FN Options History — September 2018

In September 2018, FN traded between $45.28 and $46.79. ATM implied volatility averaged 31.6%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 6.4% (HV 20d: 25.2%). Max pain ranged from $36.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.83.

Notable Days

2018-09-18: Highest Volume — 1,811 contracts
2018-09-13: Largest IV drop — 6.2% change
2018-09-11: Highest IV Rank — 18.6%
2018-09-12: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.14	$45.28	$46.79	$46.23	$46.24
Max Pain	$41.26	$36.00	$44.00	$42.00	$44.00
ATM IV	31.6%	29.8%	34.1%	30.6%	30.3%
Expected Move	9.1%	8.6%	9.6%	8.8%	8.7%
HV 20d	25.2%	16.3%	33.9%	33.9%	16.4%
HV 60d	26.3%	23.8%	28.1%	28.1%	23.8%
IV Rank	14.0%	10.7%	18.6%	12.2%	11.5%
IV Percentile	8.7%	5.2%	21.4%	5.6%	5.6%
Term Structure	5.4%	1.9%	13.4%	2.1%	13.4%
VWIV	32.0%	28.2%	34.4%	28.3%	30.5%
Skew 25d	3.0%	1.4%	4.2%	2.1%	4.2%
Skew 10d	8.9%	4.7%	13.6%	4.7%	8.5%
Call IV 25d	30.8%	28.1%	32.2%	30.3%	28.1%
Put IV 25d	33.8%	31.3%	35.5%	32.5%	32.3%
Bid-Ask Spread %	31.14	16.98	55.06	55.06	42.34
Gamma HHI	0.40	0.23	0.71	0.39	0.23
Net GEX	1.5M	393.9K	3.1M	1.7M	426.4K
Net DEX	-25.9M	-33.1M	-11.9M	-30.6M	-12.7M
Net VEX	-43.5K	-58.1K	-32.6K	-58.1K	-32.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.59	1.19	0.63	0.99
Total Volume	1,430	1,120	1,811	1,338	1,158
Total OI	11,632.474	6,561	13,800	13,151	6,839

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$46.23	$42.00	30.6%	8.8%	33.9%	12.2%	28.3%	2.1%	2.1%	1.7M	-30.6M	-58.1K	0.63	55.06	823	515	11,196	1,955
2018-09-05	$46.79	$42.00	29.8%	8.6%	32.4%	10.7%	28.2%	1.4%	2.6%	1.7M	-32.7M	-56.1K	0.62	35.34	821	505	11,169	1,958
2018-09-06	$46.33	$36.00	31.3%	9.6%	32.8%	13.3%	34.1%	3.0%	2.0%	1.7M	-30.7M	-54.9K	0.66	27.03	804	527	11,152	1,956
2018-09-07	$46.16	$36.00	31.8%	9.5%	32.8%	14.3%	34.2%	3.3%	2.6%	1.7M	-29.7M	-54.2K	0.66	39.27	817	537	11,150	1,964
2018-09-10	$46.54	$36.00	32.7%	9.3%	32.8%	16.0%	33.6%	3.1%	2.2%	1.8M	-31.9M	-50.2K	0.60	18.34	887	533	11,146	1,964
2018-09-11	$46.46	$36.00	34.1%	9.3%	32.7%	18.6%	33.1%	2.8%	3.0%	1.8M	-32.1M	-48.8K	0.70	16.98	840	591	11,220	1,965
2018-09-12	$46.66	$36.00	33.5%	9.6%	31.0%	17.6%	34.4%	2.7%	1.9%	1.8M	-33.1M	-47.8K	0.64	19.72	925	596	11,220	2,025
2018-09-13	$46.62	$36.00	31.4%	9.0%	29.9%	13.7%	32.2%	3.4%	3.2%	1.9M	-33.0M	-45.4K	1.03	47.17	861	888	11,220	2,030
2018-09-14	$46.43	$44.00	31.7%	9.1%	28.7%	14.2%	31.5%	2.4%	3.7%	1.9M	-31.6M	-46.8K	0.93	21.72	918	853	11,247	2,338
2018-09-17	$45.86	$44.00	32.0%	9.2%	29.2%	14.6%	32.4%	2.2%	3.7%	2.2M	-28.8M	-43.8K	0.93	26.04	920	856	11,328	2,364
2018-09-18	$45.62	$44.00	31.8%	9.1%	29.3%	14.4%	31.9%	3.7%	3.6%	2.6M	-27.7M	-42.3K	1.19	21.75	827	984	11,335	2,367
2018-09-19	$45.28	$44.00	32.7%	9.4%	18.4%	16.0%	32.7%	3.4%	3.5%	3.1M	-25.9M	-40.6K	1.02	29.85	831	846	11,335	2,465
2018-09-20	$45.74	$44.00	30.9%	8.9%	16.5%	12.7%	30.9%	2.7%	5.4%	2.9M	-31.2M	-37.3K	1.01	37.68	789	794	11,332	2,461
2018-09-21	$45.55	$44.00	31.5%	9.0%	16.3%	13.7%	31.8%	4.2%	4.3%	393.9K	-32.3M	-34.3K	0.59	23.41	870	513	11,018	2,484
2018-09-24	$45.90	$44.00	31.4%	9.0%	16.6%	13.7%	32.1%	2.9%	10.6%	405.3K	-12.1M	-33.2K	0.83	35.28	612	511	4,875	1,686
2018-09-25	$45.86	$44.00	31.3%	9.0%	16.4%	13.4%	32.5%	3.3%	12.2%	409.0K	-11.9M	-33.7K	0.88	23.30	605	534	4,961	1,763
2018-09-26	$46.02	$44.00	31.7%	9.1%	16.4%	14.1%	32.5%	2.8%	11.2%	416.4K	-12.1M	-33.6K	0.91	44.78	586	534	4,991	1,770
2018-09-27	$46.40	$44.00	30.6%	8.8%	16.4%	12.2%	31.0%	3.5%	11.6%	430.8K	-12.9M	-33.1K	0.99	26.67	582	577	4,998	1,770
2018-09-28	$46.24	$44.00	30.3%	8.7%	16.4%	11.5%	30.5%	4.2%	13.4%	426.4K	-12.7M	-32.6K	0.99	42.34	581	577	5,000	1,839