FN Options History — July 2019

In July 2019, FN traded between $50.26 and $55.02. ATM implied volatility averaged 34.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.9% (HV 20d: 29.4%). Max pain ranged from $48.00 to $55.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2019-07-02: Highest Volume — 357 contracts
  • 2019-07-22: Largest IV spike — 9.5% change
  • 2019-07-08: Highest IV Rank — 24.0%
  • 2019-07-08: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.49$50.26$55.02$51.95$53.88
Max Pain$50.41$48.00$55.00$48.00$55.00
ATM IV34.3%31.1%36.8%35.2%33.9%
Expected Move9.9%8.9%10.7%10.1%9.7%
HV 20d29.4%17.9%36.5%36.5%17.9%
HV 60d42.3%41.5%42.8%42.5%41.5%
IV Rank19.2%13.2%24.0%21.0%18.5%
IV Percentile26.4%8.7%38.9%31.3%25.4%
Term Structure4.5%0.5%6.9%0.5%6.8%
VWIV34.4%32.5%36.7%36.0%33.9%
Skew 25d4.5%2.7%10.6%3.1%10.6%
Skew 10d10.6%4.2%17.5%14.8%17.5%
Call IV 25d32.3%26.5%35.3%31.8%26.5%
Put IV 25d36.8%34.3%39.7%34.9%37.1%
Bid-Ask Spread %70.9857.5285.0384.6185.03
Gamma HHI0.220.150.300.150.26
Net GEX10.7K-23.4K67.3K67.3K-2.8K
Net DEX-3.2M-4.4M-2.4M-3.7M-2.7M
Net VEX-12.5K-15.3K-11.0K-14.1K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.054.584.350.32
Total Volume138.59116357332112
Total OI2,721.7271,3773,4832,9931,828

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$51.95$48.0035.2%10.1%36.5%21.0%36.0%3.1%0.5%67.3K-3.7M-14.1K4.3584.61622701,6091,384
2019-07-02$50.67$48.0032.5%9.3%33.9%15.9%34.2%2.7%3.9%7.7K-2.8M-15.0K3.2582.54842731,6111,628
2019-07-03$51.06$48.0033.6%9.6%33.5%17.8%35.3%4.6%2.0%30.5K-3.2M-15.3K4.2383.78662791,6211,627
2019-07-05$51.09$50.0034.6%10.5%32.2%19.9%36.7%5.3%2.8%19.4K-3.1M-14.4K4.0157.52682731,6281,627
2019-07-08$50.26$50.0036.8%10.7%33.1%24.0%0.0%4.5%2.2%14.9K-2.7M-14.1K0.2457.692561,6341,637
2019-07-09$50.39$50.0034.8%10.5%33.0%20.2%36.7%5.2%2.7%14.3K-2.7M-13.7K0.1058.116161,6161,635
2019-07-10$51.19$50.0036.5%10.5%33.2%23.5%35.6%4.7%2.9%30.3K-3.3M-13.3K0.1165.805461,6391,635
2019-07-11$51.09$50.0035.6%10.2%32.7%21.8%35.2%4.1%3.7%26.5K-3.2M-13.0K0.2765.5260161,6291,635
2019-07-12$52.09$50.0035.2%10.1%31.2%20.9%33.9%3.9%4.5%44.7K-3.9M-12.2K4.3767.09592581,6261,629
2019-07-15$51.89$50.0035.0%10.0%31.0%20.6%33.3%4.3%4.7%-23.4K-3.7M-11.9K1.0072.23881,6341,846
2019-07-16$52.37$50.0035.9%10.3%30.1%22.3%33.3%4.5%3.4%-8.9K-4.0M-11.6K1.2068.4210121,6361,847
2019-07-17$52.60$50.0033.4%9.6%29.6%17.6%33.4%3.2%4.4%4.4K-4.2M-11.1K0.6867.6719131,6381,845
2019-07-18$52.24$50.0034.4%9.9%29.6%19.4%33.1%3.4%6.1%1.6K-4.3M-11.0K0.4668.5828131,6371,815
2019-07-19$52.51$50.0031.1%8.9%28.9%13.2%33.7%4.1%5.9%17.3K-4.4M-11.0K0.5469.1352281,6471,814
2019-07-22$52.67$50.0034.1%9.8%28.4%18.9%35.7%3.0%5.6%17.0K-2.4M-11.0K4.5869.0852238840537
2019-07-23$53.87$50.0033.7%9.7%27.2%18.1%35.4%4.0%6.0%-12.3K-2.5M-12.1K0.2568.315213892775
2019-07-24$55.02$50.0033.1%9.5%26.2%16.9%32.5%5.9%6.3%-1.6K-2.8M-11.8K0.3273.998828903778
2019-07-25$54.18$50.0032.9%9.4%26.9%16.7%33.2%3.6%6.5%-6.4K-2.6M-11.9K0.4372.526729913779
2019-07-26$54.64$50.0033.2%9.5%26.1%17.2%32.9%4.3%6.4%-2.3K-2.7M-11.9K0.6471.377749916787
2019-07-29$54.84$55.0034.1%9.8%25.7%18.9%34.3%6.3%6.9%-2.0K-2.8M-11.9K0.0573.18382946804
2019-07-30$54.28$55.0034.6%9.9%20.2%19.8%34.8%3.7%5.9%-1.3K-2.8M-11.7K0.3079.456720965806
2019-07-31$53.88$55.0033.9%9.7%17.9%18.5%33.9%10.6%6.8%-2.8K-2.7M-12.0K0.3285.0385271,004824