FN Options History — November 2017

In November 2017, FN traded between $28.90 and $35.89. ATM implied volatility averaged 42.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 10.9% (HV 20d: 53.5%). Max pain ranged from $31.00 to $37.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2017-11-06: Highest Volume — 3,731 contracts
  • 2017-11-07: Largest IV drop — 36.8% change
  • 2017-11-06: Highest IV Rank — 64.8%
  • 2017-11-01: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.88$28.90$35.89$35.89$31.89
Max Pain$32.14$31.00$37.00$37.00$31.00
ATM IV42.6%34.8%64.9%54.5%38.6%
Expected Move11.6%10.0%15.6%15.6%11.1%
HV 20d53.5%19.0%59.9%19.0%59.4%
HV 60d38.1%28.3%41.1%28.3%39.0%
IV Rank21.7%3.8%64.8%43.2%14.4%
IV Percentile43.5%5.6%98.4%93.3%32.1%
Term Structure-1.8%-11.0%1.7%-11.0%-1.9%
VWIV41.4%36.7%54.9%54.9%38.7%
Skew 25d4.0%2.6%5.7%4.3%3.7%
Skew 10d9.5%3.8%17.8%9.2%17.8%
Call IV 25d38.7%33.4%53.0%53.0%36.6%
Put IV 25d42.8%36.6%57.3%57.3%40.3%
Bid-Ask Spread %31.6517.0856.4956.4924.36
Gamma HHI0.170.070.250.100.18
Net GEX68.9K-172.8K152.6K152.6K113.1K
Net DEX-542.9K-5.0M5.6M-1.7M-597.1K
Net VEX-26.2K-30.7K-19.3K-27.6K-27.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.341.390.930.57
Total Volume2,008.8571,0843,7311,0841,696
Total OI9,044.0486,31711,7096,3178,149

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$35.89$37.0054.5%15.6%19.0%43.2%54.9%4.3%-11.0%152.6K-1.7M-27.6K0.9356.495635214,8561,461
2017-11-02$32.34$36.0058.8%13.1%40.8%52.1%45.5%4.1%-3.4%43.1K1.2M-20.2K0.6920.068255704,8971,458
2017-11-03$32.23$36.0059.2%13.4%40.6%52.9%46.5%5.7%-5.6%36.5K1.4M-19.5K0.4437.671,3105774,9611,519
2017-11-06$31.68$35.0064.9%13.6%40.5%64.8%47.2%4.4%-6.3%34.7K1.6M-23.1K1.3937.211,5582,1735,2951,735
2017-11-07$28.90$34.0041.0%11.5%50.1%15.6%39.8%3.8%-0.6%-172.8K5.6M-19.3K0.3444.752,5378725,9593,223
2017-11-08$30.64$32.0038.5%11.0%56.1%14.1%39.2%3.5%-1.3%77.9K271.3K-27.6K1.0242.121,3451,3717,5683,104
2017-11-09$30.81$31.0040.0%11.5%56.3%18.2%41.3%4.5%-1.1%38.4K60.5K-27.5K1.0145.061,1091,1207,7263,551
2017-11-10$31.11$31.0040.3%11.6%56.7%19.3%40.7%3.7%-0.2%59.2K-1.2M-27.6K0.8818.211,0349157,7443,643
2017-11-13$31.46$31.0040.6%11.6%56.9%19.9%41.2%3.8%-0.6%67.6K-1.9M-26.5K0.8619.029378107,7843,666
2017-11-14$30.62$31.0041.4%11.9%57.3%22.1%41.6%3.8%-1.0%3.8K409.1K-25.2K0.8717.089788527,8443,865
2017-11-15$31.11$31.0041.9%12.0%57.5%23.5%42.8%5.1%-1.1%-21.3K-824.0K-25.2K0.8519.229548107,7843,888
2017-11-16$31.81$31.0038.3%11.0%58.6%13.4%39.3%4.2%-0.2%115.2K-3.1M-24.8K0.8418.489337807,7893,834
2017-11-17$32.15$31.0037.3%10.7%58.8%10.7%37.8%3.4%0.0%85.5K-5.0M-23.9K0.7744.301,7741,3587,8213,857
2017-11-20$31.96$31.0036.3%10.4%58.6%7.9%36.7%4.3%1.1%71.7K-286.0K-26.7K0.5949.361,1356744,9332,063
2017-11-21$32.75$31.0035.6%10.2%59.5%5.9%38.2%3.3%1.7%116.4K-1.5M-30.1K0.7725.918566615,3862,376
2017-11-22$32.77$31.0034.8%10.0%59.6%3.8%38.1%2.6%0.3%130.6K-1.6M-29.9K0.5637.751,1696565,4732,407
2017-11-24$32.72$31.0036.0%10.3%59.6%7.0%38.3%4.3%0.7%137.0K-1.7M-30.7K0.5740.801,1596605,6232,421
2017-11-27$32.36$31.0037.6%10.8%58.6%11.7%39.0%3.2%-1.1%127.4K-1.2M-29.8K0.9719.958568275,6292,427
2017-11-28$32.71$31.0037.4%10.7%58.9%10.9%39.7%3.5%-1.9%147.0K-1.6M-29.6K0.9923.038528465,6492,440
2017-11-29$31.50$31.0041.9%12.0%59.9%23.6%41.9%5.4%-4.3%83.0K207.8K-27.5K0.7323.778996545,6612,456
2017-11-30$31.89$31.0038.6%11.1%59.4%14.4%38.7%3.7%-1.9%113.1K-597.1K-27.9K0.5724.361,0816155,7002,449