FN Options History — March 2021

In March 2021, FN traded between $84.96 and $93.65. ATM implied volatility averaged 32.9%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 2.0% (HV 20d: 30.9%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-03-05: Highest Volume — 66 contracts
  • 2021-03-05: Largest IV spike — 21.5% change
  • 2021-03-09: Highest IV Rank — 18.8%
  • 2021-03-04: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.25$84.96$93.65$91.61$90.94
Max Pain$79.57$75.00$90.00$90.00$80.00
ATM IV32.9%28.3%40.8%33.9%28.9%
Expected Move9.4%8.1%10.7%9.7%8.3%
HV 20d30.9%27.3%36.5%28.7%34.2%
HV 60d32.0%30.4%33.3%31.7%32.0%
IV Rank9.6%3.9%18.8%10.1%5.3%
IV Percentile9.7%0.4%42.5%7.9%1.6%
Term Structure5.1%-1.5%12.5%0.7%9.4%
VWIV32.7%28.3%36.7%33.6%28.9%
Skew 25d2.9%-0.1%11.7%1.1%2.2%
Skew 10d8.9%-1.8%32.5%-1.7%7.4%
Call IV 25d32.5%26.4%38.0%36.1%30.6%
Put IV 25d35.4%30.8%46.2%37.2%32.7%
Bid-Ask Spread %92.4082.48100.1997.0797.68
Gamma HHI0.310.160.530.320.53
Net GEX53.5K-1.6K148.1K39.5K42.2K
Net DEX-1.4M-2.3M-671.8K-1.3M-1.7M
Net VEX-4.7K-5.3K-4.3K-4.5K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.004.500.401.27
Total Volume21.6091661425
Total OI740.696591880591783

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$91.61$90.0033.9%9.7%28.7%10.1%33.6%1.1%0.7%39.5K-1.3M-4.5K0.4097.07104313278
2021-03-02$89.97$90.0032.8%9.4%29.8%8.7%33.6%1.8%1.4%36.9K-1.2M-4.3K0.0095.62320324282
2021-03-03$88.08$90.0034.6%9.9%27.8%11.0%35.1%3.3%-1.2%34.9K-1.0M-4.6K0.4093.4552352282
2021-03-04$84.96$75.0030.2%10.7%30.9%5.5%36.7%2.3%2.8%23.9K-713.9K-4.9K0.2588.83328357282
2021-03-05$86.76$75.0036.7%10.4%28.5%13.6%36.6%0.7%3.4%38.0K-982.6K-4.6K0.6987.253927388288
2021-03-08$86.67$75.0039.8%10.6%27.6%17.5%0.0%5.5%0.7%44.8K-1.0M-5.3K0.0089.1130423315
2021-03-09$87.05$75.0040.8%9.9%27.3%18.8%33.7%2.9%5.5%47.6K-1.1M-5.0K0.0089.3420426315
2021-03-10$88.36$75.0034.1%9.8%27.5%10.4%0.0%3.7%4.8%59.2K-1.2M-4.9K0.3388.5462427315
2021-03-11$91.97$75.0032.9%9.4%30.0%8.8%32.8%3.7%4.6%98.4K-1.9M-4.8K0.0684.15342432317
2021-03-12$93.14$75.0032.6%9.3%30.0%8.4%33.4%2.1%4.9%109.5K-2.3M-5.2K4.5082.48627459319
2021-03-15$93.00$75.0036.7%10.5%29.9%13.6%36.0%1.5%-1.5%111.5K-2.1M-5.1K1.0085.711010461345
2021-03-16$93.65$80.0032.0%9.2%29.8%7.8%33.0%-0.1%5.9%129.9K-2.3M-4.7K0.5489.442614463355
2021-03-17$92.51$80.0033.3%9.5%29.9%9.3%33.7%11.7%4.7%111.0K-2.0M-5.1K2.5094.2825472369
2021-03-18$90.58$80.0033.7%9.7%31.1%9.9%33.2%8.6%5.7%86.8K-1.5M-5.0K0.0092.69430471370
2021-03-19$90.04$80.0030.4%8.7%30.6%6.6%0.0%4.2%6.8%148.1K-1.5M-4.9K0.0088.0310510370
2021-03-22$87.85$80.0028.3%8.1%31.9%3.9%30.5%0.8%10.4%1.1K-992.1K-4.4K0.0091.5790371353
2021-03-23$85.02$80.0034.1%9.8%33.9%12.5%28.4%3.9%-1.4%-1.6K-671.8K-4.3K0.5095.222211376353
2021-03-24$86.11$80.0032.0%9.2%33.3%10.1%30.6%3.4%9.5%3.6K-845.3K-4.6K0.0097.36130383343
2021-03-25$85.94$80.0029.2%8.4%32.5%5.5%29.2%2.2%10.2%2.9K-821.4K-4.4K0.1497.9671393343
2021-03-26$90.03$80.0031.5%9.0%36.5%9.3%31.5%-0.1%9.2%20.4K-1.5M-4.4K0.0099.37190399343
2021-03-29$89.17$80.0031.2%9.0%35.1%8.9%36.0%1.5%7.2%22.7K-1.4M-4.3K0.00100.1904414343
2021-03-30$89.33$80.0028.3%8.1%34.5%4.2%28.3%0.1%12.5%19.5K-1.4M-4.3K0.7999.861915414345
2021-03-31$90.94$80.0028.9%8.3%34.2%5.3%28.9%2.2%9.4%42.2K-1.7M-4.4K1.2797.681114435348