FN Options History — January 2020

In January 2020, FN traded between $63.31 and $67.99. ATM implied volatility averaged 40.1%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 16.9% (HV 20d: 23.2%). Max pain ranged from $37.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.50.

Notable Days

  • 2020-01-29: Highest Volume — 3,173 contracts
  • 2020-01-15: Largest IV spike — 37.7% change
  • 2020-01-30: Highest IV Rank — 73.4%
  • 2020-01-30: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.06$63.31$67.99$65.81$63.31
Max Pain$59.95$37.00$65.00$37.00$65.00
ATM IV40.1%26.4%63.2%26.4%58.2%
Expected Move12.7%7.6%18.1%7.6%16.7%
HV 20d23.2%17.0%31.0%24.0%31.0%
HV 60d28.2%27.3%29.1%29.1%27.6%
IV Rank28.9%2.5%73.4%2.5%63.7%
IV Percentile50.0%2.8%97.6%2.8%96.0%
Term Structure-5.8%-15.4%13.4%13.4%-12.1%
VWIV45.2%30.9%60.5%34.2%58.5%
Skew 25d6.8%-1.2%11.3%-1.2%11.3%
Skew 10d14.5%-4.2%24.5%-4.2%22.1%
Call IV 25d41.3%24.2%58.6%24.2%58.6%
Put IV 25d48.1%23.0%70.0%23.0%70.0%
Bid-Ask Spread %58.3234.7496.6696.6635.85
Gamma HHI0.340.250.760.260.76
Net GEX57.8K8.8K311.4K41.7K311.4K
Net DEX-4.4M-6.9M-478.6K-6.8M-3.5M
Net VEX-13.7K-25.8K-11.6K-11.8K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.0424.001.800.10
Total Volume28733,17314982
Total OI2,002.1431,0753,5522,1953,552

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$65.81$37.0026.4%7.6%24.0%2.5%34.2%-1.2%13.4%41.7K-6.8M-11.8K1.8096.66591,325870
2020-01-03$66.06$37.0028.0%8.0%23.5%5.5%30.9%6.3%12.2%39.8K-6.8M-11.6K3.0093.65261,324879
2020-01-06$64.73$55.0029.1%11.7%25.1%7.7%42.2%6.0%-5.3%41.4K-6.4M-11.7K0.4857.6621101,324885
2020-01-07$65.92$60.0029.5%11.8%25.6%8.5%39.0%5.9%-5.4%39.4K-6.8M-11.8K0.8056.34541,322895
2020-01-08$66.44$60.0029.2%11.9%24.6%7.8%44.4%5.9%-5.7%39.8K-6.9M-11.6K9.8656.037691,326893
2020-01-09$65.69$60.0028.1%11.6%23.7%5.7%37.5%6.2%-5.2%24.2K-6.6M-12.1K0.5655.6018101,324959
2020-01-10$64.69$60.0026.6%11.5%22.1%2.9%40.0%6.5%-5.5%35.2K-6.3M-11.9K2.0057.46121,339949
2020-01-13$65.90$60.0030.0%11.8%18.0%9.5%41.5%5.7%-5.7%35.6K-6.7M-11.7K0.1955.372141,340950
2020-01-14$66.12$60.0029.8%11.9%17.7%9.1%39.1%6.1%-6.2%35.4K-6.8M-11.7K0.1154.572831,344954
2020-01-15$66.07$60.0041.1%11.8%17.0%30.8%53.3%6.7%-5.8%40.7K-6.8M-11.8K0.6758.2833221,358951
2020-01-16$64.42$60.0040.8%11.7%18.7%30.2%40.7%6.0%-6.9%46.6K-6.1M-11.6K0.1857.75102181,335972
2020-01-17$66.49$65.0041.7%12.0%21.8%32.0%43.2%6.5%-7.5%27.9K-6.5M-11.8K3.7957.24291101,284986
2020-01-21$66.12$65.0044.9%12.9%21.9%38.2%48.4%6.7%-6.6%8.8K-478.6K-13.0K24.0053.53124423652
2020-01-22$67.67$65.0043.1%12.4%23.1%34.7%43.9%6.2%-6.0%11.1K-731.8K-12.8K0.2158.436714424665
2020-01-23$67.99$65.0044.1%12.7%23.1%36.7%45.6%7.2%-6.7%20.9K-894.7K-13.4K1.0861.531314483675
2020-01-24$67.10$65.0047.9%13.7%23.7%43.8%47.6%7.1%-7.8%18.4K-738.8K-13.5K0.0061.1805492680
2020-01-27$65.86$65.0051.1%14.7%24.5%50.1%50.1%8.8%-9.8%12.8K-526.7K-13.4K0.5853.6314684492679
2020-01-28$67.63$65.0047.6%13.6%25.8%43.2%48.1%9.2%-8.5%42.5K-1.2M-14.3K0.4755.383818624706
2020-01-29$67.04$65.0062.3%17.9%26.1%71.6%60.4%9.2%-15.0%31.3K-998.8K-14.2K0.0553.813,032141608703
2020-01-30$66.30$65.0063.2%18.1%26.5%73.4%60.5%9.9%-15.4%307.8K-5.0M-25.8K0.0434.74871382,298801
2020-01-31$63.31$65.0058.2%16.7%31.0%63.7%58.5%11.3%-12.1%311.4K-3.5M-25.4K0.1035.85894882,722830