FN Options History — August 2019

In August 2019, FN traded between $46.60 and $56.32. ATM implied volatility averaged 42.0%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 9.1% (HV 20d: 51.1%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2019-08-20: Highest Volume — 5,483 contracts
  • 2019-08-20: Largest IV drop — 25.0% change
  • 2019-08-19: Highest IV Rank — 49.4%
  • 2019-08-19: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.20$46.60$56.32$52.97$50.39
Max Pain$51.14$45.00$55.00$55.00$45.00
ATM IV42.0%32.6%51.6%35.1%34.6%
Expected Move12.1%9.4%14.8%10.1%9.9%
HV 20d51.1%19.1%81.4%19.1%80.2%
HV 60d44.5%33.7%52.3%41.6%51.1%
IV Rank31.4%11.5%49.4%20.8%15.4%
IV Percentile57.9%14.3%84.9%34.9%27.0%
Term Structure-1.8%-8.0%5.9%5.9%0.8%
VWIV42.8%33.9%58.8%35.9%34.5%
Skew 25d7.3%3.9%22.6%6.7%6.7%
Skew 10d15.2%5.1%34.1%27.9%13.1%
Call IV 25d39.1%25.9%48.5%32.0%32.1%
Put IV 25d46.4%36.6%58.7%38.7%38.8%
Bid-Ask Spread %61.2529.7492.1486.6947.66
Gamma HHI0.370.170.630.300.42
Net GEX150.5K-68.6K503.4K-12.6K497.0K
Net DEX-4.2M-9.5M190.3K-2.3M-9.1M
Net VEX-18.4K-29.5K-9.7K-12.6K-27.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.0216.400.541.21
Total Volume433.27305,4837753
Total OI3,802.4551,8206,2641,8226,237

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$52.97$55.0035.1%10.1%19.1%20.8%35.9%6.7%5.9%-12.6K-2.3M-12.6K0.5486.6950271,004818
2019-08-02$50.84$55.0043.6%12.5%24.5%36.9%43.8%7.8%0.4%-30.0K-1.6M-12.2K2.9292.1413381,002818
2019-08-05$49.78$55.0049.3%13.7%24.9%47.7%48.0%7.4%-4.4%-44.9K-1.0M-12.7K0.2571.492871,004862
2019-08-06$50.77$55.0046.4%13.2%25.9%42.2%0.0%4.6%-3.0%-41.6K-1.5M-12.4K0.0060.20001,031862
2019-08-07$50.93$55.0049.9%13.5%25.3%48.8%58.8%13.7%-2.4%-68.6K-1.4M-12.5K16.4086.63101641,0311,257
2019-08-08$53.88$50.0048.7%13.9%32.3%46.4%45.6%14.3%-8.0%302-3.0M-10.4K0.5782.8721121,0411,139
2019-08-09$54.02$55.0041.0%13.1%31.7%31.8%46.3%22.6%-3.3%-12.0K-3.1M-10.5K0.0080.960301,0441,151
2019-08-12$53.32$55.0047.4%13.9%32.1%43.4%0.0%5.3%-4.9%8.2K-2.8M-10.7K0.2081.031021,0341,281
2019-08-13$55.00$55.0042.6%13.1%33.7%31.4%45.6%5.6%-3.4%56.9K-3.4M-10.3K0.4859.0521101,0391,283
2019-08-14$52.77$55.0047.7%13.7%37.1%41.6%47.7%6.1%-5.3%6.1K-2.7M-9.9K0.7053.5327191,0411,290
2019-08-15$52.84$55.0048.7%13.9%37.0%43.5%48.7%5.5%-4.2%16.2K-2.7M-9.7K0.0252.101,054181,0421,304
2019-08-16$55.58$55.0049.7%14.3%41.0%45.6%57.3%8.7%-7.3%160.0K-7.1M-16.5K10.1978.34858662,0311,304
2019-08-19$56.32$55.0051.6%14.8%41.2%49.4%50.6%6.5%-6.7%106.8K-6.2M-18.9K0.3035.666121841,9091,312
2019-08-20$46.60$55.0038.7%11.1%79.2%23.7%36.7%4.0%0.3%-49.0K190.3K-16.7K0.2329.744,4561,0272,4741,437
2019-08-21$47.90$45.0032.6%9.4%79.6%11.5%34.8%3.9%2.0%348.0K-5.3M-28.3K0.6055.10128774,8531,311
2019-08-22$48.15$45.0033.3%9.5%79.6%12.8%33.9%4.6%1.4%357.5K-5.6M-29.1K1.0241.4446474,8591,360
2019-08-23$47.75$45.0036.2%10.4%79.4%18.7%37.1%5.2%1.2%335.6K-5.1M-28.7K0.3062.75102314,8541,353
2019-08-26$48.76$45.0037.1%10.6%80.0%20.5%37.9%4.5%0.8%383.8K-6.7M-29.5K0.2957.0666194,8641,343
2019-08-27$48.66$45.0037.5%10.8%80.0%21.3%39.1%5.8%-0.0%393.7K-6.5M-28.4K0.2740.943394,9111,341
2019-08-28$48.63$45.0037.2%10.7%80.0%20.6%37.8%5.8%0.1%396.0K-6.4M-28.0K0.9439.5918174,9251,339
2019-08-29$50.64$45.0035.3%10.1%81.4%16.9%35.2%5.9%0.7%503.4K-9.5M-28.4K0.3052.5173224,9201,339
2019-08-30$50.39$45.0034.6%9.9%80.2%15.4%34.5%6.7%0.8%497.0K-9.1M-27.3K1.2147.6624294,9011,336