FN Options History — March 2018

In March 2018, FN traded between $30.16 and $33.82. ATM implied volatility averaged 37.3%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 3.1% (HV 20d: 40.4%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2018-03-01: Highest Volume — 1,638 contracts
  • 2018-03-12: Largest IV spike — 35.6% change
  • 2018-03-12: Highest IV Rank — 25.4%
  • 2018-03-28: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.28$30.16$33.82$30.16$31.44
Max Pain$30.33$27.00$31.00$27.00$31.00
ATM IV37.3%32.4%43.9%39.9%36.7%
Expected Move10.4%9.7%11.6%11.4%10.5%
HV 20d40.4%27.4%82.4%82.4%32.9%
HV 60d54.1%53.2%55.2%53.2%55.2%
IV Rank10.1%0.0%25.4%14.5%9.4%
IV Percentile24.5%0.0%67.1%38.9%21.4%
Term Structure5.5%-3.1%10.2%-3.1%10.1%
VWIV36.4%31.5%40.8%39.6%37.5%
Skew 25d4.5%2.7%6.0%4.6%3.9%
Skew 10d12.3%7.5%24.3%12.4%10.9%
Call IV 25d34.2%31.0%37.3%37.3%35.7%
Put IV 25d38.7%35.7%42.2%41.9%39.6%
Bid-Ask Spread %61.0845.4273.6153.8870.79
Gamma HHI0.120.090.170.170.10
Net GEX112.3K9.7K196.5K128.4K33.6K
Net DEX-6.3M-9.5M-2.6M-4.2M-3.7M
Net VEX-46.9K-50.7K-44.3K-50.7K-44.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.480.920.480.77
Total Volume1,346.9521,0541,6381,6381,086
Total OI8,531.9057,5359,1888,7078,117

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$30.16$27.0039.9%11.4%82.4%14.5%39.6%4.6%-3.1%128.4K-4.2M-50.7K0.4853.881,1075315,1133,594
2018-03-02$30.92$27.0038.5%11.0%82.3%11.5%31.5%5.2%-1.4%148.2K-5.1M-50.2K0.6864.998685905,1333,612
2018-03-05$30.99$30.0039.5%10.6%81.7%13.6%37.8%4.0%4.5%156.3K-5.4M-49.1K0.6845.429306325,1483,552
2018-03-06$31.97$30.0036.7%10.2%80.3%7.3%35.8%5.7%4.0%166.6K-6.9M-48.6K0.6854.899236255,1923,600
2018-03-07$32.38$30.0039.2%10.4%31.3%13.0%36.3%3.8%3.8%163.0K-7.5M-48.3K0.6752.318835955,2193,587
2018-03-08$32.76$30.0036.3%10.2%31.3%6.3%35.7%4.9%4.3%166.1K-8.1M-48.2K0.6352.929095775,2433,612
2018-03-09$33.82$30.0032.4%9.9%31.2%0.0%34.1%3.8%4.9%139.8K-9.5M-46.9K0.6349.019065705,2633,611
2018-03-12$32.65$30.0043.9%10.2%34.6%25.4%37.2%2.7%3.8%196.5K-8.0M-47.1K0.7248.448005775,3253,631
2018-03-13$32.61$31.0041.7%10.2%31.6%20.5%36.3%4.5%3.9%185.2K-8.1M-46.6K0.7457.368956605,3293,718
2018-03-14$32.48$31.0035.7%10.2%31.8%7.2%35.9%4.2%3.8%186.0K-8.0M-47.1K0.7556.978786555,4483,740
2018-03-15$33.00$31.0034.8%10.0%31.7%5.3%35.2%4.0%3.6%166.4K-8.9M-46.2K0.7656.598226275,4433,741
2018-03-16$33.27$31.0033.7%9.7%31.7%2.9%34.4%4.7%4.8%41.2K-9.4M-45.9K0.7859.148046285,4413,741
2018-03-19$33.11$31.0037.1%10.6%31.3%10.4%36.0%5.0%5.7%37.7K-5.3M-45.7K0.5064.409884974,0893,446
2018-03-20$33.34$31.0034.2%9.8%29.6%4.0%34.3%3.5%8.5%83.1K-5.9M-46.9K0.8065.686525214,4723,490
2018-03-21$33.65$31.0033.8%9.7%28.5%3.0%35.9%5.8%10.0%102.0K-6.5M-46.3K0.8268.676004904,5603,473
2018-03-22$33.43$31.0035.3%10.1%27.4%6.3%35.1%3.9%9.1%101.2K-6.3M-45.7K0.8773.615935154,6103,478
2018-03-23$32.67$31.0035.3%10.1%27.9%6.5%37.3%6.0%10.2%72.9K-5.1M-46.6K0.9271.945935444,6203,505
2018-03-26$31.69$31.0037.1%10.6%28.4%10.3%38.9%4.9%9.2%45.6K-4.1M-45.0K0.7769.236184784,6223,471
2018-03-27$31.21$31.0040.3%11.6%29.0%17.4%40.8%5.3%7.0%29.7K-3.4M-44.9K0.8772.865694964,6143,478
2018-03-28$30.39$31.0040.4%11.6%30.6%17.7%39.0%5.1%8.9%9.7K-2.6M-44.4K0.8073.575864684,6143,475
2018-03-29$31.44$31.0036.7%10.5%32.9%9.4%37.5%3.9%10.1%33.6K-3.7M-44.3K0.7770.796134734,6353,482