FN Options History — August 2016

In August 2016, FN traded between $34.98 and $42.18. ATM implied volatility averaged 49.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 5.4% (HV 20d: 54.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.30.

Notable Days

  • 2016-08-15: Highest Volume — 4,290 contracts
  • 2016-08-16: Largest IV drop — 40.7% change
  • 2016-08-08: Highest IV Rank — 71.7%
  • 2016-08-03: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.76$34.98$42.18$38.01$38.83
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV49.5%25.9%85.0%59.1%25.9%
Expected Move12.9%7.4%20.5%16.9%7.4%
HV 20d54.9%37.5%64.4%44.5%37.5%
HV 60d43.0%37.3%45.1%37.3%43.6%
IV Rank31.4%4.5%71.7%42.3%4.5%
IV Percentile63.6%2.8%99.2%96.8%2.8%
Term Structure-2.6%-24.0%7.5%-11.4%5.7%
VWIV44.9%28.1%71.2%61.7%28.1%
Skew 25d5.1%-3.6%45.6%5.9%3.2%
Skew 10d14.1%-38.0%88.5%12.2%6.1%
Call IV 25d44.5%24.5%66.9%60.5%24.5%
Put IV 25d49.6%26.9%112.6%66.5%27.7%
Bid-Ask Spread %89.0654.44117.3394.35117.33
Gamma HHI0.520.380.840.840.61
Net GEX138.0K37.2K432.4K54.8K138.9K
Net DEX-2.9M-6.1M-593.0K-1.1M-3.0M
Net VEX-7.6K-11.7K-4.0K-4.7K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.010.670.450.32
Total Volume8381394,290224555
Total OI2,710.7831,0895,3611,0892,940

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$38.01$35.0059.1%16.9%44.5%42.3%61.7%5.9%-11.4%54.8K-1.1M-4.7K0.4594.3515470843246
2016-08-02$34.98$35.0068.8%19.7%53.7%53.3%66.5%4.7%-9.9%37.9K-593.0K-4.0K0.48101.57349166848247
2016-08-03$36.22$35.0071.6%20.5%55.2%56.4%71.2%45.6%-24.0%37.2K-641.2K-4.8K0.40103.38397158893349
2016-08-04$36.18$35.0073.8%14.6%55.2%59.0%49.6%4.8%-3.3%41.5K-779.2K-4.9K0.1792.9236961928351
2016-08-05$36.92$35.0071.6%13.8%54.9%56.4%48.4%4.4%-4.2%47.2K-750.5K-4.7K0.0782.7286661932353
2016-08-08$36.77$35.0085.0%15.2%54.3%71.7%50.8%5.4%-5.5%83.2K-2.1M-6.8K0.1780.87368611,432355
2016-08-09$37.73$35.0078.9%14.6%55.0%64.8%54.4%7.0%-6.9%91.3K-2.5M-6.8K0.1481.56471651,442355
2016-08-10$38.43$35.0050.8%14.6%55.4%32.8%49.6%7.5%-7.3%123.9K-3.6M-7.9K0.6792.0883561,764356
2016-08-11$38.21$35.0051.7%14.8%55.3%33.8%51.9%3.0%-6.2%121.3K-3.7M-7.7K0.6587.8195621,776357
2016-08-12$40.55$35.0053.8%15.4%59.2%36.2%51.0%-3.6%-5.1%113.4K-4.7M-7.1K0.1586.191,0811581,771358
2016-08-15$42.18$35.0066.7%19.1%60.3%50.8%62.5%0.4%-18.0%131.6K-6.1M-8.8K0.3658.123,1601,1302,157460
2016-08-16$39.79$35.0039.5%11.3%64.4%20.0%40.1%0.3%-0.5%217.8K-3.5M-9.0K0.5771.892,3611,3523,1201,460
2016-08-17$40.06$35.0037.5%10.8%64.4%17.7%38.0%1.7%3.5%334.9K-4.5M-11.7K0.0894.84444343,9651,392
2016-08-18$40.48$35.0040.6%11.6%64.2%21.2%39.7%6.9%-2.3%432.4K-5.5M-11.6K0.3499.655421823,9591,402
2016-08-19$40.01$35.0034.6%9.9%64.3%14.4%31.1%-2.6%4.5%187.6K-3.8M-10.4K0.4159.104081684,0451,304
2016-08-22$39.91$35.0034.4%9.9%59.2%14.2%34.5%0.5%5.8%178.2K-3.2M-9.4K0.3081.374281272,480417
2016-08-23$40.03$35.0030.6%8.8%58.9%9.8%32.5%-0.6%7.5%155.7K-3.0M-8.2K0.3291.093551152,322438
2016-08-24$39.28$35.0033.5%9.6%59.2%13.1%32.5%-2.9%2.3%125.0K-2.3M-8.1K0.01104.8630132,361449
2016-08-25$39.32$35.0033.0%9.5%50.2%12.5%37.8%-0.7%4.4%141.3K-3.2M-8.2K0.15107.636661022,581455
2016-08-26$39.09$35.0033.0%9.5%49.9%12.5%33.4%7.3%3.1%116.2K-2.8M-8.1K0.22102.864811052,397462
2016-08-29$39.34$35.0033.8%9.7%49.9%13.4%34.0%8.0%5.1%121.0K-2.9M-8.0K0.2054.445031032,414462
2016-08-30$39.26$35.0031.2%9.0%38.6%10.5%34.2%10.7%3.3%141.4K-3.3M-7.7K0.23101.69405932,493457
2016-08-31$38.83$35.0025.9%7.4%37.5%4.5%28.1%3.2%5.7%138.9K-3.0M-7.0K0.32117.334221332,493447