FN Options History — April 2017

In April 2017, FN traded between $34.80 and $40.94. ATM implied volatility averaged 44.5%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 6.2% (HV 20d: 38.3%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.28.

Notable Days

2017-04-03: Highest Volume — 2,057 contracts
2017-04-12: Largest IV spike — 21.9% change
2017-04-28: Highest IV Rank — 44.8%
2017-04-28: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.13	$34.80	$40.94	$40.94	$34.80
Max Pain	$40.26	$35.00	$45.00	$40.00	$35.00
ATM IV	44.5%	35.5%	51.2%	37.1%	51.2%
Expected Move	13.3%	10.5%	14.7%	10.6%	14.7%
HV 20d	38.3%	30.7%	45.5%	43.9%	44.4%
HV 60d	41.0%	39.1%	44.1%	41.6%	43.8%
IV Rank	34.3%	20.3%	44.8%	22.7%	44.8%
IV Percentile	61.5%	31.0%	82.5%	40.5%	82.5%
Term Structure	-3.3%	-7.7%	8.1%	8.1%	-7.7%
VWIV	45.5%	32.0%	54.0%	35.5%	51.7%
Skew 25d	3.6%	-7.6%	6.5%	4.5%	4.8%
Skew 10d	8.6%	-13.1%	19.1%	10.5%	10.1%
Call IV 25d	46.2%	36.9%	52.7%	36.9%	51.9%
Put IV 25d	49.8%	30.7%	56.7%	41.4%	56.7%
Bid-Ask Spread %	58.85	32.90	84.95	76.67	45.88
Gamma HHI	0.37	0.27	0.49	0.45	0.49
Net GEX	15.2K	-100.3K	112.1K	-44.2K	65.1K
Net DEX	4.0M	-1.5M	9.5M	505.8K	199.8K
Net VEX	-17.1K	-21.7K	-12.5K	-21.7K	-14.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.52	7.68	7.68	0.68
Total Volume	639.053	326	2,057	2,057	574
Total OI	5,694.474	2,960	7,657	5,218	3,810

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
2017-04-03	$40.94	$40.00	37.1%	10.6%	43.9%	22.7%	35.5%	4.5%	8.1%	-44.2K	505.8K	-21.7K	7.68	76.67	237	1,820	2,810	2,408
2017-04-04	$40.24	$45.00	36.7%	10.5%	44.2%	22.1%	32.0%	-7.6%	7.6%	-100.1K	7.2M	-21.1K	2.14	41.57	250	536	2,898	3,875
2017-04-05	$38.87	$45.00	37.2%	10.7%	45.5%	22.9%	38.0%	2.4%	7.9%	-91.9K	9.4M	-20.2K	1.11	76.79	407	451	2,975	4,196
2017-04-06	$39.45	$40.00	35.5%	12.7%	44.3%	20.3%	47.3%	3.1%	-3.5%	-100.3K	9.5M	-21.7K	0.60	62.75	516	309	3,185	4,472
2017-04-07	$39.35	$40.00	35.7%	12.8%	37.9%	20.6%	45.7%	3.3%	-3.6%	-52.8K	7.6M	-21.6K	1.22	70.09	235	287	3,342	4,004
2017-04-10	$39.01	$40.00	38.0%	13.4%	38.0%	24.1%	47.3%	5.3%	-4.4%	-10.7K	8.3M	-19.7K	1.27	59.28	222	281	3,357	3,997
2017-04-11	$38.39	$40.00	38.1%	13.3%	37.7%	24.3%	40.1%	4.7%	-4.5%	-7.2K	9.3M	-17.6K	0.88	60.46	297	260	3,359	4,024
2017-04-12	$37.71	$40.00	46.5%	13.3%	36.4%	37.4%	46.1%	5.9%	-4.3%	17.9K	6.3M	-15.8K	0.77	63.58	288	222	3,427	2,967
2017-04-13	$37.97	$40.00	47.3%	13.5%	35.6%	38.6%	46.4%	4.9%	-5.4%	8.6K	3.1M	-17.4K	0.71	55.98	253	179	3,477	2,405
2017-04-17	$37.82	$40.00	48.5%	13.9%	32.8%	40.6%	51.8%	6.5%	-5.8%	27.0K	2.7M	-17.1K	0.71	82.74	249	176	3,580	2,403
2017-04-18	$38.73	$40.00	47.5%	13.6%	34.4%	39.0%	42.6%	6.3%	-5.8%	31.3K	2.6M	-16.4K	1.07	76.64	183	195	3,650	2,444
2017-04-19	$37.28	$40.00	50.6%	14.5%	34.4%	43.9%	44.8%	2.9%	-6.1%	66.0K	4.4M	-13.3K	0.80	39.44	261	209	3,677	2,438
2017-04-20	$37.34	$40.00	51.1%	14.6%	33.0%	44.6%	46.4%	4.3%	-7.5%	63.8K	4.3M	-13.8K	0.84	60.82	261	218	3,747	2,466
2017-04-21	$38.06	$40.00	48.3%	13.8%	34.1%	40.2%	48.1%	3.6%	-7.1%	76.7K	3.9M	-15.3K	0.54	84.95	394	214	3,753	2,455
2017-04-24	$38.53	$40.00	48.3%	13.8%	30.7%	40.3%	45.7%	4.6%	-5.8%	96.6K	-1.2M	-15.4K	0.67	37.49	283	191	2,114	846
2017-04-25	$39.03	$40.00	47.9%	13.7%	31.0%	39.7%	54.0%	5.4%	-4.7%	112.1K	-1.5M	-15.6K	1.22	32.90	147	179	2,211	847
2017-04-26	$35.32	$40.00	49.4%	14.2%	44.7%	41.9%	49.6%	-0.5%	-5.0%	61.5K	-13.7K	-12.5K	0.85	50.00	353	301	2,230	845
2017-04-27	$35.64	$40.00	50.3%	14.4%	44.3%	43.5%	51.5%	4.3%	-5.8%	69.1K	-33.6K	-14.2K	0.52	40.06	463	241	2,471	1,030
2017-04-28	$34.80	$35.00	51.2%	14.7%	44.4%	44.8%	51.7%	4.8%	-7.7%	65.1K	199.8K	-14.2K	0.68	45.88	342	232	2,702	1,108