FN Options History — June 2017

In June 2017, FN traded between $37.11 and $46.42. ATM implied volatility averaged 40.1%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 10.1% (HV 20d: 50.1%). Max pain ranged from $35.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2017-06-26: Highest Volume — 15,095 contracts
  • 2017-06-16: Largest IV drop — 10.7% change
  • 2017-06-12: Highest IV Rank — 30.6%
  • 2017-06-15: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.43$37.11$46.42$37.68$42.84
Max Pain$37.50$35.00$46.00$35.00$46.00
ATM IV40.1%36.2%44.4%40.4%37.6%
Expected Move11.2%10.4%12.3%11.6%10.8%
HV 20d50.1%36.4%69.7%54.4%66.4%
HV 60d49.6%45.8%57.5%49.5%56.8%
IV Rank23.6%17.2%30.6%24.2%19.6%
IV Percentile43.7%23.8%63.5%46.4%30.2%
Term Structure4.0%-0.9%6.8%-0.9%6.5%
VWIV38.6%29.2%43.4%43.4%38.8%
Skew 25d3.0%0.5%4.6%3.6%2.9%
Skew 10d6.1%2.6%10.5%3.4%5.8%
Call IV 25d38.4%35.6%40.8%40.8%37.8%
Put IV 25d41.4%38.3%44.4%44.4%40.7%
Bid-Ask Spread %22.7211.0549.5015.2535.35
Gamma HHI0.400.210.580.510.38
Net GEX309.5K32.1K1.3M136.3K1.2M
Net DEX-5.7M-22.0M-1.3M-2.8M-14.5M
Net VEX-35.0K-104.3K-19.1K-19.7K-95.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.172.000.421.35
Total Volume1,428.45532315,0959461,270
Total OI7,391.8644,25218,5104,58418,510

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$37.68$35.0040.4%11.6%54.4%24.2%43.4%3.6%-0.9%136.3K-2.8M-19.7K0.4215.256672793,0861,498
2017-06-02$38.02$35.0038.0%10.9%53.2%20.2%29.2%4.6%0.7%136.6K-2.8M-21.2K0.6913.713732573,1591,631
2017-06-05$37.57$35.0041.5%11.3%53.7%26.1%38.2%3.4%4.3%133.3K-2.4M-20.1K0.6211.051991243,1341,645
2017-06-06$38.91$35.0041.5%11.6%53.8%26.1%40.3%3.3%2.6%164.0K-3.7M-21.0K0.2520.385181283,0961,665
2017-06-07$38.55$35.0041.7%11.3%46.2%26.3%38.0%3.2%3.9%157.6K-3.2M-21.2K0.4820.254212033,2021,680
2017-06-08$39.28$35.0040.9%11.3%46.3%25.0%38.8%4.3%3.4%190.0K-4.3M-21.9K0.4118.353951603,3641,767
2017-06-09$38.16$35.0043.6%11.6%47.7%29.5%40.4%2.6%2.2%157.7K-3.2M-21.7K0.4921.553841893,4401,776
2017-06-12$37.90$35.0044.4%11.4%47.0%30.6%39.7%2.8%4.1%148.2K-2.7M-21.1K0.3515.893851363,4641,817
2017-06-13$38.38$35.0043.2%10.9%47.1%28.8%38.6%3.2%4.5%173.6K-3.3M-20.9K0.5219.972881513,4691,824
2017-06-14$37.48$35.0041.2%11.8%47.0%25.4%39.4%2.2%2.5%50.9K-2.4M-19.5K0.5224.813061603,4821,832
2017-06-15$37.45$35.0042.7%12.3%40.5%28.0%41.7%3.0%0.9%62.4K-2.5M-19.9K0.6520.383242123,5341,805
2017-06-16$37.58$35.0038.1%10.9%40.5%20.4%38.5%2.6%4.5%51.2K-2.5M-19.8K0.5120.923371733,5141,806
2017-06-19$37.77$35.0038.2%10.9%40.4%20.5%38.1%2.1%5.1%54.5K-1.8M-19.1K0.3123.994621412,6821,570
2017-06-20$37.47$35.0038.6%11.1%36.8%21.2%37.9%3.5%5.1%58.3K-1.7M-20.0K0.4322.224091742,8321,638
2017-06-21$37.11$35.0038.0%10.9%36.4%20.2%37.8%1.8%6.8%47.2K-1.3M-19.8K0.9624.283773612,8911,712
2017-06-22$37.99$38.0036.9%10.6%36.4%18.3%36.5%2.9%6.1%32.1K-1.6M-21.0K0.8722.704213672,8761,929
2017-06-23$40.03$38.0036.2%10.4%40.3%17.2%35.5%2.7%5.3%41.4K-3.2M-22.4K0.4029.134271712,9302,193
2017-06-26$46.42$40.0038.9%11.2%64.8%21.7%38.7%4.4%5.1%138.6K-8.9M-20.3K0.1749.5012,8862,2092,9862,482
2017-06-27$43.51$46.0040.9%11.7%69.7%24.9%39.7%0.5%2.7%1.2M-19.1M-100.3K1.1719.838781,02814,3493,669
2017-06-28$44.22$46.0039.5%11.3%68.5%22.6%39.6%2.8%5.8%1.3M-22.0M-104.3K2.0022.735621,12514,4493,773
2017-06-29$43.13$46.0039.7%11.4%66.2%22.9%39.5%4.4%6.2%1.2M-16.6M-99.6K1.8927.6348190814,5763,884
2017-06-30$42.84$46.0037.6%10.8%66.4%19.6%38.8%2.9%6.5%1.2M-14.5M-95.8K1.3535.3554172914,6103,900