FN Options History — December 2017

In December 2017, FN traded between $28.48 and $31.42. ATM implied volatility averaged 39.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 12.3% (HV 20d: 26.8%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2017-12-27: Highest Volume — 2,900 contracts
  • 2017-12-11: Largest IV spike — 22.6% change
  • 2017-12-11: Highest IV Rank — 40.6%
  • 2017-12-01: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.88$28.48$31.42$31.42$28.70
Max Pain$33.55$31.00$35.00$31.00$32.00
ATM IV39.0%34.1%47.9%42.4%35.1%
Expected Move10.7%9.8%12.2%12.2%10.1%
HV 20d26.8%17.9%47.0%47.0%17.9%
HV 60d38.3%36.8%39.1%39.1%36.9%
IV Rank15.6%1.6%40.6%25.1%4.5%
IV Percentile34.6%1.6%79.8%60.7%7.9%
Term Structure5.8%-4.1%9.9%-4.1%9.5%
VWIV36.9%33.8%41.8%41.8%34.6%
Skew 25d4.6%3.3%8.5%3.7%4.0%
Skew 10d8.6%5.3%10.5%8.1%8.0%
Call IV 25d35.1%31.9%39.1%39.1%32.9%
Put IV 25d39.7%36.6%42.8%42.8%36.9%
Bid-Ask Spread %22.086.6944.0038.0611.98
Gamma HHI0.160.060.540.140.12
Net GEX-14.2K-197.3K62.7K62.7K8.8K
Net DEX1.6M325.1K3.1M325.1K1.1M
Net VEX-22.4K-26.7K-19.6K-26.7K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.200.960.690.30
Total Volume1,886.31,2862,9001,4892,601
Total OI7,464.56,2368,1808,0007,323

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$31.42$31.0042.4%12.2%47.0%25.1%41.8%3.7%-4.1%62.7K325.1K-26.7K0.6938.068806095,5362,464
2017-12-04$31.29$35.0043.7%11.1%47.0%28.7%37.1%4.5%4.0%54.1K547.7K-25.6K0.7016.088796115,5412,465
2017-12-05$30.84$35.0043.9%10.8%46.9%29.4%37.8%3.3%3.9%33.0K1.1M-24.5K0.6420.339586105,5512,467
2017-12-06$30.79$35.0042.4%10.7%32.5%25.1%37.0%4.3%4.6%12.6K1.3M-24.0K0.5821.829195325,5392,491
2017-12-07$30.60$35.0042.4%10.8%25.2%25.0%37.8%4.7%4.1%-12.3K1.8M-23.8K0.6044.009035425,5292,590
2017-12-08$30.05$35.0039.1%10.8%25.9%15.8%38.1%3.4%5.3%-56.0K2.6M-22.9K0.5618.679235165,5412,639
2017-12-11$30.25$35.0047.9%11.2%25.7%40.6%38.2%4.9%2.6%-71.3K2.4M-22.1K0.4919.401,0285085,5492,600
2017-12-12$30.21$35.0044.1%11.3%25.3%29.9%38.6%4.9%2.5%-119.0K2.7M-21.5K0.5315.128664565,4422,620
2017-12-13$30.34$35.0038.9%11.2%23.6%15.3%37.6%4.7%1.9%-158.3K2.5M-21.4K0.7129.028856305,4622,617
2017-12-14$29.58$34.0038.0%10.9%24.3%12.7%37.7%5.2%3.6%-197.3K3.1M-19.6K0.5518.568834855,4672,485
2017-12-15$29.71$34.0039.2%11.2%22.7%16.1%37.8%4.2%3.5%7.0K2.9M-20.4K0.9638.858818485,4772,329
2017-12-18$29.98$34.0035.3%10.1%22.5%5.0%34.4%8.5%9.9%4.3K1.3M-19.8K0.3736.851,1224184,4971,739
2017-12-19$29.46$33.0036.5%10.5%23.1%8.5%35.2%3.6%9.1%26.5K1.2M-20.2K0.5121.918534334,7311,718
2017-12-20$29.73$33.0036.1%10.4%21.1%7.4%36.0%4.7%8.0%26.9K1.1M-20.1K0.2423.231,9004524,7561,722
2017-12-21$29.58$32.0034.8%10.0%21.0%3.7%33.8%3.5%9.5%28.1K1.1M-20.9K0.2431.651,9104534,8431,748
2017-12-22$29.22$32.0034.1%9.8%21.1%1.6%34.6%4.1%9.8%19.1K1.3M-20.0K0.209.462,2774554,8551,753
2017-12-26$28.48$32.0037.4%10.7%22.2%11.0%38.1%4.9%9.0%15.3K1.1M-22.7K0.2210.262,2614895,2251,769
2017-12-27$28.57$32.0034.6%9.9%21.6%3.3%36.0%4.8%9.9%15.7K1.1M-22.6K0.269.662,3045965,2361,769
2017-12-28$28.85$32.0034.8%10.0%19.0%3.7%36.2%5.3%9.4%15.7K925.4K-24.1K0.266.692,2655855,3131,892
2017-12-29$28.70$32.0035.1%10.1%17.9%4.5%34.6%4.0%9.5%8.8K1.1M-24.7K0.3011.981,9996025,3132,010