FN Options History — February 2021

In February 2021, FN traded between $80.51 and $90.15. ATM implied volatility averaged 37.5%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 4.4% (HV 20d: 33.1%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2021-02-01: Highest Volume — 127 contracts
2021-02-02: Largest IV drop — 31.6% change
2021-02-01: Highest IV Rank — 38.3%
2021-02-01: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.23	$80.51	$90.15	$80.51	$89.01
Max Pain	$87.63	$85.00	$90.00	$85.00	$90.00
ATM IV	37.5%	33.4%	56.4%	56.4%	35.4%
Expected Move	10.8%	10.0%	16.2%	16.2%	10.1%
HV 20d	33.1%	28.5%	36.8%	31.9%	28.5%
HV 60d	32.1%	31.0%	33.7%	32.3%	31.4%
IV Rank	14.7%	9.5%	38.3%	38.3%	11.9%
IV Percentile	26.9%	8.3%	78.6%	78.6%	19.0%
Term Structure	0.1%	-6.0%	3.9%	-6.0%	1.6%
VWIV	39.1%	33.9%	56.2%	56.2%	36.6%
Skew 25d	1.7%	-5.8%	6.7%	-3.2%	3.6%
Skew 10d	5.9%	-15.6%	26.5%	-6.2%	18.7%
Call IV 25d	38.6%	35.1%	57.0%	57.0%	36.5%
Put IV 25d	40.3%	32.2%	53.8%	53.8%	40.1%
Bid-Ask Spread %	90.88	82.79	101.10	91.96	94.55
Gamma HHI	0.24	0.17	0.31	0.18	0.19
Net GEX	26.1K	5.6K	42.5K	5.6K	24.7K
Net DEX	-1.0M	-1.4M	-325.2K	-325.2K	-1.1M
Net VEX	-5.0K	-6.0K	-4.3K	-6.0K	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.00	2.86	0.34	0.63
Total Volume	24.947	0	127	127	57
Total OI	625.737	531	682	594	535

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
2021-02-01	$80.51	$85.00	56.4%	16.2%	31.9%	38.3%	56.2%	-3.2%	-6.0%	5.6K	-325.2K	-6.0K	0.34	91.96	95	32	283	311
2021-02-02	$84.03	$85.00	38.6%	11.1%	35.0%	16.0%	40.8%	3.0%	-0.5%	23.1K	-813.3K	-5.9K	0.60	95.86	53	32	334	319
2021-02-03	$83.62	$85.00	37.7%	10.8%	32.8%	14.9%	41.1%	-3.0%	-0.8%	13.3K	-610.0K	-5.8K	0.20	99.94	5	1	317	338
2021-02-04	$86.98	$90.00	36.1%	10.3%	35.1%	12.9%	0.0%	3.2%	0.8%	27.9K	-1.0M	-5.4K	0.14	83.23	7	1	315	338
2021-02-05	$88.62	$90.00	33.4%	10.0%	35.5%	9.5%	38.6%	2.2%	0.7%	38.0K	-1.3M	-5.4K	2.86	86.12	14	40	315	339
2021-02-08	$89.62	$85.00	35.9%	10.2%	35.6%	12.6%	37.0%	3.4%	-0.5%	42.5K	-1.4M	-5.1K	0.14	82.79	7	1	317	339
2021-02-09	$88.43	$85.00	34.4%	10.2%	36.0%	10.7%	0.0%	3.6%	0.2%	38.0K	-1.2M	-5.1K	1.20	86.70	5	6	311	339
2021-02-10	$86.80	$85.00	36.3%	10.4%	36.8%	13.2%	0.0%	0.1%	2.9%	26.3K	-930.1K	-5.6K	0.00	84.44	2	0	313	342
2021-02-11	$88.01	$85.00	36.1%	10.4%	36.8%	12.9%	0.0%	3.2%	0.0%	38.0K	-1.1M	-4.8K	0.00	85.17	25	0	311	342
2021-02-12	$87.63	$85.00	36.4%	10.4%	35.6%	13.3%	0.0%	2.5%	0.2%	38.3K	-1.1M	-5.3K	0.00	91.15	1	0	336	342
2021-02-16	$87.41	$85.00	38.3%	11.0%	32.7%	15.6%	37.3%	3.2%	-0.5%	38.7K	-1.1M	-4.7K	0.50	89.48	10	5	335	342
2021-02-17	$86.42	$90.00	38.3%	11.0%	31.4%	15.6%	0.0%	3.1%	-0.2%	16.4K	-905.6K	-4.8K	0.00	88.39	3	0	335	347
2021-02-18	$86.64	$90.00	37.8%	10.8%	31.1%	15.1%	0.0%	-0.6%	-1.1%	20.1K	-883.0K	-4.8K	0.00	93.80	7	0	333	347
2021-02-19	$88.34	$90.00	35.9%	10.3%	31.5%	12.6%	35.3%	6.7%	-0.5%	10.7K	-1.1M	-4.3K	0.09	93.61	43	4	335	347
2021-02-22	$88.58	$90.00	36.9%	10.6%	31.5%	13.9%	35.9%	-5.8%	0.4%	22.1K	-1.1M	-4.5K	0.00	95.12	1	0	273	258
2021-02-23	$88.35	$90.00	36.4%	10.4%	31.5%	13.3%	37.6%	1.8%	0.6%	21.9K	-1.0M	-4.5K	0.71	91.03	7	5	275	258
2021-02-24	$90.15	$90.00	36.3%	10.4%	30.8%	13.1%	0.0%	3.0%	0.7%	26.2K	-1.2M	-4.6K	0.00	92.35	0	0	277	257
2021-02-25	$88.13	$90.00	36.3%	10.4%	28.5%	13.2%	33.9%	1.5%	3.9%	24.5K	-1.1M	-4.3K	0.00	101.10	5	0	277	257
2021-02-26	$89.01	$90.00	35.4%	10.1%	28.5%	11.9%	36.6%	3.6%	1.6%	24.7K	-1.1M	-4.5K	0.63	94.55	35	22	278	257