FN Options History — May 2018

In May 2018, FN traded between $29.60 and $37.52. ATM implied volatility averaged 40.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.1% (HV 20d: 45.7%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2018-05-07: Highest Volume — 4,262 contracts
  • 2018-05-08: Largest IV drop — 43.6% change
  • 2018-05-07: Highest IV Rank — 87.2%
  • 2018-05-02: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.18$29.60$37.52$29.60$35.20
Max Pain$30.32$30.00$31.00$30.00$31.00
ATM IV40.6%31.8%71.9%56.2%35.8%
Expected Move10.9%9.1%16.6%16.1%10.3%
HV 20d45.7%33.5%59.7%52.7%36.7%
HV 60d43.0%39.9%58.9%58.9%41.6%
IV Rank18.4%0.0%87.2%52.5%8.8%
IV Percentile29.1%0.0%99.6%92.9%19.8%
Term Structure-2.0%-11.3%1.1%-11.3%-1.4%
VWIV37.5%27.6%53.1%53.1%36.2%
Skew 25d3.8%1.1%6.5%6.2%5.7%
Skew 10d10.8%-2.3%32.1%24.3%7.5%
Call IV 25d36.1%28.3%60.3%52.8%33.3%
Put IV 25d40.0%32.4%61.4%59.0%39.0%
Bid-Ask Spread %28.8318.1249.2737.7220.87
Gamma HHI0.120.080.160.100.11
Net GEX238.8K4.8K352.1K4.8K253.2K
Net DEX-10.6M-17.2M-1.8M-1.8M-8.7M
Net VEX-36.7K-41.2K-33.2K-37.0K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.280.770.390.64
Total Volume2,855.7272,0384,2622,3323,382
Total OI8,411.0456,4459,9767,6387,852

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$29.60$30.0056.2%16.1%52.7%52.5%53.1%6.2%-11.3%4.8K-1.8M-37.0K0.3937.721,6826504,3023,336
2018-05-02$30.79$30.0058.0%16.6%54.5%56.5%51.9%1.1%-9.5%50.1K-3.1M-38.2K0.3341.051,7215684,3543,351
2018-05-03$31.30$30.0059.3%13.1%54.9%59.3%46.0%6.5%-4.2%86.8K-4.3M-40.3K0.3020.871,8765684,8123,367
2018-05-04$32.48$30.0061.0%13.6%55.8%63.1%47.4%6.5%-6.1%118.3K-5.7M-41.2K0.3949.271,4715674,8173,367
2018-05-07$33.12$30.0071.9%13.9%56.1%87.2%48.7%4.4%-4.1%136.0K-6.5M-40.5K0.2847.583,3329304,8413,380
2018-05-08$35.45$30.0040.6%10.6%59.7%18.0%39.1%4.8%-0.9%352.1K-13.6M-38.8K0.4218.122,2999776,4003,289
2018-05-09$35.86$30.0036.1%10.4%57.6%8.2%39.4%2.8%-2.7%334.1K-14.3M-37.9K0.5245.762,2281,1576,3743,328
2018-05-10$35.50$30.0036.1%10.4%57.8%8.3%37.2%4.2%-1.5%351.0K-14.0M-37.9K0.6219.001,8371,1406,4563,048
2018-05-11$35.52$30.0033.7%9.7%57.8%2.9%36.8%3.6%-0.1%323.9K-13.8M-36.7K0.6519.531,7991,1626,3103,052
2018-05-14$36.15$30.0035.7%10.2%42.7%7.2%35.7%3.1%-0.6%295.8K-14.9M-35.7K0.6221.871,9301,1896,3793,087
2018-05-15$35.68$30.0035.9%10.3%42.6%7.7%34.7%3.1%-0.9%319.8K-14.3M-37.6K0.4731.602,4911,1736,5483,136
2018-05-16$36.67$30.0034.0%9.7%43.2%3.5%34.7%3.8%0.4%267.6K-17.2M-34.8K0.4820.542,4601,1766,8563,120
2018-05-17$36.66$30.0035.2%10.1%40.4%6.2%35.0%3.7%-0.4%246.5K-14.5M-35.0K0.5624.572,0941,1776,1203,120
2018-05-18$36.55$30.0033.6%9.6%40.4%2.6%34.8%2.9%0.5%161.0K-14.4M-34.8K0.6920.761,7111,1786,1353,121
2018-05-21$36.93$30.0032.7%9.4%38.7%0.6%31.6%2.7%-0.6%169.0K-9.9M-33.2K0.7725.301,1799043,9942,451
2018-05-22$36.95$31.0032.0%9.2%38.8%0.0%27.6%4.8%-0.3%219.6K-10.4M-34.2K0.5323.601,6028424,3122,470
2018-05-23$36.75$31.0032.4%9.3%34.9%0.8%28.7%2.0%-0.1%307.9K-10.6M-35.8K0.5335.871,5818415,0912,477
2018-05-24$36.48$31.0032.2%9.2%35.4%0.3%27.9%3.3%1.1%300.8K-10.2M-35.9K0.5324.821,5758415,1222,478
2018-05-25$36.97$31.0031.8%9.1%33.7%0.0%27.6%3.6%0.9%320.9K-10.9M-35.5K0.5327.121,5808415,1442,479
2018-05-29$37.52$31.0033.7%9.7%33.5%4.1%32.0%2.1%-0.9%346.9K-11.8M-34.8K0.4933.811,7128375,1602,479
2018-05-30$35.88$31.0035.3%10.1%37.1%7.7%38.3%3.7%-0.4%286.9K-9.5M-35.4K0.5424.631,6678995,2402,488
2018-05-31$35.20$31.0035.8%10.3%36.7%8.8%36.2%5.7%-1.4%253.2K-8.7M-35.2K0.6420.872,0661,3165,2612,591