FN Options History — December 2016

In December 2016, FN traded between $39.46 and $42.34. ATM implied volatility averaged 41.0%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 0.5% (HV 20d: 40.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2016-12-14: Highest Volume — 1,379 contracts
  • 2016-12-14: Largest IV drop — 24.2% change
  • 2016-12-12: Highest IV Rank — 46.5%
  • 2016-12-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.95$39.46$42.34$39.46$40.41
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV41.0%34.6%51.9%46.9%35.4%
Expected Move11.2%9.9%13.5%13.5%10.1%
HV 20d40.5%28.3%47.0%46.6%28.3%
HV 60d42.4%41.9%43.3%43.3%42.4%
IV Rank29.4%19.6%46.5%38.7%20.1%
IV Percentile55.1%31.7%86.5%76.2%34.9%
Term Structure5.3%-3.5%10.2%-3.5%10.1%
VWIV39.2%33.7%47.7%47.7%36.0%
Skew 25d3.6%2.6%4.6%2.6%3.1%
Skew 10d7.9%1.2%20.6%3.7%5.5%
Call IV 25d37.8%32.5%47.6%47.6%34.9%
Put IV 25d41.3%36.2%50.2%50.2%38.0%
Bid-Ask Spread %84.3076.9895.2087.7495.20
Gamma HHI0.670.570.780.680.75
Net GEX402.1K351.5K478.5K358.4K478.5K
Net DEX-7.7M-9.9M-5.9M-7.0M-5.9M
Net VEX-24.3K-26.4K-20.8K-24.9K-22.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.234.390.820.77
Total Volume406.6671991,379518235
Total OI5,186.3814,8245,4824,9855,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$39.46$40.0046.9%13.5%46.6%38.7%47.7%2.6%-3.5%358.4K-7.0M-24.9K0.8287.742852334,642343
2016-12-02$39.61$40.0045.6%13.1%46.6%36.6%45.1%4.6%-2.1%371.3K-7.3M-26.1K0.4986.42199974,754498
2016-12-05$41.18$40.0047.0%12.4%47.0%38.8%43.8%3.4%1.7%411.9K-9.4M-26.4K0.6177.23154944,792552
2016-12-06$41.06$40.0047.2%12.4%45.8%39.2%42.9%3.9%2.0%416.6K-9.2M-25.8K0.5379.26148784,801529
2016-12-07$40.57$40.0047.7%12.4%42.5%39.9%42.3%3.6%1.8%401.5K-8.5M-25.8K0.4579.42158714,834537
2016-12-08$41.47$40.0046.4%12.2%41.6%37.9%42.6%3.2%2.6%431.3K-9.9M-25.8K0.2876.984531254,865545
2016-12-09$40.60$40.0044.0%12.0%42.3%34.1%42.2%3.6%2.4%376.7K-8.2M-24.2K0.2378.867161664,732537
2016-12-12$40.21$40.0051.9%12.2%39.5%46.5%45.1%3.2%2.3%359.6K-7.1M-21.6K1.4780.631181734,465489
2016-12-13$39.89$40.0050.8%11.4%39.4%44.7%42.3%3.5%3.6%383.6K-6.5M-20.8K4.3979.251486504,460486
2016-12-14$40.61$40.0038.5%11.0%39.0%25.6%38.4%4.3%4.8%379.0K-6.9M-25.9K0.7781.887786014,515967
2016-12-15$41.41$40.0037.4%10.7%39.0%23.9%37.5%3.4%5.5%351.5K-7.7M-24.6K0.6982.972261554,2861,040
2016-12-16$41.27$40.0036.9%10.6%38.7%23.2%35.9%3.4%5.5%353.1K-7.5M-24.9K0.7982.362011584,3321,085
2016-12-19$41.92$40.0036.4%10.4%38.4%22.4%33.7%4.2%8.3%377.6K-8.0M-24.3K0.5783.981821033,875949
2016-12-20$41.20$40.0035.2%10.1%38.4%20.5%34.0%3.7%9.3%407.9K-7.1M-24.8K0.7885.271951534,002951
2016-12-21$41.71$40.0035.7%10.2%38.7%21.3%34.2%4.3%8.8%398.7K-7.8M-24.6K1.0087.121531534,031995
2016-12-22$41.50$40.0034.8%10.0%38.7%20.0%35.2%3.2%9.4%415.3K-7.5M-24.6K1.0284.591521554,111995
2016-12-23$41.70$40.0034.6%9.9%38.7%19.6%34.5%3.6%9.8%427.3K-7.9M-24.3K0.8492.831221024,142995
2016-12-27$42.34$40.0036.6%10.5%39.2%22.7%37.5%3.1%9.4%417.1K-8.8M-23.0K0.9089.151161044,169995
2016-12-28$40.79$40.0035.9%10.3%41.1%21.7%36.1%3.3%9.2%461.9K-6.5M-23.0K1.0788.58961034,1911,011
2016-12-29$40.99$40.0035.5%10.2%40.5%21.0%36.6%4.0%10.2%464.6K-6.7M-22.9K0.8090.571281034,1861,025
2016-12-30$40.41$40.0035.4%10.1%28.3%20.1%36.0%3.1%10.1%478.5K-5.9M-22.4K0.7795.201331024,1801,025