FN Options History — March 2020

In March 2020, FN traded between $46.55 and $60.24. ATM implied volatility averaged 77.2%, placing in the 79.8% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 16.3% (HV 20d: 61.0%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 12.23.

Notable Days

  • 2020-03-25: Highest Volume — 506 contracts
  • 2020-03-18: Largest IV spike — 34.1% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 30.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.78$46.55$60.24$57.20$53.93
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV77.2%46.1%105.8%55.4%66.2%
Expected Move21.6%13.2%30.3%15.9%19.0%
HV 20d61.0%42.0%82.1%46.4%82.1%
HV 60d44.4%35.0%56.4%35.2%56.4%
IV Rank79.8%50.0%100.0%72.0%50.9%
IV Percentile96.9%78.2%100.0%94.8%92.5%
Term Structure-11.5%-29.3%11.6%-7.5%-5.0%
VWIV75.4%46.2%116.5%49.4%63.4%
Skew 25d19.1%8.0%40.6%15.1%15.2%
Skew 10d41.4%13.7%113.6%34.7%24.0%
Call IV 25d66.2%43.8%91.1%47.6%63.8%
Put IV 25d85.2%53.2%119.3%62.6%79.0%
Bid-Ask Spread %81.9550.10106.5878.74100.29
Gamma HHI0.360.190.510.480.20
Net GEX-71.4K-116.8K-20.6K-105.4K-72.8K
Net DEX2.8M1.0M4.3M2.1M2.4M
Net VEX-15.6K-18.6K-12.5K-15.8K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.230.00100.209.097.40
Total Volume92.54505061110
Total OI2,155.8181,5872,4021,9572,402

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$57.20$60.0055.4%15.9%46.4%72.0%49.4%15.1%-7.5%-105.4K2.1M-15.8K9.0978.74111006201,337
2020-03-03$57.02$60.0057.4%16.4%46.2%76.8%51.7%10.6%-10.2%-116.8K2.4M-16.3K0.1986.5470136261,438
2020-03-04$58.98$60.0046.1%13.2%42.0%50.0%46.2%9.4%-2.7%-91.6K1.4M-16.9K0.0981.352326791,442
2020-03-05$60.24$60.0061.0%15.1%43.2%85.3%53.0%8.0%-5.6%-58.2K1.0M-17.6K6.3265.05221396971,442
2020-03-06$59.40$60.0066.8%17.9%42.6%99.2%61.9%11.4%-11.7%-71.1K1.7M-18.6K1.4067.25576961,557
2020-03-09$54.17$60.0084.6%21.2%52.5%100.0%64.0%23.7%-24.5%-104.1K3.3M-16.8K2.4763.2317426961,564
2020-03-10$55.29$60.0082.2%19.3%52.6%96.0%0.0%14.1%-17.1%-109.7K2.9M-17.6K2.0050.105106931,585
2020-03-11$51.05$60.0071.7%20.5%56.8%78.3%70.2%14.8%-12.5%-103.6K4.2M-15.3K13.5054.972276931,590
2020-03-12$49.13$60.0083.7%24.0%56.6%98.5%81.2%16.1%-12.8%-79.5K4.2M-14.8K0.7070.351076951,584
2020-03-13$51.15$60.0085.8%24.6%60.0%100.0%0.0%14.1%-16.8%-104.4K4.3M-14.4K8.0081.632166901,583
2020-03-16$50.39$60.0093.4%26.8%59.6%100.0%100.1%16.4%-21.1%-89.2K3.9M-14.6K0.0077.344206901,587
2020-03-17$49.69$60.0078.8%22.6%59.3%78.6%87.6%23.3%-14.1%-87.3K4.1M-14.2K15.3372.17152307321,586
2020-03-18$46.55$60.00105.8%30.3%61.8%100.0%104.9%28.2%-29.3%-20.6K4.1M-12.5K32.0083.83113527471,466
2020-03-19$49.32$60.0094.7%27.2%67.0%86.3%101.4%29.7%-19.4%-64.6K3.5M-13.9K0.0085.54027581,409
2020-03-20$48.25$60.0081.7%23.4%66.7%70.2%0.0%8.5%-15.6%-23.8K3.8M-12.6K0.00106.58007581,383
2020-03-23$48.77$60.0091.7%26.3%65.3%82.6%90.9%9.4%-15.3%-22.0K1.8M-12.6K0.09100.88111613974
2020-03-24$53.34$60.0083.3%23.9%73.6%72.1%0.0%36.6%-11.2%-21.6K1.3M-13.9K15.9098.3010159616973
2020-03-25$54.04$60.0072.3%20.7%73.7%58.5%116.5%40.6%2.5%-27.2K1.2M-15.2K100.2089.3555016251,175
2020-03-26$52.70$60.0069.5%19.9%73.7%55.1%66.7%10.6%1.9%-58.5K2.2M-17.0K7.7797.07131016241,653
2020-03-27$48.45$60.0086.9%24.9%78.8%76.6%73.1%38.9%-16.5%-70.0K3.3M-17.2K10.0097.571106241,752
2020-03-30$52.01$60.0080.2%23.0%80.8%68.3%63.4%25.4%11.6%-69.1K2.8M-17.6K7.4094.735376251,749
2020-03-31$53.93$60.0066.2%19.0%82.1%50.9%0.0%15.2%-5.0%-72.8K2.4M-17.8K0.00100.29006371,765