FN Options History — June 2020

In June 2020, FN traded between $58.82 and $67.49. ATM implied volatility averaged 42.5%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 1.8% (HV 20d: 44.3%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2020-06-04: Highest Volume — 670 contracts
  • 2020-06-08: Largest IV spike — 32.6% change
  • 2020-06-15: Highest IV Rank — 30.5%
  • 2020-06-15: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.88$58.82$67.49$65.85$62.36
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV42.5%33.3%49.7%42.3%39.9%
Expected Move12.1%10.6%14.3%12.1%11.4%
HV 20d44.3%40.9%49.9%45.7%43.7%
HV 60d54.1%47.4%61.8%61.8%47.5%
IV Rank21.6%10.2%30.5%21.3%18.3%
IV Percentile57.0%27.0%75.0%58.3%47.6%
Term Structure4.5%-2.2%10.7%-0.4%9.7%
VWIV43.6%35.0%60.0%42.0%38.6%
Skew 25d5.9%-4.0%14.9%6.8%5.1%
Skew 10d10.4%-19.7%32.2%12.3%4.0%
Call IV 25d41.1%36.4%56.6%40.5%39.2%
Put IV 25d47.1%42.2%56.7%47.3%44.3%
Bid-Ask Spread %82.4562.9191.6885.0491.16
Gamma HHI0.430.210.680.610.24
Net GEX186.1K6.0K438.5K322.0K31.9K
Net DEX-2.0M-5.6M256.0K-4.9M-300.6K
Net VEX-16.0K-20.6K-12.6K-20.1K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.005.780.021.67
Total Volume108.18276701298
Total OI2,190.3181,5032,6062,5511,560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$65.85$60.0042.3%12.1%45.7%21.3%42.0%6.8%-0.4%322.0K-4.9M-20.1K0.0285.0412721,686865
2020-06-02$66.00$60.0042.2%12.1%45.0%21.2%42.3%8.1%-0.8%272.9K-4.5M-19.4K0.0885.18222181,571867
2020-06-03$66.58$60.0036.9%10.6%44.6%14.6%35.0%3.2%5.2%327.0K-4.7M-18.0K0.3891.68119451,486883
2020-06-04$64.87$60.0039.5%11.0%46.1%17.8%45.0%8.7%5.9%307.1K-3.3M-18.4K1.1462.913133571,529928
2020-06-05$66.08$60.0033.3%10.9%46.3%10.2%60.0%7.4%7.6%384.3K-4.7M-20.6K0.1189.47101111,669937
2020-06-08$67.49$60.0044.2%11.6%44.6%23.7%39.9%6.6%3.9%293.9K-5.6M-19.1K0.1165.69183211,621926
2020-06-09$67.46$60.0044.6%11.8%44.6%24.1%41.6%5.1%2.7%289.7K-5.2M-18.9K0.0366.333111,571946
2020-06-10$66.34$60.0040.4%11.6%42.9%19.0%40.6%1.0%4.3%331.8K-4.4M-18.6K1.4783.4215221,555946
2020-06-11$61.00$60.0047.8%13.7%49.9%28.1%47.2%-4.0%-2.2%180.2K-684.1K-16.9K0.5389.0334181,544951
2020-06-12$60.40$60.0048.4%13.9%49.2%28.8%47.5%14.9%-1.0%152.5K-372.7K-16.5K5.7880.739521,554965
2020-06-15$61.30$60.0049.7%14.3%48.7%30.5%51.0%2.1%2.7%211.8K-932.8K-15.9K0.6078.81531,560914
2020-06-16$63.74$60.0042.5%12.2%44.6%21.6%42.6%4.8%4.2%438.5K-2.3M-16.0K0.0084.613401,556917
2020-06-17$63.20$60.0040.4%11.6%43.0%19.0%41.9%6.7%6.0%365.1K-1.8M-15.4K0.0683.591711,555917
2020-06-18$61.22$60.0045.4%13.0%42.4%25.2%43.7%3.5%6.6%91.4K-116.8K-13.9K0.0076.539901,556917
2020-06-19$60.33$60.0043.3%12.4%42.6%22.5%50.4%2.3%5.0%7.9K-58.9K-13.7K0.0086.47701,589917
2020-06-22$60.56$60.0043.2%12.4%42.6%22.5%46.0%8.9%5.8%21.3K-108.9K-13.4K1.0582.002021724779
2020-06-23$60.45$60.0041.4%11.9%41.7%20.2%36.4%9.6%7.0%19.7K-30.0K-13.5K3.3185.8794311739801
2020-06-24$59.08$60.0042.7%12.2%41.7%21.8%40.3%9.3%5.4%6.0K255.4K-12.8K0.0085.06240744802
2020-06-25$58.82$60.0042.0%12.0%41.6%20.9%41.4%9.5%10.7%6.5K256.0K-12.7K0.1181.1891735802
2020-06-26$60.14$60.0043.5%12.5%42.7%22.8%0.0%10.2%4.5%16.7K214.2K-12.6K2.0090.62612741803
2020-06-29$59.98$60.0041.6%11.9%40.9%20.5%42.8%0.6%6.1%16.7K43.7K-13.1K0.0088.5770744815
2020-06-30$62.36$60.0039.9%11.4%43.7%18.3%38.6%5.1%9.7%31.9K-300.6K-12.6K1.6791.1635745815