FN Options History — December 2019

In December 2019, FN traded between $58.47 and $65.45. ATM implied volatility averaged 28.2%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.4% (HV 20d: 24.8%). Max pain ranged from $37.00 to $60.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.56.

Notable Days

2019-12-11: Highest Volume — 146 contracts
2019-12-30: Largest IV spike — 5.4% change
2019-12-02: Highest IV Rank — 8.6%
2019-12-02: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.58	$58.47	$65.45	$59.26	$65.12
Max Pain	$40.29	$37.00	$60.00	$60.00	$37.00
ATM IV	28.2%	25.1%	32.7%	32.7%	26.9%
Expected Move	8.1%	7.2%	9.4%	9.4%	7.7%
HV 20d	24.8%	17.8%	31.4%	31.4%	24.6%
HV 60d	30.3%	29.1%	31.6%	29.7%	29.1%
IV Rank	2.6%	0.0%	8.6%	8.6%	3.4%
IV Percentile	2.4%	0.0%	10.7%	10.7%	3.6%
Term Structure	7.7%	-1.2%	12.9%	-1.2%	12.9%
VWIV	29.8%	23.9%	38.9%	31.8%	31.1%
Skew 25d	3.7%	-6.4%	6.5%	5.5%	4.3%
Skew 10d	7.1%	-5.6%	14.2%	3.3%	7.1%
Call IV 25d	26.7%	23.6%	31.4%	31.2%	25.2%
Put IV 25d	30.5%	19.1%	37.5%	36.7%	29.5%
Bid-Ask Spread %	89.07	75.19	97.62	81.28	94.10
Gamma HHI	0.35	0.26	0.48	0.43	0.26
Net GEX	16.0K	-58.1K	65.2K	-43.1K	42.1K
Net DEX	-5.6M	-6.6M	-3.9M	-4.2M	-6.5M
Net VEX	-10.6K	-12.0K	-9.1K	-11.8K	-12.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.00	10.23	0.00	0.00
Total Volume	33.19	3	146	26	5
Total OI	2,407.762	2,143	2,684	2,424	2,190

Daily Data (21 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
2019-12-02	$59.26	$60.00	32.7%	9.4%	31.4%	8.6%	31.8%	5.5%	-1.2%	-43.1K	-4.2M	-11.8K	0.00	81.28	26	0	1,150	1,274
2019-12-03	$58.63	$60.00	32.6%	9.4%	26.9%	8.5%	32.6%	6.1%	-0.7%	-56.3K	-3.9M	-12.0K	4.50	75.19	2	9	1,149	1,274
2019-12-04	$59.76	$60.00	31.7%	9.1%	19.9%	6.5%	38.9%	6.5%	-0.6%	-34.5K	-4.5M	-10.9K	1.00	81.70	2	2	1,149	1,278
2019-12-05	$59.93	$37.00	30.9%	8.9%	19.5%	4.9%	36.8%	4.3%	5.6%	-29.6K	-4.6M	-10.5K	5.00	86.64	2	10	1,151	1,277
2019-12-06	$60.49	$37.00	29.8%	8.8%	19.5%	2.7%	0.0%	3.8%	5.9%	-13.5K	-4.9M	-9.9K	0.50	89.13	10	5	1,149	1,279
2019-12-09	$59.59	$37.00	31.1%	8.8%	17.8%	5.3%	32.5%	4.7%	5.9%	-27.6K	-4.6M	-9.9K	0.75	86.68	8	6	1,159	1,279
2019-12-10	$58.47	$37.00	31.2%	8.6%	19.1%	5.4%	0.0%	4.5%	6.7%	-58.1K	-4.0M	-10.6K	0.00	84.75	0	3	1,161	1,280
2019-12-11	$60.58	$37.00	29.6%	8.5%	22.6%	2.2%	29.6%	4.3%	7.3%	13.2K	-5.1M	-9.1K	10.23	87.00	13	133	1,161	1,283
2019-12-12	$63.12	$37.00	28.0%	8.0%	26.6%	0.0%	28.9%	4.7%	7.0%	40.0K	-5.8M	-10.4K	0.12	90.82	51	6	1,157	1,416
2019-12-13	$62.68	$37.00	27.6%	7.9%	26.8%	0.0%	29.5%	4.1%	7.5%	47.8K	-5.7M	-10.2K	2.44	90.05	9	22	1,155	1,414
2019-12-16	$63.69	$37.00	26.8%	7.7%	26.8%	0.0%	24.8%	4.7%	8.2%	43.1K	-6.0M	-9.6K	0.05	88.85	20	1	1,157	1,420
2019-12-17	$64.72	$37.00	26.1%	7.5%	27.3%	0.0%	26.9%	4.8%	8.5%	38.5K	-6.3M	-9.1K	0.93	88.95	14	13	1,152	1,421
2019-12-18	$64.56	$37.00	26.6%	7.6%	27.3%	0.9%	30.3%	4.3%	8.9%	44.4K	-6.2M	-9.3K	4.00	89.25	7	28	1,156	1,430
2019-12-19	$64.86	$37.00	26.3%	7.5%	26.9%	0.4%	23.9%	4.7%	8.5%	52.7K	-6.3M	-9.2K	0.01	91.08	104	1	1,154	1,441
2019-12-20	$64.47	$37.00	26.1%	7.5%	26.3%	0.0%	27.1%	4.3%	8.3%	65.2K	-6.3M	-10.7K	0.26	92.80	62	16	1,243	1,441
2019-12-23	$64.39	$37.00	25.1%	7.2%	26.3%	0.0%	25.1%	3.1%	12.8%	45.1K	-6.3M	-11.8K	0.83	92.44	6	5	1,284	859
2019-12-24	$64.81	$37.00	25.5%	7.3%	26.3%	0.7%	30.6%	4.3%	12.8%	43.5K	-6.4M	-11.8K	0.00	92.21	14	0	1,292	863
2019-12-26	$65.45	$37.00	25.6%	7.3%	26.3%	1.0%	25.6%	-2.8%	12.7%	40.1K	-6.6M	-11.6K	0.33	97.62	6	2	1,288	863
2019-12-27	$64.74	$37.00	25.7%	7.4%	26.8%	1.1%	30.4%	-6.4%	12.8%	41.8K	-6.4M	-11.5K	0.00	96.42	6	0	1,291	865
2019-12-30	$64.96	$37.00	27.1%	7.8%	26.5%	3.8%	31.1%	4.7%	12.4%	40.9K	-6.5M	-11.3K	0.33	93.48	51	17	1,293	865
2019-12-31	$65.12	$37.00	26.9%	7.7%	24.6%	3.4%	0.0%	4.3%	12.9%	42.1K	-6.5M	-12.0K	0.00	94.10	5	0	1,320	870