FN Options History — January 2018

In January 2018, FN traded between $24.84 and $29.85. ATM implied volatility averaged 49.5%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 24.7% (HV 20d: 24.8%). Max pain ranged from $27.00 to $32.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-01-22: Highest Volume — 4,836 contracts
  • 2018-01-10: Largest IV spike — 37.1% change
  • 2018-01-31: Highest IV Rank — 89.5%
  • 2018-01-31: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.71$24.84$29.85$29.07$24.84
Max Pain$28.90$27.00$32.00$32.00$27.00
ATM IV49.5%34.1%65.4%35.9%65.4%
Expected Move14.9%10.2%18.7%10.3%18.7%
HV 20d24.8%18.7%35.3%18.7%34.5%
HV 60d38.2%35.0%41.0%37.1%35.0%
IV Rank44.9%1.6%89.5%6.9%89.5%
IV Percentile67.4%1.6%99.2%15.9%99.2%
Term Structure-6.6%-14.7%10.9%9.7%-14.7%
VWIV51.6%36.0%65.1%36.0%65.1%
Skew 25d5.1%3.3%6.4%3.6%3.3%
Skew 10d10.3%6.3%12.7%11.9%9.7%
Call IV 25d49.9%34.1%65.1%34.7%65.1%
Put IV 25d55.0%38.3%68.4%38.3%68.4%
Bid-Ask Spread %16.1110.9023.3610.9014.43
Gamma HHI0.250.130.410.130.27
Net GEX-77.2K-192.5K21.3K11.0K-182.2K
Net DEX2.8M617.9K6.5M996.5K6.5M
Net VEX-37.6K-52.6K-25.9K-25.9K-52.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.232.280.461.33
Total Volume2,887.4292,0634,8362,9682,118
Total OI8,914.5245,08710,9197,49510,919

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$29.07$32.0035.9%10.3%18.7%6.9%36.0%3.6%9.7%11.0K996.5K-25.9K0.4610.902,0289405,3642,131
2018-01-03$28.99$32.0035.6%10.2%18.7%6.0%36.3%4.6%10.9%-2.7K1.4M-29.9K0.4311.452,2109525,4432,596
2018-01-04$29.29$29.0035.1%13.4%18.8%4.5%46.5%5.9%-4.6%8.0K1.0M-32.3K0.2315.162,1764995,6432,616
2018-01-05$29.30$29.0034.1%13.5%18.9%1.6%45.9%6.0%-5.2%8.2K1.0M-32.6K0.2613.872,1965635,7012,670
2018-01-08$29.85$29.0034.3%13.6%20.2%2.2%47.6%5.5%-6.0%21.3K617.9K-33.3K0.3915.342,3529105,7392,705
2018-01-09$29.35$29.0034.8%13.6%20.1%3.6%47.1%5.0%-5.9%-18.0K1.2M-33.6K0.3316.482,3667765,8283,015
2018-01-10$29.17$29.0047.6%13.7%19.9%39.8%47.5%5.2%-5.7%-39.3K1.5M-34.4K0.3317.062,3507695,8503,201
2018-01-11$29.44$29.0048.2%13.8%20.3%41.4%47.6%5.2%-6.2%-32.0K1.2M-34.6K0.2918.082,1686365,8763,274
2018-01-12$29.08$29.0048.1%13.8%20.6%41.0%47.6%4.7%-6.6%-57.9K1.7M-34.1K0.3215.902,2537295,8813,309
2018-01-16$28.95$30.0050.1%14.4%18.7%46.7%49.2%4.3%-7.7%-80.2K1.8M-32.9K0.3220.712,3447585,8893,329
2018-01-17$29.09$30.0050.8%14.6%18.7%48.6%49.9%5.2%-8.9%-68.6K1.5M-34.2K0.3315.272,2847585,9643,377
2018-01-18$28.69$30.0050.7%14.6%18.8%48.5%50.4%5.7%-7.9%-139.4K1.7M-34.2K0.3415.212,2677756,0413,364
2018-01-19$27.68$30.0051.9%14.9%21.7%51.7%52.3%5.4%-9.0%-10.1K3.1M-32.7K0.4515.572,3341,0516,0773,329
2018-01-22$26.00$30.0057.1%16.4%29.8%66.2%55.6%4.7%-7.5%-22.1K1.5M-30.9K2.2822.161,4733,3632,7082,379
2018-01-23$26.40$28.0058.5%16.8%30.8%70.1%58.8%6.1%-9.3%-165.7K4.1M-44.3K1.0413.711,1241,1713,4825,007
2018-01-24$25.30$27.0058.8%16.9%33.4%71.2%58.0%5.4%-8.9%-148.1K5.0M-42.8K0.8412.281,2711,0623,8014,990
2018-01-25$25.31$27.0059.1%17.0%32.8%72.0%59.1%6.4%-9.4%-154.5K5.0M-44.2K1.1915.611,0301,2243,9715,121
2018-01-26$25.94$27.0055.8%16.0%34.4%62.7%55.8%3.4%-10.5%-169.2K4.3M-46.3K2.1523.361,0102,1694,0095,236
2018-01-29$25.12$27.0063.0%18.1%35.3%82.7%62.4%5.3%-12.6%-192.5K6.5M-51.8K1.3521.188781,1854,0876,483
2018-01-30$25.03$27.0063.8%18.3%35.3%85.2%64.2%5.7%-13.5%-187.5K6.4M-52.6K1.2714.599321,1824,2656,535
2018-01-31$24.84$27.0065.4%18.7%34.5%89.5%65.1%3.3%-14.7%-182.2K6.5M-52.1K1.3314.439091,2094,3876,532