FN Options History — March 2017

In March 2017, FN traded between $39.02 and $44.41. ATM implied volatility averaged 39.3%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 4.1% (HV 20d: 43.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2017-03-15: Highest Volume — 2,717 contracts
  • 2017-03-15: Largest IV drop — 19.6% change
  • 2017-03-14: Highest IV Rank — 37.6%
  • 2017-03-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.80$39.02$44.41$41.40$42.32
Max Pain$40.65$40.00$45.00$45.00$40.00
ATM IV39.3%33.9%46.6%42.9%34.3%
Expected Move10.8%9.7%12.3%12.3%9.8%
HV 20d43.4%39.6%45.9%44.2%42.3%
HV 60d42.7%40.3%44.9%41.0%42.5%
IV Rank26.1%17.6%37.6%31.8%18.3%
IV Percentile45.7%20.6%69.0%60.7%21.8%
Term Structure4.4%-3.1%10.1%-3.0%10.1%
VWIV37.3%31.5%43.0%43.0%32.0%
Skew 25d3.9%-6.8%15.3%-6.8%2.8%
Skew 10d8.9%-18.6%37.2%-18.6%17.6%
Call IV 25d36.5%29.0%45.8%45.8%31.2%
Put IV 25d40.4%34.0%57.9%39.0%34.0%
Bid-Ask Spread %57.0334.6589.5071.8539.15
Gamma HHI0.520.310.820.770.31
Net GEX-136.4K-584.2K101.5K-429.0K19.6K
Net DEX-478.0K-5.0M4.7M4.3M-2.1M
Net VEX-25.1K-32.0K-22.0K-32.0K-22.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.143.510.412.21
Total Volume699.2613272,717685831
Total OI5,970.3484,1907,8567,8564,854

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$41.40$45.0042.9%12.3%44.2%31.8%43.0%-6.8%-3.0%-429.0K4.3M-32.0K0.4171.854871983,0904,766
2017-03-02$41.36$45.0041.3%11.8%44.2%29.3%41.4%15.3%-2.9%-371.7K3.4M-30.7K1.8081.364838693,2404,338
2017-03-03$42.29$45.0042.1%12.1%45.0%30.5%39.1%3.0%-3.1%-192.0K457.2K-30.2K1.3989.504135733,4223,699
2017-03-06$42.16$40.0043.9%11.1%44.8%33.3%37.0%4.0%2.7%-191.7K246.0K-29.0K0.4940.993411673,5293,673
2017-03-07$41.83$40.0041.5%11.0%44.8%29.6%38.0%3.7%3.5%-230.6K1.3M-27.6K0.2960.27333983,5143,746
2017-03-08$41.26$40.0042.4%10.8%44.2%31.1%39.9%2.4%4.5%-276.2K1.9M-28.1K0.3350.783091013,5043,761
2017-03-09$42.54$40.0042.6%10.5%43.7%31.4%37.8%3.3%3.3%-206.1K326.8K-27.4K0.4850.562211063,4943,749
2017-03-10$39.85$40.0041.6%11.2%45.0%29.8%38.8%3.1%2.2%-357.8K4.3M-25.5K0.4446.113681623,4673,713
2017-03-13$39.83$40.0045.3%10.8%43.8%35.5%40.0%4.9%4.0%-408.1K4.7M-25.3K1.1634.652062393,6103,787
2017-03-14$39.02$40.0046.6%10.9%39.6%37.6%41.1%3.2%3.3%-391.2K4.4M-23.1K0.2442.666451583,6443,296
2017-03-15$40.20$40.0037.5%10.7%40.7%23.3%37.4%4.4%3.3%-584.2K1.9M-24.8K1.7371.749941,7233,3473,303
2017-03-16$41.00$40.0037.0%10.6%41.8%22.5%35.9%1.9%3.6%-80.9K-2.7M-23.4K0.1777.927741313,5852,954
2017-03-17$42.37$40.0036.9%10.6%44.2%22.4%34.5%6.8%4.9%34.4K-4.1M-23.4K0.1469.849161293,6392,945
2017-03-20$42.35$40.0039.1%11.2%43.9%25.8%36.5%7.7%6.9%36.6K-2.6M-23.3K0.5850.942771602,4471,743
2017-03-21$40.75$40.0037.1%10.6%44.4%22.7%37.7%2.8%5.4%25.0K-1.4M-22.4K1.1447.783033462,5141,696
2017-03-22$41.67$40.0038.7%11.1%43.8%25.2%37.8%4.5%5.3%25.3K-1.9M-23.0K0.3882.373441302,4781,789
2017-03-23$41.72$40.0036.9%10.6%43.6%22.4%36.1%3.9%7.8%29.4K-2.3M-23.0K0.6451.962391532,5901,803
2017-03-24$43.38$40.0035.3%10.1%45.9%19.8%35.0%9.4%6.9%71.2K-4.0M-23.0K0.5943.452741632,6331,781
2017-03-27$43.79$40.0036.6%10.5%42.6%22.0%36.4%3.2%6.7%90.5K-4.6M-22.6K1.0263.011661702,7411,781
2017-03-28$44.41$40.0034.8%10.0%40.5%19.1%31.5%2.0%8.6%101.5K-5.0M-22.4K0.6047.292231342,7181,811
2017-03-29$42.89$40.0035.1%10.1%42.6%19.7%36.1%0.4%8.0%66.8K-3.9M-22.2K2.4053.751192852,7331,816
2017-03-30$42.97$40.0033.9%9.7%42.6%17.6%34.2%3.7%8.3%82.7K-3.7M-22.0K3.5143.711384842,7511,824
2017-03-31$42.32$40.0034.3%9.8%42.3%18.3%32.0%2.8%10.1%19.6K-2.1M-22.0K2.2139.152595722,7702,084