FN Options History — January 2021

In January 2021, FN traded between $77.66 and $85.67. ATM implied volatility averaged 45.3%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 12.6% (HV 20d: 32.7%). Max pain ranged from $65.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.71.

Notable Days

2021-01-25: Highest Volume — 179 contracts
2021-01-11: Largest IV spike — 62.4% change
2021-01-27: Highest IV Rank — 55.0%
2021-01-27: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.89	$77.66	$85.67	$77.66	$79.23
Max Pain	$76.32	$65.00	$90.00	$65.00	$85.00
ATM IV	45.3%	25.8%	69.8%	36.0%	58.9%
Expected Move	13.6%	11.6%	20.0%	11.8%	16.9%
HV 20d	32.7%	28.9%	36.6%	35.1%	31.6%
HV 60d	32.3%	31.1%	33.4%	31.1%	33.1%
IV Rank	24.2%	0.0%	55.0%	11.9%	41.4%
IV Percentile	50.1%	0.0%	91.3%	25.8%	80.2%
Term Structure	-5.2%	-13.6%	0.9%	-1.4%	-8.9%
VWIV	50.7%	33.5%	68.6%	33.5%	58.5%
Skew 25d	5.4%	-3.9%	15.2%	9.2%	8.1%
Skew 10d	6.2%	-30.1%	45.4%	1.8%	1.4%
Call IV 25d	46.0%	38.5%	60.3%	39.8%	58.4%
Put IV 25d	51.4%	43.4%	68.7%	49.0%	66.5%
Bid-Ask Spread %	82.68	72.66	96.01	87.69	94.46
Gamma HHI	0.31	0.18	0.50	0.39	0.19
Net GEX	37.3K	4.9K	85.1K	81.7K	4.9K
Net DEX	-1.8M	-3.2M	-252.0K	-2.0M	-252.0K
Net VEX	-5.0K	-6.3K	-4.1K	-5.7K	-5.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	0.00	20.00	0.00	2.91
Total Volume	26.579	2	179	5	90
Total OI	682.684	413	893	840	571

Daily Data (19 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
2021-01-04	$77.66	$65.00	36.0%	11.8%	35.1%	11.9%	0.0%	9.2%	-1.4%	81.7K	-2.0M	-5.7K	0.00	87.69	5	0	481	359
2021-01-05	$80.59	$65.00	35.5%	12.1%	36.6%	11.2%	0.0%	3.6%	-2.5%	85.1K	-2.5M	-5.4K	0.00	80.67	27	0	478	359
2021-01-06	$81.91	$65.00	34.8%	12.2%	36.2%	10.3%	33.5%	4.9%	-2.8%	81.5K	-2.8M	-5.1K	0.25	82.94	8	2	480	359
2021-01-07	$82.69	$65.00	33.5%	11.7%	36.2%	8.7%	0.0%	5.0%	-2.0%	81.2K	-2.9M	-4.9K	0.00	81.41	3	0	488	360
2021-01-08	$83.39	$65.00	25.8%	11.6%	32.6%	0.0%	60.1%	3.5%	-4.5%	71.2K	-3.1M	-4.4K	0.50	81.40	4	2	491	360
2021-01-11	$84.03	$65.00	41.9%	12.2%	32.4%	20.1%	0.0%	4.0%	-7.2%	82.4K	-3.1M	-4.2K	0.00	79.68	6	0	477	360
2021-01-12	$84.03	$65.00	39.4%	11.9%	31.5%	16.9%	0.0%	-1.8%	-2.7%	56.5K	-3.1M	-4.1K	0.00	78.90	2	0	471	360
2021-01-13	$83.25	$65.00	42.0%	12.0%	32.0%	20.3%	42.3%	1.5%	-3.0%	56.7K	-3.0M	-4.3K	0.00	79.79	10	0	469	381
2021-01-14	$85.67	$65.00	43.6%	12.5%	32.4%	22.3%	43.8%	3.1%	0.9%	21.9K	-3.2M	-4.3K	0.14	77.35	37	5	474	381
2021-01-15	$82.60	$90.00	42.8%	12.3%	36.1%	21.2%	50.3%	3.5%	-3.3%	7.4K	-3.0M	-4.8K	20.00	77.17	1	20	507	386
2021-01-19	$85.16	$90.00	45.5%	13.0%	33.6%	24.6%	48.1%	8.3%	-4.7%	6.3K	-680.4K	-4.6K	2.50	72.66	2	5	180	233
2021-01-20	$84.31	$90.00	46.4%	13.3%	33.9%	25.7%	46.1%	15.2%	-7.6%	5.8K	-634.3K	-4.6K	0.14	79.11	7	1	182	238
2021-01-21	$85.42	$85.00	45.3%	13.0%	29.5%	24.4%	45.5%	3.8%	-4.6%	8.7K	-729.4K	-4.5K	3.50	77.80	2	7	189	238
2021-01-22	$85.62	$85.00	45.8%	13.1%	28.9%	25.0%	45.6%	3.7%	-7.1%	6.1K	-731.5K	-4.5K	0.50	85.58	2	1	190	245
2021-01-25	$85.26	$85.00	52.8%	15.2%	29.0%	33.8%	52.8%	3.1%	-6.7%	6.4K	-706.5K	-4.6K	0.27	80.54	141	38	192	246
2021-01-26	$83.38	$85.00	55.2%	15.8%	30.0%	36.8%	64.6%	12.9%	-8.5%	22.7K	-730.0K	-6.3K	1.30	88.84	10	13	320	282
2021-01-27	$80.29	$85.00	69.8%	20.0%	32.8%	55.0%	50.4%	14.4%	-9.6%	16.1K	-365.9K	-6.2K	0.00	96.01	51	0	320	296
2021-01-28	$80.40	$85.00	65.2%	18.7%	31.1%	49.2%	68.6%	-3.9%	-13.6%	7.2K	-361.1K	-5.9K	0.50	88.86	2	1	272	296
2021-01-29	$79.23	$85.00	58.9%	16.9%	31.6%	41.4%	58.5%	8.1%	-8.9%	4.9K	-252.0K	-5.9K	2.91	94.46	23	67	274	297