FN Options History — August 2021

In August 2021, FN traded between $89.67 and $103.51. ATM implied volatility averaged 35.1%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.1% (HV 20d: 29.9%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-08-30: Highest Volume — 351 contracts
  • 2021-08-11: Largest IV drop — 37.7% change
  • 2021-08-09: Highest IV Rank — 72.9%
  • 2021-08-04: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.29$89.67$103.51$93.43$103.04
Max Pain$91.82$80.00$95.00$80.00$95.00
ATM IV35.1%25.3%56.5%44.5%26.4%
Expected Move9.1%7.2%12.9%12.7%7.6%
HV 20d29.9%24.6%36.6%28.3%36.1%
HV 60d25.0%21.2%28.2%25.8%28.2%
IV Rank28.9%8.8%72.9%48.1%11.0%
IV Percentile42.8%3.6%97.2%81.3%11.9%
Term Structure-1.9%-15.4%2.5%-5.8%1.4%
VWIV29.3%22.7%40.5%40.5%28.7%
Skew 25d3.4%-2.0%19.0%8.3%1.2%
Skew 10d9.5%-4.8%32.1%18.3%5.3%
Call IV 25d31.3%24.8%51.1%51.1%26.9%
Put IV 25d34.8%26.9%59.4%59.4%28.0%
Bid-Ask Spread %90.1982.79106.46100.0793.73
Gamma HHI0.300.230.340.290.30
Net GEX15.7K-15.3K85.4K-1.6K54.7K
Net DEX-871.1K-2.8M11.5K-365.4K-1.9M
Net VEX-6.0K-8.4K-4.4K-6.5K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.002.190.001.95
Total Volume76.9550351062
Total OI643.318484966497966

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$93.43$80.0044.5%12.7%28.3%48.1%0.0%8.3%-5.8%-1.6K-365.4K-6.5K0.00100.0700206291
2021-08-03$92.84$80.0043.2%12.4%26.4%45.6%40.5%1.0%-7.2%-3.4K-361.2K-6.2K0.00106.3850206291
2021-08-04$92.71$80.0045.0%12.9%25.9%49.3%39.0%19.0%-15.4%-4.4K-286.6K-6.2K0.03106.46903206291
2021-08-05$92.82$95.0045.2%9.7%25.9%49.6%0.0%4.8%-3.0%-3.1K-354.3K-6.2K0.0083.1300209291
2021-08-06$93.45$95.0047.0%9.1%25.6%53.4%0.0%4.4%-1.5%-9.1K-275.0K-5.6K0.0082.7900190294
2021-08-09$93.39$95.0056.5%9.4%25.5%72.9%0.0%5.5%-2.4%-8.0K-281.0K-5.6K0.0089.8800190294
2021-08-10$93.27$95.0055.8%9.7%25.5%71.4%0.0%7.8%-3.7%-8.7K-250.2K-5.5K0.0089.2700190294
2021-08-11$92.68$95.0034.8%10.0%25.6%28.3%0.0%3.5%-3.7%-9.5K-221.2K-5.6K0.0086.1201190294
2021-08-12$92.00$95.0035.9%10.3%24.6%30.7%0.0%3.1%-3.7%-10.8K-182.7K-5.5K0.0083.7720190294
2021-08-13$90.71$95.0038.2%10.9%25.0%35.3%36.5%1.4%-3.1%-14.6K-22.2K-5.5K0.0990.51333190294
2021-08-16$89.67$95.0038.3%11.0%25.2%35.6%38.3%1.3%-5.9%-15.3K11.5K-5.4K0.5887.238851191294
2021-08-17$95.17$95.0025.7%7.4%30.0%9.7%23.9%0.4%2.3%29.1K-737.3K-4.6K0.4994.3413064222297
2021-08-18$99.06$90.0026.8%7.7%33.0%11.9%25.1%-1.4%-1.7%72.4K-1.8M-5.1K0.2890.3012033329384
2021-08-19$100.71$90.0026.0%7.5%31.3%10.4%27.4%1.7%1.3%85.4K-2.1M-4.4K0.0684.41533338398
2021-08-20$103.51$90.0025.6%7.3%32.3%9.6%22.7%2.0%1.1%32.3K-2.8M-5.7K0.0190.001001414426
2021-08-23$99.17$90.0026.8%7.7%36.6%11.9%29.4%-2.0%2.5%28.2K-1.2M-5.6K2.1992.9391199295342
2021-08-24$99.67$90.0026.4%7.6%34.7%11.1%26.1%3.5%1.9%32.0K-1.3M-5.7K0.6783.971510320344
2021-08-25$98.08$95.0026.5%7.6%34.4%11.3%26.7%3.1%1.2%5.2K-810.4K-7.4K0.8186.172722405502
2021-08-26$98.05$95.0026.1%7.5%34.2%10.6%25.1%3.4%2.4%11.1K-874.1K-7.3K0.4385.562310417492
2021-08-27$101.43$95.0025.5%7.3%36.0%9.3%25.5%1.8%2.5%40.6K-1.6M-7.2K0.5487.236736437514
2021-08-30$103.50$95.0025.3%7.2%36.1%8.8%24.2%1.8%-2.4%42.1K-1.6M-8.4K0.0189.873483417514
2021-08-31$103.04$95.0026.4%7.6%36.1%11.0%28.7%1.2%1.4%54.7K-1.9M-7.2K1.9593.732141434532