FN Options History — February 2020

In February 2020, FN traded between $54.28 and $68.03. ATM implied volatility averaged 38.3%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 1.3% (HV 20d: 39.6%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 3.79.

Notable Days

2020-02-03: Highest Volume — 1,290 contracts
2020-02-04: Largest IV drop — 45.3% change
2020-02-28: Highest IV Rank — 87.3%
2020-02-28: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.91	$54.28	$68.03	$63.69	$54.28
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	38.3%	29.5%	61.8%	58.6%	61.8%
Expected Move	11.0%	8.4%	17.7%	16.8%	17.7%
HV 20d	39.6%	31.1%	43.8%	31.1%	43.3%
HV 60d	29.9%	25.2%	33.5%	25.2%	33.5%
IV Rank	30.4%	10.3%	87.3%	64.4%	87.3%
IV Percentile	42.0%	7.9%	98.0%	96.4%	98.0%
Term Structure	-2.9%	-13.5%	0.3%	-13.5%	-8.8%
VWIV	37.3%	29.9%	57.8%	57.4%	57.8%
Skew 25d	6.2%	3.6%	12.4%	9.5%	12.4%
Skew 10d	13.4%	6.0%	26.5%	19.7%	26.5%
Call IV 25d	35.9%	28.7%	57.5%	56.0%	57.5%
Put IV 25d	42.1%	33.5%	69.9%	65.5%	69.9%
Bid-Ask Spread %	64.43	24.48	79.76	27.44	74.42
Gamma HHI	0.53	0.25	0.79	0.68	0.47
Net GEX	191.8K	-108.6K	593.4K	350.3K	-93.8K
Net DEX	-715.4K	-4.8M	2.8M	-3.1M	2.8M
Net VEX	-16.9K	-24.8K	-13.1K	-24.8K	-15.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.79	0.09	27.00	0.18	1.18
Total Volume	242.947	20	1,290	1,290	61
Total OI	3,180.316	1,773	4,106	4,106	1,925

Daily Data (19 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
2020-02-03	$63.69	$65.00	58.6%	16.8%	31.1%	64.4%	57.4%	9.5%	-13.5%	350.3K	-3.1M	-24.8K	0.18	27.44	1,093	197	3,208	898
2020-02-04	$67.65	$65.00	32.1%	9.2%	37.3%	13.4%	33.3%	4.8%	-1.5%	593.4K	-4.8M	-22.8K	0.29	62.82	956	278	2,875	1,036
2020-02-05	$67.42	$65.00	33.1%	9.5%	36.8%	19.1%	32.2%	4.0%	-0.2%	460.2K	-3.4M	-19.7K	1.00	46.92	85	85	2,506	973
2020-02-06	$65.70	$65.00	31.6%	9.1%	37.9%	15.4%	29.9%	3.6%	-0.1%	302.7K	-1.5M	-17.8K	0.25	65.27	134	34	2,510	1,003
2020-02-07	$64.35	$65.00	30.5%	9.1%	38.4%	12.8%	30.1%	4.2%	-0.6%	204.9K	-882.3K	-17.8K	1.66	71.40	35	58	2,571	1,001
2020-02-10	$65.59	$65.00	32.0%	9.2%	38.7%	16.5%	30.5%	5.3%	-0.5%	307.3K	-1.7M	-17.5K	0.18	24.48	65	12	2,563	999
2020-02-11	$67.18	$65.00	33.0%	9.5%	39.1%	18.7%	31.8%	4.7%	-1.0%	489.1K	-3.0M	-18.4K	0.43	60.00	91	39	2,562	996
2020-02-12	$68.03	$65.00	29.5%	8.4%	39.3%	10.3%	31.8%	4.7%	0.3%	587.4K	-3.7M	-18.7K	1.05	69.32	21	22	2,549	1,021
2020-02-13	$67.24	$65.00	32.1%	9.2%	39.5%	16.6%	33.0%	4.5%	-0.5%	484.4K	-2.7M	-17.6K	0.11	69.52	132	14	2,546	1,027
2020-02-14	$65.07	$65.00	31.1%	8.9%	40.3%	14.3%	32.6%	5.0%	-0.2%	189.3K	-872.2K	-15.5K	1.44	75.00	34	49	2,615	1,036
2020-02-18	$63.15	$65.00	31.8%	9.1%	39.9%	16.0%	31.8%	5.3%	-0.9%	34.7K	198.3K	-13.8K	0.09	79.76	105	9	2,621	1,037
2020-02-19	$63.49	$65.00	31.0%	8.9%	40.0%	14.0%	32.2%	3.9%	-0.7%	69.8K	-100.3K	-13.7K	2.05	74.66	21	43	2,628	1,021
2020-02-20	$63.28	$65.00	31.4%	9.0%	38.9%	15.1%	35.4%	5.2%	-0.7%	58.8K	101.3K	-13.9K	3.00	73.82	5	15	2,639	1,028
2020-02-21	$61.38	$65.00	37.1%	10.6%	39.9%	28.6%	40.1%	6.0%	-2.5%	12.8K	547.0K	-13.1K	17.72	73.60	36	638	2,639	1,029
2020-02-24	$58.15	$65.00	41.1%	11.8%	43.5%	38.1%	42.7%	8.5%	-3.9%	-90.7K	1.8M	-14.7K	6.29	68.11	14	88	585	1,188
2020-02-25	$56.65	$65.00	49.1%	14.1%	43.8%	57.0%	39.3%	8.6%	-6.8%	-105.1K	2.3M	-15.3K	4.40	68.15	10	44	588	1,262
2020-02-26	$57.18	$65.00	48.1%	13.8%	42.4%	54.6%	49.8%	8.0%	-6.1%	-108.6K	2.1M	-15.2K	0.00	67.15	0	65	597	1,245
2020-02-27	$55.84	$65.00	52.5%	15.1%	42.8%	65.3%	0.0%	8.8%	-6.8%	-102.5K	2.4M	-15.5K	27.00	72.32	1	27	597	1,302
2020-02-28	$54.28	$65.00	61.8%	17.7%	43.3%	87.3%	57.8%	12.4%	-8.8%	-93.8K	2.8M	-15.8K	1.18	74.42	28	33	596	1,329