FN Options History — November 2020

In November 2020, FN traded between $61.00 and $71.22. ATM implied volatility averaged 37.0%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.2% (HV 20d: 32.9%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.61.

Notable Days

2020-11-10: Highest Volume — 183 contracts
2020-11-04: Largest IV drop — 23.8% change
2020-11-02: Highest IV Rank — 42.1%
2020-11-02: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.06	$61.00	$71.22	$61.00	$68.26
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	37.0%	32.8%	59.1%	59.1%	37.3%
Expected Move	10.4%	9.4%	16.9%	16.9%	10.7%
HV 20d	32.9%	23.1%	37.8%	23.1%	33.5%
HV 60d	32.3%	28.0%	33.1%	32.6%	28.0%
IV Rank	14.8%	9.5%	42.1%	42.1%	15.1%
IV Percentile	30.7%	18.7%	80.6%	80.6%	30.2%
Term Structure	-1.0%	-11.2%	1.3%	-11.2%	-5.8%
VWIV	37.2%	30.6%	60.0%	60.0%	31.8%
Skew 25d	4.1%	-3.1%	9.0%	8.3%	5.0%
Skew 10d	11.5%	-7.6%	32.7%	19.5%	2.1%
Call IV 25d	35.4%	31.1%	53.4%	53.4%	36.5%
Put IV 25d	39.5%	33.9%	61.7%	61.7%	41.5%
Bid-Ask Spread %	91.52	74.92	102.61	74.92	102.61
Gamma HHI	0.50	0.24	0.90	0.24	0.33
Net GEX	142.8K	11.3K	381.3K	29.9K	11.3K
Net DEX	-1.8M	-3.7M	-183.5K	-183.5K	-333.8K
Net VEX	-5.7K	-8.0K	-4.2K	-6.4K	-7.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.61	0.00	20.50	0.25	0.00
Total Volume	45.2	0	183	130	0
Total OI	1,396.3	522	1,739	1,520	739

Daily Data (20 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
2020-11-02	$61.00	$65.00	59.1%	16.9%	23.1%	42.1%	60.0%	8.3%	-11.2%	29.9K	-183.5K	-6.4K	0.25	74.92	104	26	861	659
2020-11-03	$63.60	$65.00	47.1%	13.5%	27.7%	27.2%	48.2%	-3.1%	-5.6%	86.1K	-967.5K	-6.2K	0.18	97.95	104	19	861	659
2020-11-04	$64.84	$65.00	35.9%	10.3%	28.5%	13.4%	34.9%	-2.3%	-0.6%	122.1K	-1.2M	-6.0K	0.63	94.88	8	5	880	695
2020-11-05	$66.30	$65.00	40.9%	10.3%	29.3%	19.6%	0.0%	7.5%	-1.0%	153.0K	-1.8M	-6.0K	0.09	82.61	23	2	887	698
2020-11-06	$66.65	$65.00	34.1%	10.3%	29.3%	11.1%	0.0%	4.0%	0.1%	178.7K	-1.9M	-5.8K	0.00	88.54	2	0	888	696
2020-11-09	$68.02	$65.00	39.2%	9.8%	29.4%	17.5%	34.8%	6.6%	0.9%	180.6K	-2.4M	-5.7K	2.44	82.82	16	39	888	696
2020-11-10	$66.78	$65.00	40.9%	10.5%	29.8%	19.6%	0.0%	3.5%	0.3%	172.9K	-1.9M	-5.7K	17.30	89.30	10	173	896	730
2020-11-11	$68.38	$65.00	33.4%	9.6%	29.7%	10.2%	33.1%	6.5%	0.1%	185.8K	-2.3M	-6.5K	0.09	84.41	22	2	894	834
2020-11-12	$66.40	$65.00	37.4%	10.7%	31.9%	15.3%	0.0%	4.5%	0.6%	143.4K	-1.4M	-6.3K	1.67	100.61	3	5	894	832
2020-11-13	$69.97	$65.00	33.5%	9.6%	36.5%	10.4%	0.0%	3.6%	1.3%	227.5K	-3.0M	-6.0K	0.33	88.77	3	1	897	833
2020-11-16	$71.22	$65.00	34.5%	9.9%	36.7%	11.6%	30.6%	3.1%	0.1%	196.7K	-3.7M	-5.0K	0.00	89.68	20	0	886	832
2020-11-17	$71.06	$65.00	33.8%	9.7%	36.8%	10.8%	0.0%	3.6%	0.8%	193.3K	-3.6M	-5.1K	20.50	83.03	2	41	884	832
2020-11-18	$69.41	$65.00	33.3%	9.5%	37.8%	10.1%	31.7%	4.5%	0.1%	257.6K	-2.7M	-5.1K	0.00	95.74	2	0	884	853
2020-11-19	$69.87	$65.00	33.3%	9.5%	37.8%	10.1%	0.0%	2.4%	0.9%	381.3K	-2.9M	-4.8K	0.00	98.90	3	0	886	853
2020-11-20	$70.52	$65.00	33.5%	9.6%	37.7%	10.4%	33.0%	2.4%	0.1%	268.2K	-3.7M	-4.3K	0.03	94.65	31	1	827	853
2020-11-23	$70.74	$65.00	32.8%	9.4%	36.4%	9.5%	33.6%	3.9%	1.3%	14.0K	-675.9K	-4.2K	0.83	94.03	18	15	281	241
2020-11-24	$70.09	$65.00	33.3%	9.5%	36.8%	10.1%	31.8%	4.2%	0.2%	15.5K	-638.4K	-4.4K	0.00	91.18	87	0	296	241
2020-11-25	$69.15	$65.00	33.2%	9.5%	34.1%	10.0%	0.0%	4.7%	-0.2%	23.6K	-740.5K	-5.7K	0.00	94.71	0	117	381	241
2020-11-27	$69.04	$65.00	34.4%	9.9%	34.2%	11.6%	0.0%	9.0%	-1.5%	14.1K	-471.2K	-8.0K	0.00	101.06	0	0	381	357
2020-11-30	$68.26	$65.00	37.3%	10.7%	33.5%	15.1%	0.0%	5.0%	-5.8%	11.3K	-333.8K	-7.7K	0.00	102.61	0	0	381	358