FN Options History — July 2020

In July 2020, FN traded between $61.58 and $72.38. ATM implied volatility averaged 44.8%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 10.8% (HV 20d: 34.0%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2020-07-06: Highest Volume — 432 contracts
  • 2020-07-13: Largest IV spike — 41.2% change
  • 2020-07-14: Highest IV Rank — 52.1%
  • 2020-07-17: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.36$61.58$72.38$61.58$72.38
Max Pain$60.68$60.00$65.00$60.00$65.00
ATM IV44.8%32.8%67.1%36.9%47.0%
Expected Move13.2%9.4%14.7%10.6%13.5%
HV 20d34.0%26.7%44.9%43.6%26.7%
HV 60d41.6%39.5%44.0%44.0%39.5%
IV Rank24.5%9.5%52.1%14.6%27.1%
IV Percentile58.4%23.4%90.5%42.1%63.1%
Term Structure-1.1%-6.3%15.4%15.4%-2.7%
VWIV46.7%32.8%55.1%33.0%45.5%
Skew 25d3.7%-14.0%19.5%6.8%-14.0%
Skew 10d13.9%-11.9%40.3%4.6%4.4%
Call IV 25d49.8%33.0%70.8%33.0%70.8%
Put IV 25d53.5%36.8%71.2%39.8%56.8%
Bid-Ask Spread %83.9271.10100.11100.1178.58
Gamma HHI0.270.220.600.220.23
Net GEX50.0K9.6K207.3K31.5K21.8K
Net DEX-897.5K-1.6M-166.0K-166.0K-1.6M
Net VEX-11.9K-12.8K-10.9K-12.5K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.007.500.030.00
Total Volume55.63614323719
Total OI1,361.7731,0261,6201,5751,118

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$61.58$60.0036.9%10.6%43.6%14.6%33.0%6.8%15.4%31.5K-166.0K-12.5K0.03100.11361763812
2020-07-02$62.95$60.0032.8%9.4%43.7%9.5%32.8%1.0%13.6%60.3K-694.4K-12.3K0.1096.63495807813
2020-07-06$64.15$60.0034.6%13.3%43.8%11.8%47.5%-1.5%-2.0%68.2K-900.7K-12.5K2.3885.64128304783812
2020-07-07$64.15$60.0038.8%13.7%43.0%17.0%50.1%8.7%-3.8%66.1K-864.1K-12.8K0.1882.29224787812
2020-07-08$62.89$60.0038.6%14.1%43.4%16.7%0.0%-1.7%-6.3%51.3K-499.3K-12.6K0.0075.4820790815
2020-07-09$64.96$60.0038.4%13.6%44.9%16.5%0.0%-2.8%-2.4%77.5K-1.0M-12.5K0.0083.5740788815
2020-07-10$64.24$60.0038.3%13.9%32.9%16.3%0.0%2.3%-1.6%74.6K-760.0K-12.7K0.1177.0091789815
2020-07-13$63.34$60.0054.0%14.3%33.1%35.8%0.0%5.1%-4.8%60.8K-578.8K-12.2K0.2088.1551798816
2020-07-14$63.78$60.0067.1%14.2%32.8%52.1%0.0%11.3%-5.4%65.8K-727.9K-12.0K0.0079.4201796817
2020-07-15$65.28$60.0047.4%13.6%30.9%27.7%55.1%-1.3%-3.7%93.4K-1.1M-12.1K2.6871.10111297795816
2020-07-16$63.55$60.0049.3%14.1%32.3%29.9%54.0%15.9%-3.3%64.0K-639.3K-11.5K3.7585.33415792808
2020-07-17$64.78$60.0051.4%14.7%30.6%32.6%51.4%17.6%-2.1%207.3K-889.8K-11.1K0.0390.96582793823
2020-07-20$66.54$60.0047.0%13.5%31.0%27.2%50.7%-0.4%-0.6%9.6K-585.2K-11.7K0.0982.21222444582
2020-07-21$67.10$60.0043.1%12.4%31.0%22.4%43.2%6.2%2.3%13.1K-669.1K-11.4K0.3381.2262445583
2020-07-22$67.73$60.0048.8%14.0%31.0%29.4%0.0%6.9%-5.3%11.1K-737.4K-11.3K0.0088.56210446587
2020-07-23$69.17$60.0043.4%12.5%29.5%22.7%50.0%-2.8%0.8%17.7K-1.0M-11.2K0.0089.4620467587
2020-07-24$68.61$60.0044.4%12.7%29.7%23.9%42.5%-3.1%-0.7%14.3K-1.0M-11.4K0.5081.3121469587
2020-07-27$69.81$60.0045.9%13.1%29.4%25.7%0.0%7.1%-3.9%21.1K-1.1M-10.9K0.0080.88460470586
2020-07-28$69.44$60.0044.7%12.8%29.6%24.3%49.5%7.3%-1.3%24.8K-1.2M-11.7K7.5080.69215511586
2020-07-29$71.31$65.0048.4%13.9%28.1%28.9%47.8%19.5%-3.0%19.9K-1.4M-12.1K1.7587.7347513601
2020-07-30$72.13$65.0046.4%13.3%27.2%26.4%47.4%-5.8%-3.5%25.3K-1.5M-11.5K0.0079.97140514608
2020-07-31$72.38$65.0047.0%13.5%26.7%27.1%45.5%-14.0%-2.7%21.8K-1.6M-11.5K0.0078.58190510608