FN Options History — August 2017

In August 2017, FN traded between $36.97 and $45.15. ATM implied volatility averaged 45.3%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 11.4% (HV 20d: 34.0%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.62.

Notable Days

  • 2017-08-17: Highest Volume — 7,400 contracts
  • 2017-08-22: Largest IV drop — 21.4% change
  • 2017-08-21: Highest IV Rank — 51.3%
  • 2017-08-21: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.77$36.97$45.15$45.15$38.83
Max Pain$42.57$39.00$45.00$45.00$39.00
ATM IV45.3%39.9%54.6%40.2%40.0%
Expected Move13.3%11.4%15.7%11.5%11.5%
HV 20d34.0%20.3%42.9%20.3%38.0%
HV 60d48.0%46.4%51.2%49.8%46.6%
IV Rank34.4%24.4%51.3%24.4%25.3%
IV Percentile63.2%37.7%92.5%41.3%37.7%
Term Structure-1.5%-7.4%8.0%8.0%0.3%
VWIV47.0%39.2%54.4%40.4%39.2%
Skew 25d3.7%0.4%6.0%2.6%2.1%
Skew 10d8.1%2.6%15.6%8.8%7.0%
Call IV 25d45.7%39.5%51.8%40.6%40.3%
Put IV 25d49.3%42.5%56.9%43.2%42.5%
Bid-Ask Spread %29.4719.7059.2126.8824.56
Gamma HHI0.200.140.270.270.15
Net GEX230.5K-285.0K698.9K394.8K150.3K
Net DEX-2.9M-14.1M5.9M-14.1M287.0K
Net VEX-74.8K-93.1K-53.0K-88.8K-56.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.261.460.960.36
Total Volume3,147.4781,4907,4001,8901,959
Total OI19,783.69615,03224,84415,03219,903

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$45.15$45.0040.2%11.5%20.3%24.4%40.4%2.6%8.0%394.8K-14.1M-88.8K0.9626.889659259,8625,170
2017-08-02$42.51$45.0041.3%11.8%30.1%26.2%42.4%0.4%7.2%194.7K-5.9M-83.3K0.6430.521,28682710,2725,189
2017-08-03$43.00$45.0041.7%13.5%30.0%26.9%49.1%3.1%-3.0%208.6K-6.9M-81.0K1.2223.6267281810,1215,228
2017-08-04$42.20$45.0041.6%13.9%27.7%26.8%48.0%3.6%-2.6%122.3K-4.4M-77.3K0.5721.621,33375610,2205,294
2017-08-07$43.44$45.0045.6%14.5%29.6%33.4%51.2%3.3%-4.8%296.7K-9.3M-82.0K0.6222.263,0851,90010,5355,291
2017-08-08$42.76$45.0042.2%14.2%30.1%27.8%49.7%1.8%-3.5%342.7K-8.6M-92.8K0.3223.892,76088513,0036,433
2017-08-09$42.35$45.0049.9%14.3%29.9%42.9%49.6%4.0%-3.6%698.9K-8.6M-93.1K0.7121.301,19084315,1496,429
2017-08-10$41.08$45.0051.5%14.8%31.3%45.8%52.3%4.1%-2.6%398.1K-2.1M-85.5K0.7824.821,3441,05315,8086,434
2017-08-11$41.07$45.0048.6%13.9%31.2%40.5%50.9%4.0%-2.7%255.2K-660.7K-84.1K0.8521.811,2911,09115,8816,609
2017-08-14$41.96$45.0050.5%14.5%32.5%43.9%51.3%3.8%-3.1%528.9K-6.5M-83.6K1.4626.937591,10615,8966,466
2017-08-15$41.62$44.0050.1%14.4%32.6%43.2%49.8%4.8%-2.9%69.5K-2.3M-77.0K0.7626.102,5511,94815,9976,565
2017-08-16$41.81$42.0050.6%14.5%32.1%44.1%50.9%4.7%-4.6%198.2K-6.3M-83.8K0.7837.342,5251,97917,9846,488
2017-08-17$40.60$42.0052.5%15.0%33.2%47.5%53.6%4.9%-4.9%-285.0K1.8M-76.3K0.7139.084,3173,08317,9986,575
2017-08-18$40.21$42.0054.1%15.5%33.1%50.3%53.0%5.2%-6.4%250.3K3.0M-78.4K0.4641.184,3531,98417,9386,906
2017-08-21$39.62$42.0054.6%15.7%31.0%51.3%54.4%5.0%-7.4%316.2K-2.4M-70.5K0.5131.162,4761,25812,2804,513
2017-08-22$36.97$42.0043.0%12.3%37.8%30.5%44.8%6.0%-0.1%-13.2K5.9M-53.0K0.4032.012,14385713,1775,251
2017-08-23$38.28$41.0041.7%12.0%41.2%28.4%41.9%4.3%-0.8%125.1K1.7M-63.3K0.2859.212,41466413,5085,442
2017-08-24$39.33$39.0041.1%11.8%42.8%27.3%41.2%4.5%2.4%337.6K-3.0M-70.5K0.2653.142,33561514,3215,508
2017-08-25$38.60$39.0039.9%11.4%42.9%25.0%40.9%2.8%0.0%211.9K-200.9K-64.6K0.3024.222,06062114,2565,554
2017-08-28$38.64$39.0040.9%11.7%42.9%26.8%42.2%3.4%-0.5%180.8K283.0K-59.4K0.3023.571,86355814,2445,581
2017-08-29$38.58$39.0040.8%11.7%42.8%26.8%42.8%3.1%-0.1%137.3K1.1M-57.7K0.3122.891,86758114,2675,598
2017-08-30$39.03$39.0040.3%11.5%38.5%25.8%41.2%3.3%0.2%181.3K-242.2K-57.3K0.7919.701,3931,09914,2675,614
2017-08-31$38.83$39.0040.0%11.5%38.0%25.3%39.2%2.1%0.3%150.3K287.0K-56.1K0.3624.561,43952014,2875,616