FN Options History — August 2018

In August 2018, FN traded between $39.41 and $48.01. ATM implied volatility averaged 31.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.0% (HV 20d: 25.9%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.43.

Notable Days

  • 2018-08-21: Highest Volume — 3,582 contracts
  • 2018-08-21: Largest IV drop — 34.1% change
  • 2018-08-20: Highest IV Rank — 38.6%
  • 2018-08-20: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.06$39.41$48.01$39.58$47.87
Max Pain$40.35$37.00$42.00$37.00$42.00
ATM IV31.9%24.1%44.8%36.9%27.2%
Expected Move10.0%7.7%12.8%10.6%7.8%
HV 20d25.9%19.4%32.4%22.6%30.1%
HV 60d26.5%24.9%29.4%28.4%26.9%
IV Rank11.7%0.0%38.6%11.1%5.7%
IV Percentile19.5%0.0%78.6%37.3%2.4%
Term Structure-0.7%-5.7%4.5%3.0%1.8%
VWIV34.3%26.3%44.4%35.8%27.1%
Skew 25d4.2%2.0%7.3%7.3%2.9%
Skew 10d9.8%1.4%14.6%11.1%10.8%
Call IV 25d32.9%24.3%42.0%34.6%26.0%
Put IV 25d37.1%27.9%45.8%41.9%29.0%
Bid-Ask Spread %27.8519.3458.3458.3420.68
Gamma HHI0.340.200.600.200.32
Net GEX690.0K182.0K1.5M184.4K1.5M
Net DEX-19.1M-37.8M-6.0M-6.1M-37.8M
Net VEX-40.2K-56.5K-26.6K-28.1K-55.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.200.820.200.40
Total Volume1,772.3489413,5821,5461,914
Total OI7,634.3913,91413,1393,91413,139

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$39.58$37.0036.9%10.6%22.6%11.1%35.8%7.3%3.0%184.4K-6.1M-28.1K0.2058.341,2852612,965949
2018-08-02$39.41$37.0038.2%10.9%20.6%13.9%35.2%7.0%2.5%182.0K-6.0M-27.8K0.2047.431,2852612,965950
2018-08-03$39.69$37.0035.9%10.3%19.5%9.0%34.5%4.5%4.5%190.7K-6.3M-27.6K0.2142.421,2762632,965950
2018-08-06$39.95$40.0039.7%11.5%19.4%17.2%38.2%5.4%-3.9%197.1K-6.4M-27.5K0.3924.816762652,966952
2018-08-07$41.37$40.0029.3%11.6%22.7%0.0%39.7%4.3%-2.8%225.8K-7.6M-27.0K0.4025.158353312,970954
2018-08-08$41.36$40.0027.7%11.4%22.6%0.0%39.1%4.5%-4.3%234.0K-7.8M-27.9K0.4727.787003313,1771,009
2018-08-09$41.97$40.0024.1%11.3%22.2%0.0%38.4%4.6%-3.6%241.5K-8.3M-27.5K0.4929.386553243,189999
2018-08-10$42.06$40.0024.6%11.3%21.5%0.9%39.0%3.9%-3.9%241.0K-8.4M-27.1K0.4930.436553243,1811,002
2018-08-13$41.83$40.0030.4%11.3%21.6%11.7%38.6%4.9%-4.6%243.5K-8.2M-26.6K0.2129.151,5743303,1811,002
2018-08-14$43.22$39.0033.2%11.6%23.7%16.9%39.0%4.6%-5.7%377.7K-11.2M-31.2K0.2122.921,5773304,1891,019
2018-08-15$42.40$39.0042.0%12.1%25.0%33.4%40.7%5.3%-5.5%509.2K-11.8M-37.2K0.6223.056944305,3061,019
2018-08-16$43.60$39.0038.9%11.1%26.5%27.5%38.7%5.1%-4.2%540.4K-13.6M-38.3K0.2724.291,5824285,3381,119
2018-08-17$43.58$40.0040.1%11.5%26.4%29.8%39.9%5.0%-5.5%612.6K-15.5M-43.5K0.2822.261,7885026,3541,124
2018-08-20$43.82$42.0044.8%12.8%26.4%38.6%44.4%3.8%-5.3%721.5K-17.0M-48.6K0.7824.071,2839987,1411,073
2018-08-21$46.69$42.0029.5%8.5%32.1%10.1%30.4%2.0%2.7%1.0M-26.2M-48.4K0.4123.172,5341,0487,9441,827
2018-08-22$47.81$42.0027.8%8.0%32.4%6.8%28.1%3.7%2.2%1.1M-32.0M-52.2K0.5630.691,6058989,0101,859
2018-08-23$48.01$42.0028.4%8.2%32.3%8.0%28.6%2.0%1.0%1.0M-33.4M-52.5K0.8221.271,0818919,2081,910
2018-08-24$47.67$42.0027.1%7.8%29.6%5.5%26.8%3.9%1.6%1.1M-32.9M-54.4K0.7519.341,1138329,4991,935
2018-08-27$47.96$42.0027.2%7.8%29.3%5.7%26.3%2.2%2.3%1.2M-34.6M-52.2K0.3622.391,8686789,7281,963
2018-08-28$47.61$42.0027.7%7.9%30.0%6.7%27.5%2.3%2.4%1.4M-34.4M-56.5K0.5425.191,00754310,5311,936
2018-08-29$48.00$42.0027.0%7.7%30.0%5.3%27.0%3.6%3.8%1.4M-36.4M-52.9K0.4623.491,12352210,5331,932
2018-08-30$47.91$42.0026.8%7.7%29.8%5.1%26.7%3.2%4.3%1.4M-36.1M-54.9K0.3722.751,35850610,7011,928
2018-08-31$47.87$42.0027.2%7.8%30.1%5.7%27.1%2.9%1.8%1.5M-37.8M-55.6K0.4020.681,37054411,1971,942