FN Options History — May 2017

In May 2017, FN traded between $32.40 and $37.34. ATM implied volatility averaged 46.3%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 9.4% (HV 20d: 55.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2017-05-09: Highest Volume — 2,222 contracts
  • 2017-05-09: Largest IV drop — 34.6% change
  • 2017-05-08: Highest IV Rank — 70.4%
  • 2017-05-03: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.45$32.40$37.34$35.75$35.22
Max Pain$34.32$30.00$35.00$35.00$35.00
ATM IV46.3%40.3%67.6%53.6%42.0%
Expected Move12.6%11.6%15.9%15.4%12.1%
HV 20d55.8%45.6%64.7%46.3%53.7%
HV 60d46.4%44.1%48.3%44.3%47.4%
IV Rank37.0%26.9%70.4%48.6%26.9%
IV Percentile64.3%46.4%94.8%86.9%56.0%
Term Structure-2.4%-10.5%0.8%-8.2%-1.1%
VWIV43.7%37.0%57.4%54.7%41.8%
Skew 25d3.3%-2.2%6.2%5.6%3.2%
Skew 10d7.4%-14.7%20.1%8.9%5.8%
Call IV 25d43.3%37.9%60.5%55.2%42.8%
Put IV 25d46.6%39.0%60.8%60.8%46.1%
Bid-Ask Spread %25.098.6650.9338.2020.51
Gamma HHI0.400.270.800.530.32
Net GEX136.5K43.3K544.3K82.1K84.6K
Net DEX-1.5M-4.8M1.0M-212.1K-1.0M
Net VEX-17.7K-20.3K-12.2K-14.6K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.151.160.560.25
Total Volume789.1822412,222662548
Total OI5,246.6823,9786,6593,9784,616

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$35.75$35.0053.6%15.4%46.3%48.6%54.7%5.6%-8.2%82.1K-212.1K-14.6K0.5638.204252372,8221,156
2017-05-02$35.07$35.0054.2%15.5%45.6%49.5%53.4%6.2%-10.0%82.7K-69.1K-14.6K0.5927.593321963,0351,204
2017-05-03$33.15$35.0055.4%15.9%48.7%51.4%57.4%-1.1%-10.5%43.3K1.0M-12.2K0.4050.198703473,1031,218
2017-05-04$32.40$35.0061.3%13.5%48.0%60.6%46.3%4.7%-3.3%63.1K621.4K-12.5K0.8050.623422753,3741,183
2017-05-05$32.76$35.0059.7%13.0%47.8%58.1%47.4%5.0%-2.5%67.6K422.1K-13.3K0.3450.937002353,4451,259
2017-05-08$33.90$30.0067.6%13.6%50.2%70.4%46.7%5.0%-3.3%131.6K-1.0M-15.9K0.3523.051,6355723,8251,299
2017-05-09$36.78$30.0044.2%12.5%59.3%33.8%43.1%2.2%-6.1%273.2K-4.8M-19.9K0.3222.611,6875354,4531,622
2017-05-10$36.44$30.0040.8%11.7%59.2%28.5%40.9%3.8%-0.2%214.8K-2.7M-20.0K1.1135.774244714,3041,849
2017-05-11$36.32$35.0040.4%11.6%58.9%27.8%42.3%1.8%0.8%139.0K-2.6M-19.2K0.9416.314894614,4261,884
2017-05-12$35.55$35.0040.3%11.6%59.2%27.8%41.2%3.3%-0.6%131.5K-1.9M-20.3K0.6720.994202804,5941,885
2017-05-15$35.63$35.0041.7%12.0%59.2%29.9%41.9%4.0%-0.7%152.5K-2.1M-19.5K0.7942.533762964,6421,878
2017-05-16$36.70$35.0041.5%11.9%59.6%29.6%40.6%3.4%0.2%129.7K-3.5M-19.5K1.1130.262572864,5971,886
2017-05-17$34.46$35.0042.2%12.1%62.2%30.7%42.9%3.6%-1.3%114.8K-395.4K-18.5K0.4016.326152434,5611,909
2017-05-18$34.46$35.0042.3%12.1%62.1%30.8%42.5%4.7%-1.5%166.2K-556.9K-18.7K0.5513.074192314,7601,899
2017-05-19$34.90$35.0041.4%11.9%61.9%29.4%41.1%3.6%-0.5%544.3K-1.2M-18.6K1.1616.033614204,7761,873
2017-05-22$36.66$35.0041.7%12.0%64.5%29.9%40.1%4.0%-1.9%76.5K-1.9M-19.2K0.1517.99551812,7121,422
2017-05-23$37.34$35.0042.2%12.1%64.7%30.8%40.1%4.0%-0.5%109.2K-2.7M-20.1K0.3011.13257762,9211,437
2017-05-24$36.51$35.0041.5%11.9%54.2%29.6%37.0%3.9%0.1%99.9K-2.1M-20.0K0.6017.93151902,9841,443
2017-05-25$37.06$35.0040.7%11.7%54.4%28.3%38.8%0.4%0.3%110.6K-2.4M-19.7K0.3610.862781002,9911,446
2017-05-26$36.75$35.0040.3%11.6%53.7%27.7%39.3%4.0%0.1%103.1K-2.0M-18.6K0.438.662651152,8921,460
2017-05-30$36.16$35.0044.0%12.6%53.3%33.5%41.2%-2.2%-3.1%82.5K-1.4M-17.3K0.3210.47314992,9031,479
2017-05-31$35.22$35.0042.0%12.1%53.7%26.9%41.8%3.2%-1.1%84.6K-1.0M-18.1K0.2520.514391093,1371,479