FN Options History — May 2020

In May 2020, FN traded between $54.70 and $64.81. ATM implied volatility averaged 47.9%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 1.3% (HV 20d: 46.6%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 4.51.

Notable Days

  • 2020-05-21: Highest Volume — 1,512 contracts
  • 2020-05-05: Largest IV drop — 48.8% change
  • 2020-05-04: Highest IV Rank — 57.6%
  • 2020-05-01: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.41$54.70$64.81$59.75$63.95
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV47.9%36.7%71.6%71.5%41.9%
Expected Move13.3%11.4%20.5%20.5%12.0%
HV 20d46.6%36.1%55.8%55.8%49.5%
HV 60d61.9%60.7%63.5%61.2%61.7%
IV Rank28.2%14.4%57.6%57.5%20.9%
IV Percentile67.3%43.7%92.9%92.9%57.9%
Term Structure-2.3%-16.7%5.1%-16.7%-0.8%
VWIV46.3%35.9%64.9%64.9%42.1%
Skew 25d10.4%-4.0%22.9%19.7%14.7%
Skew 10d25.0%-7.0%48.9%48.9%27.6%
Call IV 25d42.9%34.5%61.8%61.8%34.6%
Put IV 25d53.3%46.6%81.6%81.6%49.2%
Bid-Ask Spread %81.9668.1895.0176.6291.80
Gamma HHI0.360.190.640.200.59
Net GEX33.8K-104.5K335.7K-41.2K295.7K
Net DEX-274.5K-5.0M2.2M779.8K-3.5M
Net VEX-16.3K-24.1K-13.2K-15.7K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.510.0028.000.050.00
Total Volume188.341,5124635
Total OI2,328.71,3322,8952,1512,559

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$59.75$60.0071.5%20.5%55.8%57.5%64.9%19.7%-16.7%-41.2K779.8K-15.7K0.0576.624425101,641
2020-05-04$58.77$60.0071.6%13.1%54.1%57.6%48.3%17.2%0.9%-51.9K1.1M-15.3K2.2374.51902015321,643
2020-05-05$58.15$60.0036.7%12.8%44.3%14.4%49.0%7.2%-1.1%-53.0K989.4K-14.3K8.2282.13322635141,856
2020-05-06$58.60$60.0043.6%12.4%42.2%22.9%0.0%6.6%-0.7%-99.5K1.7M-14.8K7.7568.184315252,105
2020-05-07$58.71$60.0040.8%12.5%42.2%19.5%46.5%12.2%-2.0%-104.5K1.7M-14.3K1.8076.8310185252,113
2020-05-08$61.25$60.0042.4%12.1%43.9%21.4%47.4%5.4%-0.9%-78.0K960.6K-14.4K28.0079.551285232,098
2020-05-11$61.89$60.0055.8%12.5%41.9%38.1%44.4%7.0%5.1%-67.0K746.2K-14.1K20.0581.44193815182,098
2020-05-12$59.75$60.0058.0%15.3%36.1%40.7%57.4%22.9%-11.5%-61.2K938.1K-13.8K3.0095.014125351,998
2020-05-13$56.85$60.0045.1%12.9%39.7%24.7%47.6%-4.0%-2.6%-93.0K1.5M-13.6K14.1781.166855872,007
2020-05-14$55.58$60.0051.9%14.9%40.0%33.2%50.4%14.7%-6.5%-101.5K1.7M-13.3K1.0279.1041425891,955
2020-05-15$54.70$60.0047.9%13.7%40.1%28.2%0.0%1.9%-2.5%-104.0K2.2M-13.2K3.0085.99136221,961
2020-05-18$58.60$60.0042.0%12.0%48.0%21.0%35.9%15.1%-0.9%-14.8K619.2K-13.5K0.0085.8580485847
2020-05-19$60.82$60.0045.5%13.0%50.0%25.3%41.6%9.5%-2.0%-6.7K277.9K-13.5K0.0987.85111487847
2020-05-20$63.15$60.0039.9%11.4%51.1%18.4%39.6%13.9%-0.9%6.3K-101.0K-13.9K0.4083.5613955497846
2020-05-21$62.50$60.0048.0%13.8%50.7%28.3%46.7%5.9%0.2%13.2K-345.9K-14.9K0.0179.561,49121629873
2020-05-22$62.41$60.0047.7%13.7%50.4%28.0%44.8%14.3%-0.9%257.0K-3.2M-23.3K0.0783.18180131,854883
2020-05-26$63.80$60.0042.6%12.2%50.5%21.7%42.5%8.5%0.1%335.7K-4.5M-24.1K0.2077.10125252,009886
2020-05-27$64.81$60.0042.6%12.2%50.3%21.7%42.8%8.5%-1.4%335.6K-5.0M-22.7K0.0285.3824741,916861
2020-05-28$64.10$60.0041.9%12.0%50.5%20.8%42.3%7.0%-0.7%308.9K-4.0M-21.9K0.0984.358581,775865
2020-05-29$63.95$60.0041.9%12.0%49.5%20.9%42.1%14.7%-0.8%295.7K-3.5M-20.7K0.0091.803501,694865