FN Options History — September 2017

In September 2017, FN traded between $34.82 and $38.71. ATM implied volatility averaged 37.4%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 7.1% (HV 20d: 30.3%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-09-12: Highest Volume — 3,271 contracts
  • 2017-09-05: Largest IV spike — 12.6% change
  • 2017-09-05: Highest IV Rank — 32.5%
  • 2017-09-05: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.25$34.82$38.71$38.71$37.06
Max Pain$38.75$37.00$40.00$39.00$37.00
ATM IV37.4%33.8%44.3%39.4%33.8%
Expected Move10.6%9.7%12.0%11.3%9.7%
HV 20d30.3%19.3%37.7%37.7%27.0%
HV 60d40.0%30.0%46.5%46.5%31.7%
IV Rank19.8%4.9%32.5%24.1%4.9%
IV Percentile23.6%1.6%64.7%33.7%1.6%
Term Structure5.0%1.1%8.8%1.1%8.8%
VWIV36.7%33.2%41.7%39.5%33.2%
Skew 25d3.1%1.3%4.5%4.0%2.8%
Skew 10d6.6%3.6%9.9%6.4%4.6%
Call IV 25d36.1%33.0%40.3%37.8%33.0%
Put IV 25d39.2%35.7%44.8%41.8%35.7%
Bid-Ask Spread %27.0316.4550.9628.8716.45
Gamma HHI0.220.120.570.150.24
Net GEX198.6K-346.3K1.4M121.2K335.6K
Net DEX991.0K-2.7M7.6M597.0K-2.7M
Net VEX-37.2K-53.1K-29.7K-53.1K-35.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.241.521.260.82
Total Volume1,498.559833,2711,0291,168
Total OI17,118.111,74623,13719,95913,692

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$38.71$39.0039.4%11.3%37.7%24.1%39.5%4.0%1.1%121.2K597.0K-53.1K1.2628.8745657314,3275,632
2017-09-05$37.97$40.0044.3%12.0%35.9%32.5%41.7%4.5%1.9%-23.6K3.7M-45.9K1.3331.0643357614,3445,642
2017-09-06$38.10$40.0042.8%11.7%35.9%29.8%41.1%4.2%2.3%-40.2K3.2M-46.0K1.5223.1539960614,3415,652
2017-09-07$37.66$40.0041.9%11.7%35.9%28.1%41.1%3.9%3.5%-137.6K5.4M-41.4K1.4224.0241959314,3445,704
2017-09-08$37.43$40.0040.7%11.8%34.8%26.1%40.7%3.7%2.8%-193.3K6.1M-38.7K1.0524.5354457114,3785,701
2017-09-11$37.76$40.0042.1%11.4%35.1%28.6%39.7%3.2%2.0%-346.3K5.2M-36.0K0.2440.482,62362014,4415,475
2017-09-12$38.21$40.0039.4%11.0%34.3%23.8%38.0%3.3%3.0%295.3K-276.3K-39.5K0.2536.472,62364816,5405,594
2017-09-13$38.29$40.0037.2%10.7%34.3%19.9%37.0%2.3%3.2%280.7K-730.0K-37.3K0.4428.711,54967416,4735,628
2017-09-14$37.87$40.0036.0%10.3%34.3%17.7%36.3%3.2%4.7%1.4M1.9M-35.9K0.6123.041,11568217,4985,639
2017-09-15$37.84$40.0035.7%10.2%33.0%17.1%36.0%3.5%4.1%158.8K7.6M-32.0K0.9121.021,1811,07517,4835,615
2017-09-18$38.15$40.0035.5%10.2%33.2%16.8%34.9%3.5%4.7%154.4K-1.3M-33.9K0.6730.278675809,6612,085
2017-09-19$37.92$40.0034.0%9.7%32.9%14.0%34.7%2.6%6.7%195.4K-1.6M-35.3K0.4750.961,21557210,0542,143
2017-09-20$36.80$37.0034.6%9.9%24.1%15.1%34.1%3.7%7.4%277.5K-2.0M-35.8K1.0432.3950252111,0832,155
2017-09-21$35.80$37.0035.5%10.2%22.1%16.8%33.6%2.3%6.5%228.0K-625.4K-33.4K0.9218.2351147211,1972,198
2017-09-22$35.95$37.0034.6%9.9%19.3%15.1%33.6%2.9%6.8%237.5K-784.4K-33.3K0.8923.6654448311,2232,234
2017-09-25$34.82$37.0036.6%10.5%21.1%18.8%35.5%1.8%7.0%176.8K680.5K-29.7K0.8524.4959650411,2252,240
2017-09-26$35.22$37.0035.7%10.2%21.8%17.1%34.9%1.3%8.0%219.0K-149.9K-31.9K0.9121.7458152811,2692,218
2017-09-27$36.70$37.0034.1%9.8%27.2%14.2%33.4%2.7%7.5%294.7K-2.1M-34.5K0.7721.2068452611,3102,233
2017-09-28$36.78$37.0034.5%9.9%26.7%14.9%34.1%2.5%8.1%320.1K-2.3M-35.3K0.8419.8762952811,4732,218
2017-09-29$37.06$37.0033.8%9.7%27.0%4.9%33.2%2.8%8.8%335.6K-2.7M-35.0K0.8216.4564052811,4692,223