FN Options History — April 2020

In April 2020, FN traded between $51.99 and $66.25. ATM implied volatility averaged 65.9%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 4.1% (HV 20d: 70.0%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 3.87.

Notable Days

  • 2020-04-27: Highest Volume — 203 contracts
  • 2020-04-07: Largest IV drop — 28.8% change
  • 2020-04-01: Highest IV Rank — 74.2%
  • 2020-04-01: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.77$51.99$66.25$53.87$63.18
Max Pain$52.14$45.00$60.00$60.00$60.00
ATM IV65.9%50.1%85.0%85.0%61.7%
Expected Move19.0%15.8%24.4%24.4%17.7%
HV 20d70.0%49.3%82.3%81.0%51.0%
HV 60d60.5%56.1%62.2%56.3%60.2%
IV Rank50.6%31.0%74.2%74.2%45.4%
IV Percentile89.4%79.4%97.6%97.6%83.3%
Term Structure-13.4%-22.4%-2.8%-22.4%-13.0%
VWIV66.2%55.1%83.1%61.9%55.1%
Skew 25d12.1%-3.9%28.2%-3.7%14.8%
Skew 10d32.5%-8.8%90.7%90.7%-0.8%
Call IV 25d61.5%45.7%79.6%79.6%54.7%
Put IV 25d73.6%66.1%87.2%75.9%69.5%
Bid-Ask Spread %83.2868.79101.48101.4891.56
Gamma HHI0.190.140.240.200.23
Net GEX-40.8K-84.1K-5.7K-64.8K-6.9K
Net DEX741.7K-331.0K2.8M2.4M62.7K
Net VEX-15.6K-18.2K-12.9K-18.2K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.870.0050.0011.330.06
Total Volume40.333020311133
Total OI2,268.0481,6922,6112,4032,172

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$53.87$60.0085.0%24.4%81.0%74.2%61.9%-3.7%-22.4%-64.8K2.4M-18.2K11.33101.4891026381,765
2020-04-02$53.98$45.0066.4%21.4%80.5%51.2%83.1%15.4%-17.4%-76.3K2.5M-18.1K1.9075.4110196461,867
2020-04-03$51.99$45.0076.4%19.5%81.2%63.6%0.0%6.9%-2.8%-84.1K2.8M-17.7K0.0078.38006561,886
2020-04-06$56.90$45.0070.3%20.3%81.6%56.1%62.7%24.6%-17.5%-68.4K1.6M-17.1K0.0075.872006561,881
2020-04-07$59.07$45.0050.1%15.8%82.3%31.0%58.6%19.3%-9.7%-59.9K976.1K-16.3K0.0083.231106811,881
2020-04-08$59.07$45.0064.4%18.5%76.3%48.8%0.0%9.6%-16.1%-45.9K884.9K-16.8K0.1789.691226841,881
2020-04-09$60.65$45.0066.4%19.0%74.6%51.2%0.0%13.1%-9.7%-37.7K657.7K-17.4K0.0085.921106961,882
2020-04-13$58.53$45.0065.3%18.7%75.4%49.9%67.7%28.2%-15.1%-68.8K1.3M-16.3K0.5084.9520107061,882
2020-04-14$62.67$45.0062.3%17.9%78.0%46.1%0.0%21.9%-11.9%-31.3K-224.0K-14.9K0.0098.14007101,892
2020-04-15$61.83$45.0070.5%20.2%78.0%56.2%0.0%19.3%-14.0%-39.3K74.1K-15.3K0.0093.75007101,892
2020-04-16$62.34$45.0064.0%18.3%72.6%48.2%64.4%10.3%-10.4%-34.0K-260.4K-14.4K0.0090.811407101,889
2020-04-17$61.67$45.0071.9%20.6%71.3%58.0%73.1%11.7%-19.3%-40.0K-331.0K-15.0K0.0784.191517221,889
2020-04-20$61.11$60.0064.0%18.4%70.6%48.3%65.1%18.2%-15.8%-38.7K965.8K-15.3K0.5081.67422901,402
2020-04-21$61.29$60.0064.6%18.5%70.7%49.0%73.2%-1.4%-5.5%-38.4K861.0K-15.1K50.0076.6621002941,403
2020-04-22$62.81$60.0065.1%18.7%64.7%49.6%64.8%12.9%-15.9%-41.8K804.0K-15.0K0.0068.79602961,502
2020-04-23$64.10$60.0067.9%19.5%64.8%53.1%67.7%2.6%-10.5%-25.6K340.9K-14.0K0.0073.201002991,502
2020-04-24$64.96$60.0059.1%17.0%63.6%42.2%0.0%20.7%-8.1%-23.8K215.6K-13.7K0.0072.21003091,502
2020-04-27$66.25$60.0062.5%17.9%52.9%46.4%71.9%-3.9%-10.4%-16.2K-2.4K-12.9K0.9781.341031003091,502
2020-04-28$64.88$60.0063.5%18.2%50.1%47.6%62.6%4.4%-15.3%-5.7K35.5K-13.7K0.3274.28116374161,602
2020-04-29$64.97$60.0063.1%18.1%49.3%47.1%61.4%9.2%-20.3%-9.9K-94.7K-15.6K0.0087.287804881,639
2020-04-30$63.18$60.0061.7%17.7%51.0%45.4%55.1%14.8%-13.0%-6.9K62.7K-15.5K0.0691.563125331,639