FN Options History — November 2018

In November 2018, FN traded between $45.45 and $53.14. ATM implied volatility averaged 44.6%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 10.5% (HV 20d: 55.1%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 2.33.

Notable Days

  • 2018-11-14: Highest Volume — 1,923 contracts
  • 2018-11-06: Largest IV drop — 40.8% change
  • 2018-11-05: Highest IV Rank — 93.1%
  • 2018-11-02: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.46$45.45$53.14$46.18$52.65
Max Pain$47.67$46.00$50.00$46.00$50.00
ATM IV44.6%37.2%74.0%61.3%38.3%
Expected Move11.9%9.9%18.0%17.6%11.0%
HV 20d55.1%42.8%61.2%43.8%50.4%
HV 60d38.4%32.7%40.7%32.8%39.4%
IV Rank38.2%24.4%93.1%69.3%26.4%
IV Percentile69.2%46.8%99.6%96.0%51.2%
Term Structure-3.8%-18.5%-0.9%-18.5%-3.2%
VWIV43.6%37.1%66.1%64.8%37.8%
Skew 25d4.5%3.3%6.3%6.3%4.1%
Skew 10d9.6%7.4%12.0%12.0%8.9%
Call IV 25d39.7%33.8%61.4%60.0%37.6%
Put IV 25d44.2%37.4%67.1%66.3%41.8%
Bid-Ask Spread %34.1417.7073.7231.9166.77
Gamma HHI0.130.100.220.100.13
Net GEX28.5K-14898.6K5.3K20.3K
Net DEX-6.8M-8.7M-4.3M-4.7M-7.2M
Net VEX-22.3K-24.6K-19.3K-24.2K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.331.463.052.762.22
Total Volume1,490.8571,2191,9231,2191,315
Total OI4,111.6673,7664,7083,7663,935

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$46.18$46.0061.3%17.6%43.8%69.3%64.8%6.3%-18.5%5.3K-4.7M-24.2K2.7631.913248951,8771,889
2018-11-02$46.38$46.0062.9%18.0%42.8%72.3%66.1%5.7%-18.1%7.1K-4.8M-23.7K2.7231.963329031,8881,889
2018-11-05$45.45$46.0074.0%13.0%43.4%93.1%45.5%5.2%-4.3%-148-4.3M-24.0K2.2117.703808401,8951,909
2018-11-06$50.06$46.0043.8%10.6%54.8%36.8%37.6%3.6%-2.2%46.9K-7.1M-20.5K2.1029.514861,0191,9651,994
2018-11-07$52.59$46.0039.1%9.9%56.2%27.8%37.1%4.1%-1.6%43.3K-8.3M-19.3K1.9330.855261,0152,0232,115
2018-11-08$51.78$47.0038.6%10.5%56.6%27.0%37.9%3.3%-1.7%48.0K-8.1M-20.7K2.0037.205161,0302,1252,187
2018-11-09$51.35$47.0040.1%10.5%56.6%29.9%37.3%3.7%-1.8%53.4K-7.9M-22.7K1.4627.966299162,1662,187
2018-11-12$48.55$47.0052.0%11.0%61.0%52.0%40.1%4.7%-1.6%64.5K-6.2M-24.0K2.5126.544911,2302,2062,188
2018-11-13$49.55$47.0046.5%10.8%60.5%41.8%40.2%4.3%-0.9%67.2K-6.7M-24.6K1.9826.726281,2462,2012,452
2018-11-14$49.78$47.0038.2%11.0%60.5%26.3%40.2%4.7%-1.2%98.6K-7.1M-24.6K2.0425.566321,2912,2602,448
2018-11-15$51.51$47.0040.8%11.7%61.2%31.1%41.5%4.8%-3.8%49.9K-8.1M-22.6K2.3829.345361,2742,2142,478
2018-11-16$52.31$47.0039.1%11.2%60.6%27.9%41.3%4.2%-2.3%10.3K-8.7M-21.7K2.3429.895281,2372,2232,477
2018-11-19$51.47$49.0039.9%11.5%61.0%29.5%44.4%3.8%-1.0%8.0K-6.6M-22.1K3.0436.203671,1171,8652,022
2018-11-20$50.76$49.0041.9%12.0%61.1%33.3%44.1%4.4%-2.6%4.3K-6.3M-22.9K2.9726.583801,1301,8672,023
2018-11-21$50.50$49.0040.5%11.6%56.3%30.6%43.1%4.3%-2.5%4.7K-6.1M-23.2K3.0526.133701,1301,8742,023
2018-11-23$51.30$49.0041.4%11.9%55.9%32.2%45.1%4.5%-2.9%9.5K-6.6M-22.0K2.5047.413659111,8752,023
2018-11-26$50.93$49.0041.7%11.9%55.0%32.7%44.5%4.8%-3.2%7.6K-6.4M-21.9K2.2228.224119111,8702,024
2018-11-27$50.66$49.0041.4%11.9%54.0%32.2%43.9%5.1%-3.3%8.8K-6.2M-21.8K2.0627.614399061,8602,024
2018-11-28$52.68$49.0037.2%10.7%53.2%24.4%43.4%5.1%-1.9%17.9K-7.2M-20.8K2.1939.094149071,8752,024
2018-11-29$53.14$49.0037.9%10.9%53.2%25.8%40.4%4.0%-1.7%22.3K-7.5M-19.5K2.2173.724149171,8802,025
2018-11-30$52.65$50.0038.3%11.0%50.4%26.4%37.8%4.1%-3.2%20.3K-7.2M-20.5K2.2266.774089071,8962,039