FN Options History — July 2021

In July 2021, FN traded between $89.60 and $96.00. ATM implied volatility averaged 31.9%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 9.8% (HV 20d: 22.1%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2021-07-28: Highest Volume — 65 contracts
2021-07-12: Largest IV spike — 66.8% change
2021-07-13: Highest IV Rank — 34.6%
2021-07-22: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.51	$89.60	$96.00	$96.00	$94.23
Max Pain	$80.48	$80.00	$85.00	$85.00	$80.00
ATM IV	31.9%	21.0%	37.9%	28.0%	33.8%
Expected Move	9.5%	6.5%	10.5%	8.0%	9.7%
HV 20d	22.1%	17.4%	28.2%	18.7%	28.2%
HV 60d	27.2%	25.2%	28.8%	26.5%	25.7%
IV Rank	21.6%	0.0%	34.6%	9.4%	26.4%
IV Percentile	31.5%	0.0%	60.7%	11.5%	35.7%
Term Structure	-1.5%	-6.6%	8.0%	1.5%	-2.7%
VWIV	31.4%	22.7%	37.7%	22.7%	37.7%
Skew 25d	5.1%	-2.3%	19.7%	2.1%	4.3%
Skew 10d	9.9%	-2.2%	22.1%	5.8%	2.7%
Call IV 25d	31.6%	17.2%	40.2%	25.8%	34.0%
Put IV 25d	36.7%	28.0%	48.1%	28.0%	38.3%
Bid-Ask Spread %	95.48	81.03	108.93	101.06	93.92
Gamma HHI	0.41	0.31	0.94	0.37	0.31
Net GEX	237.7K	-2.9K	1.5M	245.3K	-2.9K
Net DEX	-2.1M	-5.2M	-228.1K	-5.2M	-476.0K
Net VEX	-9.0K	-12.1K	-6.2K	-12.1K	-6.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.00	10.00	0.00	0.00
Total Volume	7.952	0	65	2	0
Total OI	1,087.952	497	1,590	1,590	497

Daily Data (21 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
2021-07-01	$96.00	$85.00	28.0%	8.0%	18.7%	9.4%	0.0%	2.1%	1.5%	245.3K	-5.2M	-12.1K	0.00	101.06	2	0	868	722
2021-07-02	$95.56	$85.00	22.5%	6.5%	17.4%	0.0%	22.7%	19.7%	8.0%	295.8K	-5.1M	-11.8K	0.00	108.93	12	0	868	722
2021-07-06	$92.81	$80.00	25.9%	9.4%	20.4%	7.2%	28.7%	6.0%	-3.0%	325.8K	-3.4M	-11.4K	0.00	94.90	4	0	857	722
2021-07-07	$91.58	$80.00	27.2%	9.5%	19.8%	10.0%	0.0%	7.0%	-2.3%	321.9K	-2.8M	-11.3K	0.00	100.98	24	0	860	722
2021-07-08	$91.30	$80.00	28.6%	9.8%	19.3%	12.9%	0.0%	3.3%	-2.4%	307.7K	-2.6M	-11.1K	0.00	85.42	0	0	859	722
2021-07-09	$92.54	$80.00	21.0%	9.1%	20.0%	0.0%	0.0%	3.1%	-2.8%	373.5K	-3.4M	-10.6K	0.00	82.40	0	0	859	722
2021-07-12	$92.97	$80.00	35.0%	9.7%	20.0%	28.7%	0.0%	3.8%	-3.3%	391.4K	-3.5M	-9.7K	0.00	81.03	0	0	859	722
2021-07-13	$92.89	$80.00	37.9%	9.5%	19.9%	34.6%	0.0%	4.7%	-1.9%	330.3K	-3.8M	-9.8K	0.00	82.79	5	0	859	722
2021-07-14	$92.92	$80.00	30.6%	8.8%	19.9%	19.8%	28.7%	1.2%	1.5%	385.6K	-3.6M	-8.9K	0.00	93.78	10	0	854	722
2021-07-15	$91.01	$80.00	33.7%	9.7%	21.1%	26.1%	0.0%	0.7%	-2.8%	423.3K	-2.6M	-8.4K	0.00	100.64	0	0	850	722
2021-07-16	$90.26	$80.00	32.7%	9.4%	21.2%	24.0%	0.0%	6.2%	-1.8%	1.5M	-2.5M	-8.2K	2.00	93.54	3	6	850	731
2021-07-19	$89.60	$80.00	33.3%	9.5%	19.5%	25.2%	34.8%	1.4%	1.8%	-146	-228.1K	-8.1K	10.00	89.49	2	20	254	291
2021-07-20	$93.15	$80.00	31.3%	9.0%	22.4%	21.2%	0.0%	6.9%	0.2%	6.5K	-632.4K	-7.8K	0.00	89.87	5	0	256	291
2021-07-21	$93.98	$80.00	33.5%	9.6%	22.5%	25.6%	0.0%	3.6%	0.3%	8.7K	-675.1K	-8.0K	0.00	89.80	0	0	260	291
2021-07-22	$91.42	$80.00	36.5%	10.5%	24.6%	31.9%	0.0%	3.3%	-1.3%	6.2K	-567.4K	-7.7K	0.00	98.34	0	0	260	291
2021-07-23	$92.14	$80.00	35.1%	10.1%	24.0%	29.1%	35.5%	4.3%	-3.6%	6.5K	-549.3K	-7.7K	0.00	101.58	3	0	260	291
2021-07-26	$92.39	$80.00	35.4%	10.2%	23.9%	29.6%	0.0%	6.5%	-3.0%	9.4K	-621.0K	-7.8K	0.00	101.27	1	0	260	291
2021-07-27	$89.87	$80.00	35.7%	10.2%	25.5%	30.2%	37.7%	-2.3%	-2.4%	2.6K	-243.2K	-7.7K	0.00	102.23	5	0	260	291
2021-07-28	$92.46	$80.00	36.4%	10.4%	27.6%	31.6%	0.0%	13.3%	-6.1%	8.3K	-552.9K	-7.8K	0.00	107.40	65	0	261	291
2021-07-29	$93.68	$80.00	35.8%	10.3%	28.1%	30.4%	0.0%	7.5%	-6.6%	12.0K	-809.7K	-7.2K	0.00	105.70	0	0	266	291
2021-07-30	$94.23	$80.00	33.8%	9.7%	28.2%	26.4%	0.0%	4.3%	-2.7%	-2.9K	-476.0K	-6.2K	0.00	93.92	0	0	206	291