FN Options History — August 2020

In August 2020, FN traded between $68.50 and $76.12. ATM implied volatility averaged 45.0%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 13.3% (HV 20d: 31.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.65.

Notable Days

2020-08-17: Highest Volume — 1,113 contracts
2020-08-18: Largest IV drop — 33.8% change
2020-08-10: Highest IV Rank — 50.9%
2020-08-05: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.61	$68.50	$76.12	$73.63	$70.10
Max Pain	$67.14	$65.00	$70.00	$65.00	$70.00
ATM IV	45.0%	33.5%	66.1%	45.2%	37.6%
Expected Move	12.0%	9.6%	15.5%	13.0%	10.8%
HV 20d	31.6%	23.3%	39.2%	26.6%	37.4%
HV 60d	36.7%	34.1%	39.6%	39.6%	36.6%
IV Rank	24.6%	10.4%	50.9%	24.9%	15.5%
IV Percentile	53.5%	26.2%	88.1%	58.3%	36.5%
Term Structure	-1.3%	-8.5%	4.8%	-1.5%	0.9%
VWIV	41.4%	29.0%	62.7%	45.8%	35.6%
Skew 25d	5.1%	-10.9%	27.5%	-10.9%	6.3%
Skew 10d	10.5%	-20.1%	33.4%	-0.2%	27.0%
Call IV 25d	41.8%	19.7%	72.7%	64.8%	35.7%
Put IV 25d	46.9%	34.3%	65.0%	53.9%	42.0%
Bid-Ask Spread %	80.71	70.54	95.50	70.75	75.09
Gamma HHI	0.23	0.16	0.57	0.23	0.17
Net GEX	48.7K	-121.9K	259.8K	28.1K	39.5K
Net DEX	-1.7M	-3.1M	302.6K	-1.8M	-999.2K
Net VEX	-12.5K	-14.5K	-11.3K	-11.3K	-13.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.65	0.00	33.00	0.01	0.00
Total Volume	173.238	1	1,113	141	7
Total OI	1,742.714	1,136	2,809	1,136	1,874

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-08-03	$73.63	$65.00	45.2%	13.0%	26.6%	24.9%	45.8%	-10.9%	-1.5%	28.1K	-1.8M	-11.3K	0.01	70.75	140	1	528	608
2020-08-04	$73.53	$65.00	51.9%	14.9%	26.7%	33.2%	0.0%	-10.6%	-5.9%	55.1K	-2.2M	-11.8K	0.00	77.44	1	0	666	608
2020-08-05	$75.58	$65.00	54.2%	15.5%	25.7%	36.1%	62.7%	-1.8%	-8.5%	58.7K	-2.5M	-12.0K	1.75	85.06	4	7	667	608
2020-08-06	$75.65	$65.00	56.1%	12.5%	24.3%	38.4%	0.0%	8.0%	-1.7%	56.7K	-2.5M	-12.3K	1.00	73.81	1	1	667	614
2020-08-07	$76.12	$65.00	61.1%	13.0%	23.3%	44.6%	47.2%	7.0%	0.9%	53.7K	-2.6M	-12.6K	0.06	79.73	17	1	685	615
2020-08-10	$72.79	$65.00	66.1%	13.3%	29.1%	50.9%	47.2%	7.5%	-4.3%	55.6K	-2.1M	-12.3K	0.00	74.40	22	0	701	616
2020-08-11	$73.35	$65.00	61.3%	13.6%	29.1%	44.8%	47.9%	10.2%	-4.8%	57.0K	-2.2M	-12.1K	2.00	78.19	5	10	697	616
2020-08-12	$74.77	$65.00	44.1%	12.7%	28.8%	23.6%	46.7%	-9.1%	-2.4%	62.3K	-2.4M	-11.8K	33.00	75.41	8	264	700	625
2020-08-13	$74.38	$65.00	45.8%	13.1%	26.4%	25.7%	44.9%	5.7%	-3.8%	62.7K	-2.5M	-11.3K	0.00	70.54	14	0	706	889
2020-08-14	$72.68	$65.00	45.5%	13.0%	28.2%	25.2%	49.5%	-0.1%	-2.8%	61.0K	-2.1M	-11.9K	1.36	71.65	28	38	720	889
2020-08-17	$74.62	$65.00	52.8%	15.2%	28.1%	34.4%	50.3%	17.7%	-3.9%	68.9K	-2.5M	-12.1K	0.96	82.88	568	545	755	912
2020-08-18	$72.33	$65.00	35.0%	10.0%	31.0%	12.3%	33.8%	-0.3%	4.8%	142	-1.2M	-12.4K	2.77	93.45	269	744	1,217	1,592
2020-08-19	$74.24	$70.00	33.5%	9.6%	31.9%	10.4%	34.9%	4.5%	1.9%	259.8K	-3.1M	-12.6K	0.95	85.99	98	93	1,235	1,444
2020-08-20	$70.29	$70.00	36.0%	10.3%	37.6%	13.5%	40.4%	5.1%	1.7%	-121.9K	-585.6K	-12.3K	3.15	83.38	27	85	1,229	1,426
2020-08-21	$68.50	$70.00	34.0%	9.8%	38.6%	11.1%	31.4%	13.1%	1.2%	32.8K	302.6K	-11.5K	6.69	88.91	26	174	1,237	1,393
2020-08-24	$69.33	$70.00	35.3%	10.1%	38.4%	12.7%	35.3%	27.5%	0.3%	27.3K	-833.8K	-11.9K	0.99	95.50	131	130	775	793
2020-08-25	$70.93	$70.00	35.1%	10.1%	39.2%	12.4%	35.0%	4.1%	1.5%	39.4K	-1.3M	-13.5K	0.23	84.91	31	7	868	887
2020-08-26	$71.35	$70.00	38.0%	10.9%	38.1%	16.0%	32.9%	6.5%	-1.1%	45.2K	-1.3M	-14.5K	0.72	83.38	78	56	894	889
2020-08-27	$70.42	$70.00	37.5%	10.7%	38.1%	15.3%	36.2%	6.4%	0.3%	42.2K	-1.1M	-14.5K	0.00	85.53	3	0	945	931
2020-08-28	$70.17	$70.00	37.8%	10.8%	38.1%	15.7%	29.0%	10.0%	0.8%	38.3K	-1.0M	-14.5K	0.00	78.89	4	0	945	931
2020-08-31	$70.10	$70.00	37.6%	10.8%	37.4%	15.5%	35.6%	6.3%	0.9%	39.5K	-999.2K	-13.2K	0.00	75.09	7	0	943	931