FN Options History — September 2016

In September 2016, FN traded between $39.05 and $44.92. ATM implied volatility averaged 34.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 1.9% (HV 20d: 35.9%). 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 21 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2016-09-29: Highest Volume — 1,179 contracts
  • 2016-09-29: Largest IV spike — 30.3% change
  • 2016-09-13: Highest IV Rank — 26.8%
  • 2016-09-21: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.60$39.05$44.92$39.05$44.83
Max Pain$30.48$30.00$35.00$35.00$30.00
ATM IV34.0%25.8%45.5%25.8%31.4%
Expected Move9.6%7.4%11.1%7.4%9.0%
HV 20d35.9%31.3%44.6%37.4%35.4%
HV 60d43.7%42.7%45.0%43.3%43.1%
IV Rank13.7%4.3%26.8%4.3%10.7%
IV Percentile35.6%2.4%77.8%2.4%21.4%
Term Structure8.8%2.0%22.5%6.3%15.5%
VWIV34.5%27.8%46.0%28.5%34.1%
Skew 25d4.8%-2.0%37.5%-2.0%13.5%
Skew 10d14.3%-1.7%65.5%-0.3%43.6%
Call IV 25d32.3%25.6%37.1%28.0%26.5%
Put IV 25d37.1%26.0%63.1%26.0%39.9%
Bid-Ask Spread %98.8386.67118.08118.08102.65
Gamma HHI0.600.440.880.550.80
Net GEX121.4K64.1K290.3K138.3K86.9K
Net DEX-4.2M-6.2M-2.9M-2.9M-4.0M
Net VEX-6.5K-10.3K-5.1K-7.3K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.160.810.250.80
Total Volume633.6193511,1795281,144
Total OI2,389.191,2723,3522,9592,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$39.05$35.0025.8%7.4%37.4%4.3%28.5%-2.0%6.3%138.3K-2.9M-7.3K0.25118.084211072,496463
2016-09-02$40.44$35.0027.7%7.9%38.6%6.5%27.8%37.5%5.5%173.3K-4.1M-7.1K0.20111.42468942,627457
2016-09-06$40.48$30.0034.4%10.4%38.5%14.2%36.2%-0.1%6.1%158.8K-4.3M-7.1K0.2286.674891072,612457
2016-09-07$42.24$30.0031.4%10.7%40.2%10.8%36.1%2.3%4.6%154.3K-5.6M-6.5K0.1688.827141112,660477
2016-09-08$42.01$30.0036.2%10.1%40.0%16.2%35.4%-0.4%5.0%198.6K-5.9M-6.8K0.2693.204221082,795473
2016-09-09$39.91$30.0041.8%10.8%44.6%22.5%40.5%-1.0%3.7%201.7K-4.1M-7.6K0.4089.724801942,786482
2016-09-12$40.87$30.0040.6%10.7%40.1%21.2%33.1%6.8%4.6%290.3K-4.9M-6.5K0.29100.935281512,766549
2016-09-13$40.72$30.0045.5%10.6%37.3%26.8%37.0%0.9%5.8%199.2K-4.8M-7.2K0.2596.225831472,778574
2016-09-14$41.40$30.0038.2%10.9%31.3%18.4%35.3%3.1%3.3%164.9K-5.3M-6.7K0.2292.985501222,767574
2016-09-15$42.65$30.0032.7%9.4%32.8%12.2%35.7%8.1%6.6%82.6K-6.2M-5.9K0.21100.215711222,746574
2016-09-16$43.13$30.0032.4%9.3%32.8%11.8%32.3%2.8%6.2%64.2K-6.2M-5.8K0.2696.204641222,714574
2016-09-19$43.55$30.0031.5%9.0%32.4%10.9%33.1%2.9%19.0%64.1K-3.1M-5.7K0.3394.303451131,007265
2016-09-20$43.27$30.0033.7%9.6%32.5%13.3%35.3%2.0%11.4%66.2K-3.0M-5.6K0.3394.233141031,020259
2016-09-21$44.92$30.0038.8%11.1%34.6%19.1%36.3%-0.8%2.0%65.7K-3.4M-5.5K0.3296.733111011,043251
2016-09-22$44.76$30.0034.2%9.8%33.6%13.9%34.0%2.9%11.2%70.8K-3.6M-5.1K0.40106.982501011,062251
2016-09-23$44.17$30.0031.6%9.1%34.2%11.0%30.8%0.3%14.0%68.6K-3.4M-5.2K0.4096.652541011,061251
2016-09-26$43.72$30.0033.9%9.7%34.5%13.6%33.0%4.8%9.5%70.2K-3.3M-5.1K0.4199.372621071,060251
2016-09-27$43.92$30.0033.1%9.5%34.5%12.6%33.5%7.0%10.0%74.6K-3.4M-5.1K0.44101.192601141,070266
2016-09-28$44.70$30.0026.1%7.5%34.6%4.7%30.6%2.9%22.5%77.1K-3.5M-5.2K0.81106.476485241,072266
2016-09-29$43.94$30.0034.0%9.8%35.1%13.7%46.0%7.5%12.4%79.0K-3.7M-10.3K0.80102.416555241,493666
2016-09-30$44.83$30.0031.4%9.0%35.4%10.7%34.1%13.5%15.5%86.9K-4.0M-9.5K0.80102.656345101,492666