FN Options History — October 2017

In October 2017, FN traded between $36.48 and $38.13. ATM implied volatility averaged 42.7%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 18.4% (HV 20d: 24.3%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2017-10-23: Highest Volume — 1,721 contracts
  • 2017-10-11: Largest IV spike — 19.4% change
  • 2017-10-30: Highest IV Rank — 40.8%
  • 2017-10-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.14$36.48$38.13$38.13$37.20
Max Pain$36.23$35.00$37.00$37.00$37.00
ATM IV42.7%33.5%53.3%35.1%51.9%
Expected Move12.7%10.0%15.3%10.1%14.9%
HV 20d24.3%14.4%29.1%29.1%14.4%
HV 60d30.5%27.6%31.4%31.4%27.6%
IV Rank20.2%3.7%40.8%7.5%38.1%
IV Percentile51.6%0.8%90.9%7.5%90.5%
Term Structure-4.1%-9.9%7.5%6.4%-9.6%
VWIV44.2%33.8%54.0%33.8%54.0%
Skew 25d4.2%2.1%6.4%2.3%4.0%
Skew 10d9.1%4.3%15.3%15.3%4.3%
Call IV 25d42.3%33.5%50.6%34.0%50.5%
Put IV 25d46.5%35.6%56.1%36.4%54.5%
Bid-Ask Spread %31.3215.4647.4616.4340.46
Gamma HHI0.260.110.660.200.12
Net GEX331.9K84.6K667.4K390.2K219.7K
Net DEX-2.6M-4.6M-332.6K-4.6M-3.2M
Net VEX-29.5K-36.3K-24.8K-36.3K-30.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.311.310.691.06
Total Volume1,136.5457841,7211,162952
Total OI11,181.0454,54814,02513,6926,239

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$38.13$37.0035.1%10.1%29.1%7.5%33.8%2.3%6.4%390.2K-4.6M-36.3K0.6916.4368747511,4692,223
2017-10-03$37.87$37.0035.5%10.2%28.4%7.8%35.1%2.1%7.3%367.5K-4.0M-34.9K0.8217.2260549711,5202,225
2017-10-04$37.67$37.0035.0%10.0%28.4%6.7%34.0%2.1%7.5%378.3K-3.7M-34.1K0.8115.4662951011,5462,245
2017-10-05$37.45$35.0034.3%12.3%28.2%5.4%42.6%4.2%-4.3%376.1K-3.2M-33.0K0.9019.9460654511,5172,241
2017-10-06$37.64$36.0033.5%11.9%28.1%3.7%42.1%3.0%-3.5%398.9K-3.8M-32.8K1.0620.6155258511,5042,205
2017-10-09$37.79$36.0035.6%12.3%28.0%7.9%43.4%4.5%-4.1%402.3K-3.9M-32.2K1.1020.2355861211,5262,289
2017-10-10$37.49$36.0035.6%12.4%27.8%8.0%43.2%3.6%-4.5%420.1K-3.4M-31.5K1.1324.8054661811,5352,271
2017-10-11$37.02$36.0042.6%12.2%28.1%18.8%43.3%4.2%-4.0%408.8K-2.4M-30.1K1.1822.9053362811,5732,280
2017-10-12$36.96$36.0042.9%12.3%27.8%19.4%43.6%3.6%-4.7%423.1K-2.4M-29.4K1.2731.7850964611,5662,227
2017-10-13$36.48$36.0045.3%13.0%28.2%24.4%46.6%6.1%-5.5%372.6K-1.6M-28.1K1.3134.3750265911,5592,252
2017-10-16$36.74$36.0044.4%12.7%28.1%22.5%45.6%4.4%-4.9%438.4K-1.6M-27.4K1.0333.7853855311,5962,369
2017-10-17$36.49$35.0045.7%13.1%28.1%25.2%45.3%5.4%-6.4%444.5K-1.3M-26.1K1.0135.5353153711,6202,306
2017-10-18$36.87$36.0044.6%12.8%26.4%23.0%45.2%4.7%-5.7%621.1K-2.2M-26.6K1.1436.5352860011,6472,290
2017-10-19$36.56$36.0044.6%12.8%24.5%22.9%45.0%4.2%-5.6%667.4K-1.2M-25.6K0.8843.7058251111,6512,295
2017-10-20$36.62$35.0044.1%12.7%24.5%21.9%45.0%4.8%-6.3%84.6K-332.6K-24.8K0.8242.3056746711,7262,299
2017-10-23$36.93$35.0044.4%12.7%21.3%22.5%44.4%4.1%-3.9%91.2K-1.6M-24.8K0.3747.461,2524693,4451,103
2017-10-24$37.08$37.0045.8%13.1%21.1%25.4%45.6%3.6%-5.5%163.1K-2.7M-28.2K0.5829.526984054,2031,220
2017-10-25$36.77$37.0047.6%13.7%15.7%29.2%48.0%4.4%-6.8%163.8K-2.5M-28.9K0.3332.061,0213394,3461,249
2017-10-26$36.49$37.0049.0%14.0%15.9%31.9%47.7%4.6%-7.1%138.1K-1.8M-27.0K0.8242.234403614,1691,292
2017-10-27$37.37$37.0049.0%14.0%17.9%31.9%47.9%6.4%-8.3%164.3K-2.7M-28.8K0.6943.104653194,2151,317
2017-10-30$37.38$37.0053.3%15.3%14.5%40.8%50.5%5.5%-9.9%167.9K-2.9M-29.0K0.3138.721,0443234,2961,317
2017-10-31$37.20$37.0051.9%14.9%14.4%38.1%54.0%4.0%-9.6%219.7K-3.2M-30.2K1.0640.464624904,9081,331