FN Options History — January 2017

In January 2017, FN traded between $34.16 and $42.06. ATM implied volatility averaged 48.3%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 4.5% (HV 20d: 43.8%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2017-01-19: Highest Volume — 858 contracts
2017-01-11: Largest IV spike — 22.4% change
2017-01-31: Highest IV Rank — 57.1%
2017-01-31: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.01	$34.16	$42.06	$37.84	$42.06
Max Pain	$34.25	$30.00	$40.00	$40.00	$35.00
ATM IV	48.3%	36.9%	59.1%	38.0%	59.1%
Expected Move	14.4%	10.6%	16.9%	10.9%	16.9%
HV 20d	43.8%	34.9%	50.5%	36.9%	49.6%
HV 60d	43.6%	41.5%	45.9%	44.3%	41.8%
IV Rank	40.3%	22.5%	57.1%	24.2%	57.1%
IV Percentile	74.5%	43.7%	92.9%	47.6%	92.9%
Term Structure	-5.2%	-12.9%	9.4%	8.4%	-12.9%
VWIV	49.9%	37.6%	54.8%	39.8%	53.6%
Skew 25d	4.1%	1.3%	7.5%	3.6%	7.5%
Skew 10d	8.0%	-9.8%	25.9%	-3.8%	25.9%
Call IV 25d	48.4%	34.4%	54.1%	38.5%	51.7%
Put IV 25d	52.5%	40.4%	60.0%	42.1%	59.3%
Bid-Ask Spread %	67.96	44.55	95.06	91.13	80.02
Gamma HHI	0.51	0.23	0.84	0.83	0.34
Net GEX	117.3K	4.0K	434.1K	346.4K	79.4K
Net DEX	-928.0K	-3.4M	1.7M	-1.6M	-3.4M
Net VEX	-14.7K	-19.2K	-10.2K	-17.7K	-16.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.25	1.28	0.69	0.58
Total Volume	470.05	286	858	402	465
Total OI	4,885.95	2,739	6,408	5,213	3,282

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-01-03	$37.84	$40.00	38.0%	10.9%	36.9%	24.2%	39.8%	3.6%	8.4%	346.4K	-1.6M	-17.7K	0.69	91.13	238	164	4,185	1,028
2017-01-04	$38.72	$40.00	36.9%	10.6%	34.9%	22.5%	37.6%	6.0%	9.4%	434.1K	-2.8M	-19.2K	0.63	95.06	176	110	4,206	1,091
2017-01-05	$36.72	$35.00	39.6%	14.0%	39.2%	26.6%	48.4%	4.9%	-4.5%	236.4K	-8.3K	-14.7K	0.89	59.98	152	136	4,225	1,093
2017-01-06	$36.25	$35.00	38.9%	14.0%	39.2%	25.6%	48.3%	4.4%	-4.2%	179.3K	509.7K	-13.3K	1.17	59.39	147	172	4,301	1,154
2017-01-09	$35.72	$35.00	41.7%	14.3%	37.9%	29.9%	53.5%	4.6%	-4.8%	104.7K	1.2M	-12.5K	0.39	64.84	311	120	4,343	1,233
2017-01-10	$35.80	$30.00	40.7%	14.4%	37.7%	28.3%	49.7%	5.4%	-5.0%	98.6K	796.7K	-12.7K	0.48	65.95	245	118	4,516	1,270
2017-01-11	$34.16	$35.00	49.8%	14.3%	40.4%	42.6%	50.8%	3.8%	-5.5%	11.2K	1.7M	-10.2K	0.60	66.47	268	162	4,508	1,268
2017-01-12	$35.10	$35.00	50.4%	14.4%	42.3%	43.5%	53.2%	5.6%	-5.6%	23.7K	1.2M	-11.7K	0.44	53.90	434	189	4,615	1,301
2017-01-13	$36.58	$30.00	51.0%	14.6%	44.8%	44.5%	51.4%	6.7%	-6.7%	97.2K	-399.2K	-13.4K	0.36	67.01	360	129	4,887	1,338
2017-01-17	$37.00	$30.00	51.5%	14.8%	44.3%	45.3%	51.3%	3.1%	-6.5%	152.4K	-619.8K	-13.1K	0.64	44.55	303	193	4,921	1,331
2017-01-18	$36.88	$30.00	51.0%	14.6%	44.3%	44.4%	50.7%	4.4%	-6.8%	4.0K	-90.1K	-12.6K	0.39	57.47	407	158	4,884	1,365
2017-01-19	$38.18	$30.00	50.5%	14.5%	46.0%	43.8%	51.3%	1.3%	-7.3%	219.3K	-1.0M	-14.3K	0.25	66.38	684	174	5,033	1,375
2017-01-20	$37.78	$35.00	50.7%	14.5%	45.8%	44.0%	50.9%	1.9%	-7.1%	16.5K	-491.6K	-13.8K	0.44	66.45	452	199	4,982	1,384
2017-01-23	$37.91	$35.00	50.8%	14.6%	45.5%	44.2%	50.6%	2.4%	-5.3%	29.4K	-857.3K	-14.8K	0.46	68.64	397	182	1,610	1,129
2017-01-24	$39.79	$35.00	50.7%	14.5%	49.2%	44.1%	50.6%	1.4%	-5.6%	47.9K	-1.9M	-16.1K	0.53	61.26	408	216	1,736	1,231
2017-01-25	$40.12	$35.00	51.1%	14.6%	49.3%	44.6%	52.7%	1.7%	-6.6%	59.3K	-2.1M	-16.9K	0.93	66.25	202	188	1,838	1,322
2017-01-26	$41.44	$35.00	54.9%	15.8%	50.5%	50.7%	50.2%	3.9%	-9.6%	66.8K	-3.0M	-17.1K	1.13	66.47	179	202	1,898	1,350
2017-01-27	$41.35	$35.00	54.1%	15.5%	48.6%	49.3%	48.5%	4.5%	-10.1%	68.8K	-2.9M	-17.1K	1.28	73.66	162	208	1,892	1,338
2017-01-30	$40.84	$35.00	54.7%	15.7%	48.8%	50.2%	54.8%	5.9%	-7.4%	71.0K	-2.7M	-16.4K	1.05	84.29	191	200	1,903	1,353
2017-01-31	$42.06	$35.00	59.1%	16.9%	49.6%	57.1%	53.6%	7.5%	-12.9%	79.4K	-3.4M	-16.3K	0.58	80.02	294	171	1,946	1,336