	15.4%	34.2%	36.1%	58.0%	2.5%	-6.1%	34.6K	-1.1M	-3.5K	0.54	87.10	105	57	527	185
2016-07-27	$40.30	$35.00	51.1%	14.7%	32.1%	33.1%	52.0%	4.6%	-5.7%	38.4K	-1.1M	-3.7K	0.87	86.94	82	71	556	211
2016-07-28	$37.00	$35.00	58.6%	16.8%	45.3%	41.6%	53.2%	4.6%	-9.6%	26.4K	-540.9K	-3.8K	0.13	92.07	553	73	582	243
2016-07-29	$37.72	$35.00	53.3%	15.3%	45.2%	35.6%	59.2%	6.9%	0.6%	43.0K	-879.3K	-4.6K	0.32	106.30	223	71	777	246