FN Options History — July 2018

In July 2018, FN traded between $36.22 and $40.07. ATM implied volatility averaged 37.2%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 10.9% (HV 20d: 26.3%). Max pain ranged from $28.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-07-31: Highest Volume — 1,555 contracts
  • 2018-07-11: Largest IV spike — 23.4% change
  • 2018-07-19: Highest IV Rank — 20.1%
  • 2018-07-19: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.86$36.22$40.07$36.85$39.09
Max Pain$36.05$28.00$37.00$28.00$37.00
ATM IV37.2%31.9%41.0%33.1%38.6%
Expected Move11.0%9.5%11.8%9.5%11.1%
HV 20d26.3%20.8%29.5%26.2%23.6%
HV 60d33.7%28.6%40.7%40.5%28.6%
IV Rank11.7%0.2%20.1%3.0%14.9%
IV Percentile34.9%0.4%60.3%5.2%47.2%
Term Structure0.7%-3.2%4.8%3.7%2.1%
VWIV38.3%33.9%42.7%33.9%35.6%
Skew 25d5.4%2.6%7.2%3.1%7.2%
Skew 10d12.5%7.9%16.6%16.6%11.9%
Call IV 25d35.4%32.1%37.8%32.3%34.8%
Put IV 25d40.8%35.4%43.7%35.4%42.0%
Bid-Ask Spread %35.4524.2265.1127.4948.17
Gamma HHI0.290.100.920.170.19
Net GEX424.7K84.4K2.0M282.4K168.5K
Net DEX-9.4M-13.6M-5.3M-8.7M-5.8M
Net VEX-28.5K-31.0K-25.0K-31.0K-28.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.200.670.580.20
Total Volume1,180.6679311,5559861,555
Total OI6,050.7623,0187,2567,1223,903

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$36.85$28.0033.1%9.5%26.2%3.0%33.9%3.1%3.7%282.4K-8.7M-31.0K0.5827.496253614,5352,587
2018-07-03$36.22$28.0036.5%10.5%26.6%10.3%35.2%6.4%1.4%245.0K-8.0M-30.7K0.5646.706253504,5302,612
2018-07-05$37.34$36.0033.7%11.0%28.6%4.1%38.4%5.2%0.4%318.4K-9.0M-30.4K0.6047.705833484,5302,627
2018-07-06$38.14$36.0031.9%11.3%29.4%0.2%40.0%4.1%-0.5%359.9K-10.3M-30.5K0.5765.116043474,5342,628
2018-07-09$38.47$37.0033.1%11.2%29.5%2.9%39.7%6.2%-0.8%411.2K-10.6M-29.7K0.6735.285983984,5612,629
2018-07-10$38.59$37.0032.1%11.2%29.0%0.6%40.6%4.8%-0.7%416.8K-10.9M-29.8K0.6634.826033984,5612,681
2018-07-11$38.48$37.0039.6%11.3%29.0%17.0%40.2%5.0%-0.3%390.1K-11.0M-29.4K0.6526.966033904,5572,681
2018-07-12$39.22$37.0039.5%11.3%28.5%16.7%39.8%5.6%-1.1%461.6K-11.9M-28.7K0.6324.226153904,5572,681
2018-07-13$38.74$37.0039.0%11.2%28.2%15.6%39.7%6.8%-1.2%457.7K-11.2M-28.3K0.6025.096273774,5702,669
2018-07-16$39.16$37.0039.7%11.4%28.0%17.3%40.2%3.9%0.2%510.8K-11.8M-27.4K0.5930.516413774,5652,670
2018-07-17$39.74$37.0040.1%11.5%28.2%18.1%40.9%6.3%-2.0%578.4K-12.8M-27.1K0.5729.926473714,5672,671
2018-07-18$40.06$37.0040.9%11.7%26.8%19.9%42.4%6.3%-3.1%646.1K-13.6M-26.2K0.5227.337113714,5822,674
2018-07-19$40.07$37.0041.0%11.8%26.4%20.1%42.3%5.3%-2.9%793.1K-13.4M-25.8K0.5333.477033714,5342,674
2018-07-20$39.90$37.0040.7%11.7%26.4%19.5%42.7%5.5%-3.2%2.0M-12.7M-25.3K0.5730.057063994,5352,679
2018-07-23$39.97$37.0037.4%10.7%26.4%12.3%37.4%2.6%3.5%84.4K-5.3M-25.0K0.2143.241,2362582,115903
2018-07-24$39.17$37.0037.0%10.6%21.6%11.4%35.6%5.1%3.1%164.3K-5.9M-29.1K0.2131.231,2402582,881936
2018-07-25$39.80$37.0035.6%10.2%20.9%8.3%34.1%6.9%4.4%173.7K-6.3M-29.1K0.2028.991,2662542,902936
2018-07-26$39.80$37.0034.8%10.0%20.8%6.5%33.9%5.6%4.8%179.0K-6.4M-29.0K0.2131.461,2682682,926936
2018-07-27$38.65$37.0038.8%11.1%24.1%15.3%35.0%4.6%2.8%159.3K-5.5M-28.8K0.2146.151,2512682,926950
2018-07-30$38.59$37.0037.5%10.8%23.4%12.5%36.3%6.4%3.3%162.2K-5.5M-28.2K0.2030.501,2732602,924947
2018-07-31$39.09$37.0038.6%11.1%23.6%14.9%35.6%7.2%2.1%168.5K-5.8M-28.4K0.2048.171,2952602,954949