FN Options History — October 2018

In October 2018, FN traded between $41.07 and $47.00. ATM implied volatility averaged 46.6%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 21.9% (HV 20d: 24.7%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.72.

Notable Days

  • 2018-10-19: Highest Volume — 1,929 contracts
  • 2018-10-10: Largest IV spike — 34.6% change
  • 2018-10-30: Highest IV Rank — 72.5%
  • 2018-10-30: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.34$41.07$47.00$45.28$43.57
Max Pain$45.74$44.00$46.00$44.00$46.00
ATM IV46.6%30.9%63.0%31.0%61.4%
Expected Move13.9%8.9%18.1%8.9%17.6%
HV 20d24.7%14.5%39.2%17.7%38.6%
HV 60d26.6%24.1%31.4%24.1%30.6%
IV Rank41.9%12.7%72.5%12.8%69.4%
IV Percentile66.6%7.5%97.2%7.5%96.4%
Term Structure-8.2%-17.3%13.0%13.0%-17.3%
VWIV49.0%31.0%62.2%31.5%62.2%
Skew 25d4.5%-0.5%6.9%4.1%4.6%
Skew 10d7.9%-2.1%21.0%6.5%6.8%
Call IV 25d47.1%29.1%64.3%29.1%60.9%
Put IV 25d51.6%32.5%65.8%33.2%65.5%
Bid-Ask Spread %29.3816.7683.1541.0626.80
Gamma HHI0.260.110.480.280.11
Net GEX270.9K-24.0K665.4K416.8K-10.6K
Net DEX-7.7M-14.0M-2.0M-10.8M-3.3M
Net VEX-27.0K-31.0K-24.2K-30.9K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.722.721.062.46
Total Volume1,239.9578921,9299641,246
Total OI5,9213,6227,4696,8583,763

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$45.28$44.0031.0%8.9%17.7%12.8%31.5%4.1%13.0%416.8K-10.8M-30.9K1.0641.064684965,0191,839
2018-10-02$46.03$44.0030.9%8.9%14.5%12.7%31.1%3.3%11.7%430.2K-12.0M-31.0K1.0140.724985035,0291,876
2018-10-03$47.00$44.0031.8%9.1%15.7%14.4%31.0%2.7%11.8%445.2K-14.0M-29.6K0.9483.155535185,0251,878
2018-10-04$46.05$46.0032.8%12.3%17.0%16.2%44.1%3.5%-6.9%428.5K-12.3M-29.7K0.8921.185845205,0361,887
2018-10-05$44.89$46.0033.0%12.7%19.2%16.6%44.1%5.0%-9.4%429.4K-10.1M-29.5K0.9419.385655325,0721,884
2018-10-08$44.63$46.0035.5%12.8%18.9%21.3%45.1%3.9%-8.9%439.9K-9.6M-26.9K0.9019.695434915,0731,754
2018-10-09$44.11$46.0034.7%13.1%19.2%19.7%45.0%5.3%-9.0%454.6K-8.4M-26.7K0.8721.115725005,1031,754
2018-10-10$43.44$46.0046.7%13.4%19.6%42.1%45.9%5.6%-8.9%417.6K-7.3M-26.2K0.7231.125183745,0711,755
2018-10-11$43.21$46.0047.3%13.5%19.5%43.2%48.2%5.1%-9.1%399.9K-6.9M-25.4K1.8533.375139495,0581,759
2018-10-12$44.27$46.0046.0%13.2%21.9%40.8%47.3%5.1%-8.9%439.8K-8.0M-30.6K1.9331.725129905,0582,348
2018-10-15$44.36$46.0049.2%14.1%21.7%46.7%50.5%5.1%-10.6%483.7K-8.0M-28.9K1.8824.525331,0015,0602,384
2018-10-16$45.71$46.0048.9%14.0%24.3%46.3%51.2%5.0%-12.7%398.3K-11.0M-27.3K1.7128.994998545,0352,399
2018-10-17$46.29$46.0048.4%13.9%24.5%45.4%50.9%5.1%-11.8%267.9K-12.5M-25.6K1.7524.444988725,0392,396
2018-10-18$45.92$46.0048.9%14.0%24.5%46.2%49.8%4.3%-12.9%228.3K-12.1M-24.9K1.5517.325077845,0492,404
2018-10-19$45.07$46.0049.2%14.1%25.4%46.8%51.1%4.8%-11.7%665.4K-10.1M-24.2K0.9423.049969335,0592,410
2018-10-22$44.82$46.0051.4%14.7%25.2%50.9%53.0%4.0%-11.2%-7.1K-4.0M-24.9K2.7216.763158581,7981,824
2018-10-23$44.27$46.0053.8%15.4%25.5%55.5%55.0%5.1%-12.3%-4.6K-3.7M-25.2K2.6917.843298851,8281,825
2018-10-24$41.76$46.0056.6%16.2%32.4%60.6%56.2%6.6%-11.5%-19.5K-2.4M-25.7K2.6725.543328861,8361,870
2018-10-25$42.98$46.0056.1%16.1%34.3%59.7%55.5%3.5%-12.2%-15.1K-3.0M-25.5K2.5119.433558911,8411,870
2018-10-26$42.03$46.0056.9%16.3%34.9%61.1%56.8%5.3%-12.4%-18.7K-2.5M-26.2K2.5229.043538911,8451,894
2018-10-29$41.07$46.0058.3%16.7%35.0%63.7%59.2%-0.5%-11.7%-24.0K-2.0M-25.4K2.5451.033538951,8471,894
2018-10-30$43.12$46.0063.0%18.1%39.2%72.5%62.1%6.9%-16.8%-15.6K-3.0M-25.4K2.4928.373598951,8481,887
2018-10-31$43.57$46.0061.4%17.6%38.6%69.4%62.2%4.6%-17.3%-10.6K-3.3M-25.0K2.4626.803608861,8761,887