FN Options History — December 2020

In December 2020, FN traded between $68.54 and $77.80. ATM implied volatility averaged 35.2%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.9% (HV 20d: 31.3%). 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 19 of 22 days. Put/call ratio averaged 0.10.

Notable Days

2020-12-17: Highest Volume — 137 contracts
2020-12-29: Largest IV spike — 51.3% change
2020-12-29: Highest IV Rank — 30.4%
2020-12-29: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.02	$68.54	$77.80	$69.00	$77.49
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	35.2%	32.9%	50.5%	36.6%	34.8%
Expected Move	10.0%	9.1%	14.5%	10.5%	10.0%
HV 20d	31.3%	24.3%	35.6%	33.2%	35.6%
HV 60d	28.6%	26.2%	31.1%	28.1%	31.1%
IV Rank	12.2%	9.4%	30.4%	14.3%	10.5%
IV Percentile	23.2%	11.9%	71.8%	27.4%	22.2%
Term Structure	4.9%	-6.6%	14.3%	-4.4%	9.2%
VWIV	36.5%	22.1%	61.5%	22.1%	33.1%
Skew 25d	4.1%	-2.4%	9.1%	6.1%	-2.4%
Skew 10d	7.6%	-9.3%	30.8%	3.4%	-9.3%
Call IV 25d	33.4%	26.9%	43.6%	34.3%	37.7%
Put IV 25d	37.5%	35.3%	44.5%	40.4%	35.3%
Bid-Ask Spread %	90.91	84.08	103.49	101.13	99.92
Gamma HHI	0.36	0.31	0.62	0.33	0.37
Net GEX	45.0K	14.6K	74.3K	14.6K	74.3K
Net DEX	-1.2M	-2.5M	-423.3K	-430.6K	-1.9M
Net VEX	-7.2K	-7.8K	-5.9K	-7.7K	-5.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.57	0.25	0.00
Total Volume	15.727	0	137	20	5
Total OI	809.727	739	925	739	836

Daily Data (22 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
2020-12-01	$69.00	$65.00	36.6%	10.5%	33.2%	14.3%	0.0%	6.1%	-4.4%	14.6K	-430.6K	-7.7K	0.25	101.13	16	4	381	358
2020-12-02	$69.46	$65.00	34.1%	9.8%	30.5%	11.1%	22.1%	3.5%	-1.4%	16.8K	-496.9K	-7.8K	0.00	101.61	3	0	393	355
2020-12-03	$68.63	$65.00	33.9%	9.8%	30.5%	10.9%	0.0%	5.7%	1.8%	14.9K	-423.3K	-7.8K	0.00	89.81	7	0	395	355
2020-12-04	$69.74	$65.00	34.1%	9.1%	30.0%	11.2%	30.8%	9.1%	7.9%	20.1K	-533.9K	-7.7K	0.27	88.85	41	11	394	355
2020-12-07	$71.48	$65.00	36.1%	9.7%	31.0%	13.6%	33.6%	2.5%	4.8%	37.6K	-976.3K	-7.8K	0.00	84.17	6	0	433	365
2020-12-08	$71.90	$65.00	36.9%	9.8%	30.4%	14.6%	36.1%	8.9%	4.0%	41.3K	-1.1M	-7.7K	0.00	85.56	7	0	438	365
2020-12-09	$69.40	$65.00	34.6%	9.9%	32.5%	11.8%	61.5%	4.7%	3.7%	27.0K	-632.1K	-7.7K	0.13	84.89	8	1	438	365
2020-12-10	$69.42	$65.00	33.5%	9.6%	31.5%	10.4%	0.0%	3.8%	4.8%	29.9K	-648.4K	-7.6K	0.00	84.08	10	0	441	365
2020-12-11	$68.54	$65.00	33.9%	9.7%	29.9%	10.9%	0.0%	3.3%	5.3%	24.0K	-538.1K	-7.7K	0.00	91.01	0	0	451	365
2020-12-14	$69.95	$65.00	33.9%	9.7%	24.3%	10.9%	32.8%	3.2%	4.1%	43.0K	-799.3K	-7.4K	0.17	86.84	6	1	451	365
2020-12-15	$71.59	$65.00	34.2%	9.8%	24.9%	11.2%	33.9%	3.5%	3.5%	54.4K	-1.1M	-7.3K	0.00	88.55	5	0	452	365
2020-12-16	$72.63	$65.00	32.9%	9.4%	25.4%	9.7%	34.7%	6.5%	8.2%	47.8K	-1.3M	-7.2K	0.00	95.23	7	0	457	365
2020-12-17	$76.35	$65.00	35.1%	10.1%	29.0%	12.4%	35.3%	7.5%	5.9%	58.5K	-2.0M	-6.9K	0.00	89.68	137	0	455	365
2020-12-18	$77.30	$65.00	34.7%	10.0%	29.2%	11.9%	35.0%	3.7%	5.4%	65.2K	-2.5M	-7.4K	0.57	88.04	30	17	560	365
2020-12-21	$74.23	$65.00	35.0%	10.0%	33.3%	12.3%	0.0%	4.0%	6.9%	48.7K	-1.3M	-7.2K	0.00	92.55	0	0	476	346
2020-12-22	$76.04	$65.00	34.6%	9.9%	34.1%	11.8%	44.4%	2.8%	6.5%	57.1K	-1.7M	-7.1K	0.00	85.07	3	0	476	346
2020-12-23	$76.95	$65.00	33.9%	9.7%	33.9%	10.5%	0.0%	3.9%	7.3%	61.4K	-1.8M	-7.0K	0.00	86.75	1	0	476	346
2020-12-24	$76.06	$65.00	33.2%	9.5%	33.8%	9.5%	36.4%	4.5%	7.8%	60.9K	-1.6M	-7.0K	0.00	90.52	0	1	477	346
2020-12-28	$77.80	$65.00	33.4%	9.6%	34.3%	9.6%	0.0%	1.8%	14.3%	72.1K	-2.0M	-6.4K	0.00	87.30	1	0	475	346
2020-12-29	$75.83	$65.00	50.5%	14.5%	35.6%	30.4%	43.8%	0.8%	-6.6%	49.8K	-1.6M	-6.8K	0.00	103.49	0	15	476	346
2020-12-30	$76.61	$65.00	33.9%	9.7%	35.6%	9.4%	33.8%	2.0%	9.1%	71.0K	-1.8M	-6.1K	0.50	94.91	2	1	476	358
2020-12-31	$77.49	$65.00	34.8%	10.0%	35.6%	10.5%	33.1%	-2.4%	9.2%	74.3K	-1.9M	-5.9K	0.00	99.92	5	0	477	359