FN Options History — February 2017

In February 2017, FN traded between $41.53 and $49.24. ATM implied volatility averaged 42.2%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.8% (HV 20d: 38.4%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.19.

Notable Days

2017-02-06: Highest Volume — 3,574 contracts
2017-02-07: Largest IV drop — 43.1% change
2017-02-06: Highest IV Rank — 72.9%
2017-02-01: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.94	$41.53	$49.24	$42.03	$41.61
Max Pain	$41.58	$35.00	$45.00	$35.00	$45.00
ATM IV	42.2%	34.4%	69.1%	59.4%	41.9%
Expected Move	11.4%	9.9%	17.0%	17.0%	12.0%
HV 20d	38.4%	35.3%	45.5%	42.7%	45.5%
HV 60d	41.6%	39.4%	44.3%	41.8%	44.3%
IV Rank	30.7%	18.5%	72.9%	57.6%	30.2%
IV Percentile	51.9%	27.4%	95.6%	93.3%	58.3%
Term Structure	-1.5%	-12.0%	1.3%	-12.0%	-3.0%
VWIV	40.2%	34.6%	57.3%	57.3%	41.5%
Skew 25d	3.4%	0.4%	5.7%	5.7%	1.9%
Skew 10d	6.9%	-10.6%	17.7%	10.6%	-10.6%
Call IV 25d	39.0%	33.3%	55.4%	55.4%	39.7%
Put IV 25d	42.3%	37.1%	61.1%	61.1%	41.6%
Bid-Ask Spread %	75.06	47.84	88.50	80.50	83.47
Gamma HHI	0.42	0.33	0.80	0.36	0.80
Net GEX	38.2K	-459.2K	229.6K	81.2K	-459.2K
Net DEX	-5.5M	-13.5M	4.4M	-3.3M	4.4M
Net VEX	-27.0K	-36.4K	-15.6K	-16.1K	-31.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.18	3.86	0.42	0.60
Total Volume	995.684	229	3,574	389	905
Total OI	7,354.632	3,269	9,593	3,269	7,759

Daily Data (19 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
2017-02-01	$42.03	$35.00	59.4%	17.0%	42.7%	57.6%	57.3%	5.7%	-12.0%	81.2K	-3.3M	-16.1K	0.42	80.50	274	115	1,940	1,329
2017-02-02	$41.94	$40.00	58.8%	13.4%	42.3%	56.7%	42.7%	3.5%	-3.8%	87.0K	-3.4M	-16.2K	0.85	73.95	124	105	1,992	1,329
2017-02-03	$42.40	$40.00	59.1%	13.8%	36.5%	57.2%	47.2%	4.6%	-4.7%	89.1K	-3.7M	-16.2K	0.65	73.82	198	129	1,999	1,331
2017-02-06	$42.08	$40.00	69.1%	13.5%	36.2%	72.9%	48.0%	0.4%	-2.4%	85.0K	-3.4M	-15.6K	0.81	75.97	1,980	1,594	1,990	1,374
2017-02-07	$43.05	$40.00	39.3%	10.6%	35.6%	26.2%	37.8%	1.7%	0.4%	153.4K	-5.3M	-20.8K	1.12	75.33	1,085	1,216	3,523	2,626
2017-02-08	$41.53	$45.00	37.7%	10.8%	39.0%	23.7%	37.6%	3.1%	0.1%	-123.4K	-758.6K	-30.5K	3.27	80.33	677	2,217	3,952	4,296
2017-02-09	$43.86	$40.00	35.4%	10.2%	36.9%	20.1%	35.4%	4.0%	0.3%	117.4K	-4.6M	-36.4K	1.31	80.50	434	567	4,213	4,841
2017-02-10	$44.93	$40.00	34.6%	9.9%	36.7%	18.9%	34.6%	2.1%	0.5%	181.4K	-6.7M	-35.3K	0.28	69.91	520	148	4,058	5,201
2017-02-13	$47.00	$40.00	36.2%	10.4%	37.1%	21.3%	36.1%	4.8%	0.6%	228.3K	-11.7M	-29.1K	0.18	64.72	923	163	4,150	5,210
2017-02-14	$47.95	$40.00	34.9%	10.0%	37.2%	19.3%	36.1%	3.5%	0.9%	188.7K	-12.1M	-29.8K	0.26	77.97	476	122	4,271	5,254
2017-02-15	$48.00	$40.00	35.6%	10.2%	37.0%	20.4%	36.2%	2.7%	-0.4%	226.1K	-13.3M	-28.0K	0.55	55.40	229	127	4,276	5,260
2017-02-16	$48.00	$40.00	35.6%	10.2%	36.4%	20.4%	43.6%	4.1%	-0.6%	229.6K	-12.6M	-29.1K	3.86	81.51	170	656	4,292	5,282
2017-02-17	$48.40	$40.00	34.4%	9.9%	35.5%	18.5%	37.8%	3.0%	1.3%	109.1K	-13.5M	-28.3K	1.96	81.17	324	636	4,283	5,310
2017-02-21	$49.24	$45.00	35.6%	10.2%	35.3%	20.4%	36.3%	5.3%	0.1%	120.0K	-7.3M	-25.6K	0.53	47.84	359	192	2,732	4,431
2017-02-22	$47.15	$45.00	39.5%	11.3%	38.1%	26.5%	39.7%	2.1%	-2.7%	56.1K	-5.3M	-28.3K	3.67	86.59	193	709	2,894	4,517
2017-02-23	$46.22	$45.00	38.8%	11.1%	39.4%	25.4%	38.5%	4.8%	-1.4%	-114.8K	-2.7M	-32.1K	0.66	80.88	155	103	2,903	5,019
2017-02-24	$45.32	$45.00	37.2%	10.7%	39.3%	22.9%	38.0%	5.2%	-0.1%	-174.9K	-1.6M	-31.8K	0.53	88.50	198	104	2,876	5,041
2017-02-27	$43.17	$45.00	38.7%	11.1%	43.6%	25.2%	39.3%	1.8%	-1.7%	-355.2K	2.6M	-32.3K	1.17	67.74	365	426	2,921	5,063
2017-02-28	$41.61	$45.00	41.9%	12.0%	45.5%	30.2%	41.5%	1.9%	-3.0%	-459.2K	4.4M	-31.8K	0.60	83.47	564	341	2,953	4,806