FN Options History — June 2018

In June 2018, FN traded between $35.27 and $37.63. ATM implied volatility averaged 34.5%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.0% (HV 20d: 28.5%). Max pain ranged from $28.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2018-06-05: Highest Volume — 3,425 contracts
  • 2018-06-13: Largest IV drop — 14.3% change
  • 2018-06-12: Highest IV Rank — 14.7%
  • 2018-06-25: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.68$35.27$37.63$36.11$36.93
Max Pain$28.29$28.00$34.00$34.00$28.00
ATM IV34.5%31.9%38.5%35.0%34.9%
Expected Move9.7%9.1%10.4%10.0%10.0%
HV 20d28.5%25.8%37.2%37.2%26.2%
HV 60d40.9%40.0%41.8%41.8%40.7%
IV Rank5.8%0.2%14.7%6.9%6.8%
IV Percentile13.0%0.4%39.7%12.3%16.3%
Term Structure3.5%-1.4%5.5%-1.4%2.7%
VWIV34.6%31.5%38.0%33.0%34.2%
Skew 25d4.5%2.6%6.4%5.2%4.0%
Skew 10d12.2%6.4%23.6%20.3%19.2%
Call IV 25d31.4%29.4%34.8%30.1%32.5%
Put IV 25d35.8%33.8%38.7%35.3%36.5%
Bid-Ask Spread %31.9417.8268.2831.0224.02
Gamma HHI0.170.120.520.120.17
Net GEX263.2K140.1K455.5K209.8K279.4K
Net DEX-9.1M-11.1M-7.0M-8.7M-8.8M
Net VEX-32.7K-35.8K-30.4K-35.8K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.280.640.640.59
Total Volume2,156.7629433,4253,368991
Total OI7,542.8575,9548,2838,1237,101

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$36.11$34.0035.0%10.0%37.2%6.9%33.0%5.2%-1.4%209.8K-8.7M-35.8K0.6431.022,0511,3175,0383,085
2018-06-04$35.97$28.0036.5%9.9%35.6%10.4%37.0%4.9%2.8%204.7K-8.5M-35.0K0.6437.622,0511,3175,0433,086
2018-06-05$36.43$28.0036.9%10.1%35.3%11.1%38.0%6.2%2.2%233.7K-9.2M-35.3K0.6319.702,1011,3245,0433,086
2018-06-06$36.78$28.0033.9%9.5%26.5%4.5%36.9%4.9%4.0%276.9K-9.9M-34.4K0.6417.822,0751,3245,1073,086
2018-06-07$37.02$28.0033.1%9.5%26.3%2.9%37.0%5.9%4.3%298.6K-10.2M-34.2K0.6421.162,0701,3265,1403,089
2018-06-08$37.00$28.0033.5%9.4%25.9%3.7%33.6%4.7%4.4%294.1K-10.2M-33.4K0.4725.642,0629625,1423,089
2018-06-11$37.63$28.0035.2%9.3%26.4%7.4%34.1%5.0%4.5%371.6K-11.1M-32.1K0.4822.931,9829595,1353,092
2018-06-12$37.50$28.0038.5%9.6%25.9%14.7%33.5%5.1%3.6%361.2K-11.0M-32.0K0.4927.331,9229505,1733,092
2018-06-13$36.75$28.0033.0%9.5%26.6%2.7%35.6%5.0%4.7%295.2K-9.9M-31.7K0.4935.711,8949245,1873,096
2018-06-14$37.51$28.0032.0%9.2%25.8%0.5%34.0%4.3%5.5%370.0K-10.9M-31.1K0.4922.121,8849215,1593,094
2018-06-15$37.10$28.0033.3%9.5%26.2%3.2%33.5%6.4%4.6%455.5K-10.2M-31.4K0.4924.891,8849225,1593,116
2018-06-18$37.01$28.0033.1%9.5%26.2%2.9%32.5%3.5%2.4%140.1K-8.1M-30.4K0.4554.399844433,4632,491
2018-06-19$36.28$28.0033.4%9.6%26.9%3.5%33.7%4.0%3.9%159.6K-7.7M-31.6K0.5038.197183563,7242,565
2018-06-20$36.97$28.0031.9%9.1%27.8%0.2%31.5%2.8%5.3%173.6K-8.3M-31.5K0.2836.721,2863563,7502,566
2018-06-21$36.85$28.0032.8%9.4%27.7%2.1%32.4%2.6%4.9%256.4K-8.8M-33.2K0.6253.415813624,4622,565
2018-06-22$36.85$28.0033.0%9.5%27.6%2.7%32.6%3.1%4.1%260.3K-8.8M-33.2K0.6123.985923624,4802,572
2018-06-25$35.27$28.0036.3%10.4%31.3%9.7%36.4%3.8%2.2%191.7K-7.0M-31.7K0.6025.166273754,4922,572
2018-06-26$36.10$28.0035.2%10.1%32.0%7.4%35.8%3.8%2.6%229.6K-7.8M-32.2K0.5931.066373754,5052,575
2018-06-27$36.01$28.0036.1%10.3%27.8%9.3%34.8%4.0%2.8%225.0K-7.8M-31.7K0.5929.596353754,5152,575
2018-06-28$36.22$28.0036.2%10.4%26.9%9.6%36.0%4.2%4.1%240.2K-8.1M-32.0K0.5968.286403754,5152,575
2018-06-29$36.93$28.0034.9%10.0%26.2%6.8%34.2%4.0%2.7%279.4K-8.8M-31.7K0.5924.026253664,5252,576