FN Options History — October 2020

In October 2020, FN traded between $59.81 and $65.48. ATM implied volatility averaged 43.5%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 22.4% (HV 20d: 21.1%). Max pain ranged from $65.00 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 1.04.

Notable Days

  • 2020-10-07: Highest Volume — 90 contracts
  • 2020-10-14: Largest IV spike — 33.1% change
  • 2020-10-29: Highest IV Rank — 38.2%
  • 2020-10-29: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.16$59.81$65.48$62.71$59.81
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV43.5%28.9%55.9%37.1%55.9%
Expected Move13.5%10.6%16.0%10.6%16.0%
HV 20d21.1%16.6%36.4%36.4%22.2%
HV 60d33.0%31.9%34.7%34.7%32.3%
IV Rank22.9%4.7%38.2%14.9%38.2%
IV Percentile49.7%7.1%78.6%29.0%78.2%
Term Structure-3.4%-9.0%8.9%8.9%-6.9%
VWIV48.2%40.1%79.5%40.1%53.6%
Skew 25d6.8%-0.6%10.0%4.3%9.6%
Skew 10d13.4%-7.7%31.9%11.1%24.5%
Call IV 25d44.4%36.8%53.5%37.0%50.1%
Put IV 25d51.2%41.3%60.3%41.3%59.7%
Bid-Ask Spread %84.4569.0396.3196.3186.85
Gamma HHI0.250.200.330.210.23
Net GEX58.5K12.9K147.1K13.5K12.9K
Net DEX-390.5K-1.2M475.4K475.4K202.6K
Net VEX-9.1K-11.2K-6.7K-10.5K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.008.331.000.00
Total Volume24.13609042
Total OI1,909.6361,4632,3132,1001,528

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$62.71$65.0037.1%10.6%36.4%14.9%40.1%4.3%8.9%13.5K475.4K-10.5K1.0096.31229571,143
2020-10-02$62.73$65.0037.7%10.8%26.3%15.6%41.1%5.3%7.9%13.7K450.7K-10.8K0.2593.7065169591,144
2020-10-05$63.41$65.0038.3%13.0%26.6%16.4%47.9%8.5%-3.6%37.9K111.4K-10.9K1.2069.03561,0241,159
2020-10-06$63.88$65.0037.5%13.9%25.7%15.4%49.2%10.0%-8.2%59.8K-216.7K-10.7K0.2979.9945131,0241,158
2020-10-07$63.74$65.0035.1%12.9%25.5%12.4%45.4%7.3%-3.8%63.2K-158.9K-10.5K0.0781.908461,0651,168
2020-10-08$64.39$65.0034.1%12.9%19.0%11.1%46.8%3.7%0.4%98.7K-876.1K-11.2K1.3377.479121,1471,153
2020-10-09$64.24$65.0028.9%13.1%18.8%4.7%42.8%8.0%-3.5%108.0K-680.8K-10.8K0.0082.531201,1511,146
2020-10-12$65.48$65.0035.0%12.9%18.4%12.3%43.4%6.1%-3.9%147.1K-1.2M-10.1K1.0081.9930301,1461,146
2020-10-13$64.57$65.0033.9%12.9%19.2%10.9%50.9%8.8%-5.0%121.7K-720.6K-9.6K1.8372.4218331,1531,160
2020-10-14$63.35$65.0045.1%12.9%20.2%24.8%40.4%8.4%-4.6%77.0K-172.3K-9.2K0.0080.611001,1531,146
2020-10-15$63.31$65.0045.0%12.9%19.6%24.7%42.2%9.4%3.4%62.7K-301.5K-9.2K0.0083.58301,1531,142
2020-10-16$63.24$65.0044.3%12.7%19.0%23.8%41.3%6.8%-4.9%43.3K-33.7K-8.3K0.0785.713021,1561,142
2020-10-19$63.88$65.0047.2%13.5%19.1%27.3%56.1%7.6%-4.1%47.5K-766.5K-8.7K8.3381.61325803676
2020-10-20$63.89$65.0046.6%13.3%19.1%26.6%45.5%-0.6%-4.0%55.8K-856.7K-8.4K0.0091.04540806657
2020-10-21$63.23$65.0047.3%13.6%18.9%27.5%49.9%8.2%-5.9%56.0K-745.4K-8.6K1.3387.8634858657
2020-10-22$63.85$65.0046.5%13.3%17.9%26.6%0.0%2.6%-5.4%60.0K-973.4K-8.8K0.0088.0520859661
2020-10-23$63.74$65.0046.6%13.3%16.9%26.6%0.0%7.7%-4.8%64.5K-898.5K-8.4K0.0084.8301860661
2020-10-26$62.36$65.0051.6%14.8%16.7%32.8%50.6%8.6%-5.2%49.8K-592.3K-7.6K2.0088.3012860662
2020-10-27$62.44$65.0055.8%16.0%16.6%38.0%0.0%3.9%-8.8%48.3K-512.1K-7.7K0.0084.4300859662
2020-10-28$60.23$65.0052.4%15.0%20.8%33.9%0.0%9.3%-2.8%17.2K82.0K-7.0K0.0091.1800859662
2020-10-29$60.97$65.0055.9%16.0%21.3%38.2%79.5%5.4%-9.0%28.1K-169.6K-7.3K0.0088.5701859668
2020-10-30$59.81$65.0055.9%16.0%22.2%38.2%53.6%9.6%-6.9%12.9K202.6K-6.7K0.0086.8520859669