FN Options History — July 2017

In July 2017, FN traded between $42.23 and $46.76. ATM implied volatility averaged 42.6%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 11.4% (HV 20d: 54.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2017-07-24: Highest Volume — 3,470 contracts
  • 2017-07-12: Largest IV spike — 13.2% change
  • 2017-07-13: Highest IV Rank — 34.9%
  • 2017-07-11: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.72$42.23$46.76$42.95$45.00
Max Pain$42.55$40.00$45.00$45.00$45.00
ATM IV42.6%38.0%46.5%40.6%42.7%
Expected Move12.7%11.4%13.5%11.6%12.2%
HV 20d54.1%20.3%66.2%66.1%20.3%
HV 60d54.7%49.8%57.1%56.7%49.8%
IV Rank28.2%20.1%34.9%24.5%28.5%
IV Percentile52.9%30.6%68.3%43.3%59.5%
Term Structure0.5%-3.7%6.6%5.6%4.9%
VWIV45.2%39.3%49.1%41.0%42.6%
Skew 25d2.7%0.8%4.5%2.7%1.7%
Skew 10d6.6%2.8%15.3%5.8%12.3%
Call IV 25d44.0%37.9%46.9%39.4%42.8%
Put IV 25d46.7%41.7%49.6%42.1%44.4%
Bid-Ask Spread %36.1720.4571.5371.5326.40
Gamma HHI0.320.270.560.390.27
Net GEX1.8M375.5K5.5M1.2M379.8K
Net DEX-20.5M-31.5M-12.8M-15.0M-13.5M
Net VEX-91.8K-103.1K-83.6K-94.3K-88.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.313.010.312.00
Total Volume2,025.81,3313,4703,0301,341
Total OI20,180.8512,33426,99218,59514,946

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$42.95$45.0040.6%11.6%66.1%24.5%41.0%2.7%5.6%1.2M-15.0M-94.3K0.3171.532,31471614,6193,976
2017-07-05$42.76$44.0039.6%11.4%65.3%22.8%39.3%3.9%5.0%1.5M-15.8M-93.3K0.5055.851,18959416,4583,999
2017-07-06$42.23$42.0038.0%13.2%65.4%20.1%45.8%2.5%-2.5%1.5M-12.8M-87.6K3.0123.034571,37416,6284,016
2017-07-07$43.79$41.0038.1%13.1%66.2%20.4%46.8%3.7%-2.4%1.7M-21.2M-103.1K0.9930.841,2051,19816,6664,893
2017-07-10$44.14$41.0038.3%13.5%64.9%20.7%47.7%3.0%-3.3%2.0M-22.2M-100.5K0.7823.7684366017,2705,318
2017-07-11$44.11$41.0040.7%13.5%64.8%24.6%47.0%3.3%-3.7%2.0M-21.3M-98.8K0.6821.0599868317,1775,410
2017-07-12$44.54$41.0046.1%13.2%64.8%33.5%46.8%3.2%-3.0%2.2M-24.7M-98.1K0.5727.771,11563617,2235,420
2017-07-13$44.77$41.0046.5%13.3%63.7%34.9%47.1%3.4%-2.8%2.4M-26.2M-97.9K0.9220.4582475717,4325,453
2017-07-14$44.98$41.0046.2%13.2%63.7%34.4%45.2%4.5%-1.6%2.6M-27.3M-98.5K0.9042.5779171117,6315,541
2017-07-17$44.78$41.0045.7%13.1%63.8%33.6%47.3%2.4%-1.3%2.8M-25.3M-88.6K2.1822.857731,68617,6775,559
2017-07-18$44.79$41.0045.0%12.9%63.9%32.4%47.5%2.8%-1.3%3.0M-24.1M-86.3K1.3920.7155877317,9685,724
2017-07-19$45.41$40.0044.9%12.9%63.6%32.3%47.1%2.6%-1.5%3.7M-31.5M-85.0K1.6422.921,0761,76318,0345,838
2017-07-20$45.45$41.0045.6%13.1%63.3%33.4%48.8%4.0%-2.9%5.5M-26.3M-84.4K2.0530.358531,75218,5556,926
2017-07-21$45.59$44.0045.3%13.0%63.1%33.0%48.8%2.5%-2.4%421.9K-20.6M-84.6K1.4424.681,0821,56318,8438,149
2017-07-24$46.76$43.0046.4%13.3%61.4%34.8%49.1%3.2%-1.8%478.5K-18.5M-83.6K1.6855.331,2942,1768,5393,795
2017-07-25$46.40$44.0040.5%11.6%32.1%24.8%41.1%2.1%6.1%506.5K-18.8M-90.4K1.3349.669061,2059,3804,512
2017-07-26$46.00$45.0039.9%11.4%21.5%23.8%41.6%0.8%5.0%478.6K-17.4M-92.0K2.2853.245121,1679,6944,850
2017-07-27$44.96$45.0041.1%11.8%22.7%25.9%42.3%1.1%6.6%379.7K-13.7M-89.5K2.3853.594491,0709,7164,870
2017-07-28$45.00$45.0041.3%11.8%20.5%26.1%41.5%1.6%6.6%375.5K-13.6M-91.3K2.6446.763991,0539,7695,143
2017-07-31$45.00$45.0042.7%12.2%20.3%28.5%42.6%1.7%4.9%379.8K-13.5M-88.7K2.0026.404478949,7985,148