FN Options History — October 2016

In October 2016, FN traded between $37.85 and $46.06. ATM implied volatility averaged 46.4%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 9.1% (HV 20d: 37.3%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-10-25: Highest Volume — 914 contracts
  • 2016-10-12: Largest IV spike — 44.6% change
  • 2016-10-31: Highest IV Rank — 41.9%
  • 2016-10-31: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.74$37.85$46.06$44.54$37.96
Max Pain$41.67$30.00$45.00$30.00$45.00
ATM IV46.4%31.6%58.8%32.8%58.8%
Expected Move14.1%9.4%16.9%9.4%16.9%
HV 20d37.3%24.1%49.6%34.1%49.6%
HV 60d43.1%36.6%46.8%42.8%41.7%
IV Rank27.8%10.9%41.9%12.3%41.9%
IV Percentile71.6%23.0%94.0%29.4%94.0%
Term Structure-6.8%-15.1%10.7%10.7%-11.2%
VWIV50.0%31.3%63.2%31.3%63.2%
Skew 25d6.9%-2.1%21.8%20.3%3.7%
Skew 10d13.8%-24.6%57.3%27.1%10.2%
Call IV 25d46.7%27.4%59.1%27.4%59.1%
Put IV 25d53.6%44.9%66.6%47.8%62.8%
Bid-Ask Spread %88.7678.28116.97116.9788.68
Gamma HHI0.580.390.890.890.44
Net GEX55.5K-14.0K106.8K106.8K-14.0K
Net DEX-2.6M-4.9M1.8M-4.2M1.8M
Net VEX-9.3K-12.5K-7.9K-9.0K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.142.951.900.40
Total Volume461.857225914778370
Total OI2,405.7141,8602,8132,1622,800

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$44.54$30.0032.8%9.4%34.1%12.3%31.3%20.3%10.7%106.8K-4.2M-9.0K1.90116.972685101,496666
2016-10-04$45.10$30.0036.0%10.3%34.2%16.0%45.4%20.3%9.9%94.4K-4.2M-9.8K0.6294.123522181,526666
2016-10-05$45.65$30.0035.4%10.2%31.4%15.3%37.3%8.3%6.7%86.5K-4.8M-9.4K0.78111.962852211,565752
2016-10-06$46.06$45.0032.1%13.8%31.2%11.6%48.2%2.3%-8.7%96.3K-4.9M-9.2K0.5781.892591481,600757
2016-10-07$45.22$45.0034.4%14.0%25.0%14.1%49.6%4.7%-7.9%91.7K-4.7M-9.4K0.6378.682661671,607757
2016-10-10$45.56$45.0031.6%14.0%24.1%10.9%51.6%5.0%-10.2%99.5K-4.7M-9.6K0.7678.282581971,618780
2016-10-11$41.82$45.0037.6%14.6%40.3%17.8%45.0%8.6%-4.4%75.2K-2.6M-9.7K0.3880.312781061,623811
2016-10-12$42.15$45.0054.4%15.6%40.0%36.9%50.1%6.0%-15.1%69.8K-2.7M-10.2K0.8588.711241061,598801
2016-10-13$41.32$45.0049.1%14.1%39.1%30.8%52.6%4.4%-7.2%66.6K-2.2M-9.0K0.8988.761191061,585806
2016-10-14$41.39$45.0052.0%14.9%38.9%34.1%49.9%5.1%-10.4%68.9K-2.2M-8.9K0.5386.572011061,585806
2016-10-17$41.62$45.0051.8%14.9%38.7%34.0%50.7%5.6%-10.4%15.1K-2.6M-7.9K0.5581.182031111,575806
2016-10-18$42.25$45.0051.6%14.8%39.2%33.7%49.7%6.9%-10.3%76.4K-2.5M-8.5K0.3686.233121111,570806
2016-10-19$42.48$40.0051.3%14.7%36.5%33.4%49.3%6.5%-9.5%56.5K-2.8M-8.1K0.3184.37303931,571806
2016-10-20$42.76$40.0049.6%14.2%36.7%31.5%52.8%8.1%-10.5%22.5K-2.9M-8.1K0.3482.32264891,575804
2016-10-21$42.87$40.0050.2%14.4%36.5%32.1%51.8%21.8%-10.0%27.7K-3.1M-8.1K0.1893.56482891,609795
2016-10-24$43.93$40.0048.4%13.9%37.5%30.1%49.1%4.9%-6.7%52.9K-2.4M-8.4K0.1485.54367511,229631
2016-10-25$43.33$40.0050.2%14.4%37.7%32.1%51.0%0.7%-7.2%75.4K-2.6M-9.7K2.2883.312796351,487633
2016-10-26$43.57$45.0051.7%14.8%37.2%33.8%52.3%4.0%-9.7%14.4K-1.5M-12.5K2.9590.832166371,5791,224
2016-10-27$40.19$45.0057.2%16.4%46.5%40.1%56.9%-2.1%-10.3%-7.1K207.0K-11.0K0.4289.302931221,5871,226
2016-10-28$37.85$45.0058.2%16.7%49.5%41.2%61.6%-0.9%-11.2%-10.7K1.5M-9.7K0.5092.452511261,5411,261
2016-10-31$37.96$45.0058.8%16.9%49.6%41.9%63.2%3.7%-11.2%-14.0K1.8M-9.2K0.4088.682651051,5111,289