FN Options History — November 2016

In November 2016, FN traded between $37.39 and $44.32. ATM implied volatility averaged 50.0%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 2.7% (HV 20d: 47.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-11-04: Highest Volume — 1,731 contracts
  • 2016-11-08: Largest IV drop — 36.9% change
  • 2016-11-07: Highest IV Rank — 93.2%
  • 2016-11-02: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.40$37.39$44.32$37.59$42.80
Max Pain$40.24$40.00$45.00$45.00$40.00
ATM IV50.0%39.7%82.0%65.0%41.9%
Expected Move13.3%11.4%18.9%18.6%12.0%
HV 20d47.3%33.7%51.6%49.0%35.0%
HV 60d41.0%39.8%41.8%41.8%40.9%
IV Rank42.6%27.5%93.2%49.0%31.0%
IV Percentile74.0%58.7%99.2%95.2%64.3%
Term Structure-2.9%-15.8%0.5%-15.8%-2.0%
VWIV46.7%40.4%67.0%65.4%42.9%
Skew 25d3.4%1.7%4.7%3.2%2.3%
Skew 10d8.0%-5.4%13.6%11.2%-5.4%
Call IV 25d46.0%39.6%66.1%66.1%43.1%
Put IV 25d49.4%42.9%69.8%69.2%45.4%
Bid-Ask Spread %74.0551.6389.8476.4588.67
Gamma HHI0.680.440.890.450.54
Net GEX315.8K-13.2K442.5K-13.2K405.5K
Net DEX-8.4M-14.3M2.1M2.1M-11.3M
Net VEX-24.4K-31.4K-8.5K-8.5K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.062.350.100.37
Total Volume565.4762351,7311,145252
Total OI5,555.3332,8207,2322,8204,889

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$37.59$45.0065.0%18.6%49.0%49.0%65.4%3.2%-15.8%-13.2K2.1M-8.5K0.1076.451,0401051,5331,287
2016-11-02$38.18$40.0065.9%18.9%49.3%68.1%67.0%4.1%-15.7%75.4K575.9K-11.3K0.5873.241791042,3881,287
2016-11-03$38.48$40.0071.5%15.4%49.2%76.7%53.5%4.3%-5.8%77.2K119.3K-12.0K0.0659.201,6251042,4061,281
2016-11-04$37.39$40.0078.9%16.6%49.6%88.3%56.1%3.9%-6.4%162.2K-1.6M-20.2K0.0751.631,6181133,8211,281
2016-11-07$38.65$40.0082.0%16.2%51.6%93.2%56.7%4.6%-6.5%288.5K-5.3M-29.7K0.3555.823221125,3101,291
2016-11-08$40.64$40.0051.7%12.9%46.8%46.2%44.1%4.7%-2.0%392.2K-7.7M-29.9K0.0965.85781675,3831,346
2016-11-09$39.41$40.0042.9%12.3%47.8%32.5%43.6%2.9%-0.7%442.5K-6.2M-31.4K0.5376.012471325,8721,344
2016-11-10$39.10$40.0043.0%12.3%47.5%32.7%42.1%4.0%-0.1%437.5K-5.6M-30.2K0.2368.70426965,8871,345
2016-11-11$40.82$40.0043.8%12.6%50.2%33.8%43.0%3.2%-0.7%409.1K-8.3M-30.1K0.5172.82194995,6491,347
2016-11-14$41.18$40.0044.7%12.8%50.2%35.2%43.6%3.3%-0.9%410.6K-9.2M-28.4K0.6777.451601075,6471,347
2016-11-15$42.18$40.0045.1%12.9%50.7%35.8%43.6%3.8%-1.3%368.3K-11.1M-27.2K1.2973.652593345,6501,342
2016-11-16$42.99$40.0042.5%12.2%51.1%31.9%43.6%3.4%0.0%373.3K-12.5M-26.9K1.8474.761522795,6681,381
2016-11-17$43.47$40.0042.5%12.2%51.2%31.9%42.6%1.7%-0.6%413.7K-13.5M-26.9K0.6376.163342115,6641,380
2016-11-18$44.32$40.0041.9%12.0%51.6%30.9%42.4%3.0%-0.2%293.7K-14.3M-25.4K2.3576.151563665,6721,382
2016-11-21$43.52$40.0040.7%11.7%51.4%29.1%41.3%3.2%0.5%318.4K-11.5M-25.6K0.7879.171761374,019322
2016-11-22$43.68$40.0040.0%11.5%51.1%28.0%40.6%3.1%0.2%340.2K-11.9M-24.7K0.9877.921371344,083275
2016-11-23$43.51$40.0039.7%11.4%51.1%27.5%40.4%3.4%0.3%348.0K-11.7M-25.5K0.7580.651711284,093284
2016-11-25$43.79$40.0042.0%12.0%41.3%31.0%43.0%2.0%0.4%355.8K-12.1M-24.6K0.9682.351341284,183288
2016-11-28$43.81$40.0041.5%11.9%33.7%30.3%43.2%3.9%-1.7%366.5K-12.2M-23.9K0.4678.61161744,189288
2016-11-29$43.83$40.0041.8%12.0%33.7%30.7%42.7%4.6%-2.6%366.4K-12.3M-24.0K0.1689.84449724,227331
2016-11-30$42.80$40.0041.9%12.0%35.0%31.0%42.9%2.3%-2.0%405.5K-11.3M-25.6K0.3788.67184684,556333