FN Options History — September 2020

In September 2020, FN traded between $59.34 and $68.77. ATM implied volatility averaged 43.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 3.6% (HV 20d: 40.0%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2020-09-03: Highest Volume — 483 contracts
  • 2020-09-03: Largest IV spike — 18.6% change
  • 2020-09-04: Highest IV Rank — 33.0%
  • 2020-09-09: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.73$59.34$68.77$67.89$63.24
Max Pain$68.10$65.00$75.00$70.00$65.00
ATM IV43.6%37.0%51.7%39.3%37.0%
Expected Move12.3%10.6%14.5%11.3%10.6%
HV 20d40.0%35.5%44.4%38.8%36.9%
HV 60d36.0%34.9%39.8%37.0%34.9%
IV Rank22.9%14.8%33.0%17.5%14.8%
IV Percentile50.4%28.6%73.8%41.3%28.6%
Term Structure4.6%-3.5%10.1%-3.5%10.1%
VWIV42.7%38.6%52.4%40.5%42.6%
Skew 25d5.7%-1.9%11.8%9.0%5.7%
Skew 10d8.9%-10.2%38.7%15.5%13.8%
Call IV 25d40.9%35.8%47.2%38.7%35.8%
Put IV 25d46.6%41.5%52.8%47.8%41.5%
Bid-Ask Spread %90.8278.5697.8784.8194.52
Gamma HHI0.240.160.320.180.21
Net GEX-55.8K-175.8K25.4K11.5K19.3K
Net DEX1.4M-312.3K3.4M-101.9K263.4K
Net VEX-12.5K-14.5K-11.3K-13.6K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0023.151.900.92
Total Volume75.476448311923
Total OI2,2261,8732,7511,8732,097

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$67.89$70.0039.3%11.3%38.8%17.5%40.5%9.0%-3.5%11.5K-101.9K-13.6K1.9084.814178942931
2020-09-02$68.77$70.0040.1%11.5%37.6%18.6%40.6%7.0%2.9%6.8K-312.3K-14.2K0.2178.56337912998
2020-09-03$63.99$75.0047.6%13.2%44.4%27.9%52.4%11.8%5.3%-17.4K1.1M-13.5K23.1591.5620463939994
2020-09-04$64.27$70.0051.7%12.8%44.4%33.0%0.0%8.0%3.4%-69.9K1.3M-14.5K0.0088.081209431,349
2020-09-08$63.01$70.0051.1%13.7%42.5%32.2%0.0%6.7%5.7%-94.7K1.9M-13.5K0.3381.891249441,349
2020-09-09$62.44$70.0050.5%14.5%42.1%31.5%47.3%3.0%0.1%-108.6K2.1M-13.3K0.0992.754549561,353
2020-09-10$59.70$70.0046.0%13.2%42.8%25.9%47.0%-1.9%4.9%-130.7K3.1M-12.1K2.6292.87611601,0001,353
2020-09-11$59.34$70.0044.8%12.9%42.8%24.4%0.0%8.4%4.5%-155.5K3.4M-13.7K0.6793.06321,0331,512
2020-09-14$60.69$70.0043.3%12.4%44.1%22.6%40.3%6.1%4.3%-175.8K3.0M-12.1K0.1891.592241,0361,511
2020-09-15$61.39$70.0045.9%13.2%42.9%25.8%43.6%7.8%-0.8%-151.4K2.6M-12.0K0.0095.262101,0571,506
2020-09-16$62.24$70.0041.6%11.9%42.9%20.4%40.2%5.4%8.2%-148.3K2.1M-11.5K0.1092.54105101,0611,506
2020-09-17$61.52$70.0044.9%12.9%41.0%24.6%42.9%4.7%5.8%-111.8K2.4M-12.5K0.0389.2611531,1451,507
2020-09-18$62.42$65.0042.3%12.1%38.1%21.3%40.6%4.6%5.8%-16.0K1.6M-12.0K0.1790.832341,2441,507
2020-09-21$62.05$65.0044.6%12.8%37.4%24.2%47.7%6.2%5.5%-15.6K760.3K-11.6K3.8290.8311428141,095
2020-09-22$62.16$65.0042.9%12.3%36.9%22.0%42.2%3.3%4.3%-15.9K761.8K-11.3K0.0691.937958251,114
2020-09-23$61.36$65.0042.2%12.1%35.5%21.1%38.8%5.1%5.4%-18.4K858.0K-11.8K0.0091.65408891,115
2020-09-24$62.58$65.0039.0%11.2%36.5%17.2%41.1%5.1%9.4%-3.6K418.4K-12.5K1.7693.1241728871,118
2020-09-25$61.64$65.0043.3%12.4%36.5%22.6%38.6%6.5%2.3%-18.5K815.8K-11.6K0.0090.74409271,139
2020-09-28$63.17$65.0039.2%11.2%38.1%17.4%39.2%4.3%5.9%16.6K366.2K-11.6K0.1797.87619271,139
2020-09-29$63.45$65.0038.4%11.0%38.3%16.4%42.4%3.4%7.9%25.4K216.8K-11.6K0.1593.383969321,140
2020-09-30$63.24$65.0037.0%10.6%36.9%14.8%42.6%5.7%10.1%19.3K263.4K-11.4K0.9294.5212119531,144