FN Options History — September 2019

In September 2019, FN traded between $50.10 and $55.97. ATM implied volatility averaged 34.9%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 21.2% (HV 20d: 56.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.48.

Notable Days

2019-09-11: Highest Volume — 1,052 contracts
2019-09-24: Largest IV spike — 16.1% change
2019-09-03: Highest IV Rank — 23.3%
2019-09-03: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.64	$50.10	$55.97	$50.10	$52.68
Max Pain	$49.50	$45.00	$50.00	$45.00	$50.00
ATM IV	34.9%	31.9%	38.8%	38.8%	33.1%
Expected Move	10.0%	9.3%	11.1%	11.1%	9.5%
HV 20d	56.1%	28.0%	81.7%	79.8%	30.4%
HV 60d	51.1%	49.8%	52.2%	51.1%	50.6%
IV Rank	10.2%	3.4%	23.3%	23.3%	6.0%
IV Percentile	25.5%	7.5%	49.6%	49.6%	9.1%
Term Structure	4.4%	-1.2%	10.3%	-1.2%	9.3%
VWIV	35.5%	30.8%	42.7%	37.2%	35.0%
Skew 25d	5.2%	3.8%	6.7%	6.7%	6.7%
Skew 10d	12.5%	9.1%	19.1%	10.2%	19.1%
Call IV 25d	33.1%	31.3%	35.7%	35.7%	31.3%
Put IV 25d	38.3%	36.1%	42.4%	42.4%	38.1%
Bid-Ask Spread %	69.60	48.56	82.68	49.04	78.43
Gamma HHI	0.53	0.32	0.85	0.43	0.39
Net GEX	436.4K	104.3K	780.4K	481.5K	126.6K
Net DEX	-10.0M	-17.7M	-3.5M	-8.6M	-4.0M
Net VEX	-16.1K	-25.5K	-10.4K	-25.5K	-10.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.00	15.06	0.17	0.55
Total Volume	155	1	1,052	130	17
Total OI	4,613.05	2,061	6,336	6,259	2,294

Daily Data (20 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
2019-09-03	$50.10	$45.00	38.8%	11.1%	79.8%	23.3%	37.2%	6.7%	-1.2%	481.5K	-8.6M	-25.5K	0.17	49.04	111	19	4,908	1,351
2019-09-04	$51.41	$45.00	37.5%	10.7%	80.0%	16.2%	34.4%	5.1%	0.5%	554.3K	-10.9M	-25.5K	0.23	50.76	80	18	4,930	1,364
2019-09-05	$53.86	$50.00	32.9%	9.8%	81.7%	6.4%	34.1%	5.3%	3.2%	633.1K	-15.7M	-24.2K	0.39	68.27	126	49	4,975	1,361
2019-09-06	$53.85	$50.00	31.9%	9.6%	79.2%	3.4%	35.0%	4.0%	3.7%	654.0K	-15.7M	-22.7K	0.75	62.03	16	12	4,937	1,355
2019-09-09	$54.41	$50.00	35.8%	10.0%	79.3%	11.8%	36.0%	5.8%	3.0%	645.1K	-16.7M	-21.4K	3.00	63.41	14	42	4,923	1,349
2019-09-10	$54.85	$50.00	36.1%	10.4%	79.2%	12.4%	34.8%	6.4%	1.8%	645.2K	-17.3M	-20.6K	4.00	68.37	10	40	4,927	1,387
2019-09-11	$55.19	$50.00	34.5%	9.9%	78.4%	9.1%	38.9%	5.6%	2.9%	659.9K	-17.7M	-19.4K	0.01	48.56	1,045	7	4,831	1,382
2019-09-12	$55.48	$50.00	34.5%	9.9%	76.9%	8.9%	32.5%	4.9%	3.4%	596.0K	-14.5M	-16.8K	0.00	71.84	602	2	4,093	1,381
2019-09-13	$55.97	$50.00	34.5%	9.9%	76.9%	9.0%	33.8%	4.3%	3.4%	596.2K	-12.9M	-15.8K	0.05	56.88	299	14	3,622	1,381
2019-09-16	$55.25	$50.00	35.0%	10.0%	75.0%	10.0%	34.8%	3.8%	3.3%	645.1K	-11.1M	-14.6K	0.28	72.55	65	18	3,471	1,387
2019-09-17	$55.76	$50.00	35.5%	10.2%	74.9%	11.0%	34.8%	4.4%	2.8%	676.5K	-11.9M	-13.8K	0.18	72.59	62	11	3,455	1,394
2019-09-18	$54.32	$50.00	34.6%	9.9%	28.0%	9.1%	37.0%	5.1%	3.7%	780.4K	-9.2M	-13.5K	0.56	73.98	32	18	3,453	1,399
2019-09-19	$53.27	$50.00	34.0%	9.7%	28.5%	7.9%	35.6%	4.4%	3.9%	315.2K	-6.6M	-11.7K	0.11	77.07	47	5	3,427	1,410
2019-09-20	$52.91	$50.00	34.3%	9.8%	28.9%	8.6%	34.9%	5.0%	3.9%	125.2K	-6.2M	-11.6K	0.10	74.95	29	3	3,453	1,408
2019-09-23	$52.73	$50.00	32.5%	9.3%	28.6%	4.8%	42.7%	5.9%	10.3%	130.4K	-4.1M	-10.9K	15.06	82.68	16	241	1,465	596
2019-09-24	$52.32	$50.00	37.8%	10.8%	28.3%	16.0%	35.5%	4.9%	6.5%	110.2K	-3.8M	-11.6K	1.33	80.74	6	8	1,463	835
2019-09-25	$53.53	$50.00	33.4%	9.6%	29.0%	6.6%	30.8%	5.0%	8.7%	124.4K	-4.4M	-11.1K	1.40	79.62	5	7	1,464	838
2019-09-26	$53.38	$50.00	33.6%	9.6%	29.1%	7.0%	34.7%	4.4%	8.2%	124.3K	-4.4M	-10.9K	0.00	82.23	3	0	1,463	833
2019-09-27	$51.44	$50.00	37.8%	10.8%	29.4%	16.0%	37.9%	5.7%	7.8%	104.3K	-3.5M	-10.9K	0.00	77.95	0	1	1,463	833
2019-09-30	$52.68	$50.00	33.1%	9.5%	30.4%	6.0%	35.0%	6.7%	9.3%	126.6K	-4.0M	-10.4K	0.55	78.43	11	6	1,463	831