FN Options History — September 2021

In September 2021, FN traded between $102.10 and $109.49. ATM implied volatility averaged 28.0%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.9% (HV 20d: 30.9%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2021-09-08: Highest Volume — 83 contracts
2021-09-30: Largest IV spike — 33.5% change
2021-09-30: Highest IV Rank — 27.3%
2021-09-30: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.14	$102.10	$109.49	$103.49	$102.87
Max Pain	$94.05	$90.00	$95.00	$95.00	$95.00
ATM IV	28.0%	21.5%	34.3%	26.0%	34.3%
Expected Move	8.2%	7.4%	9.8%	7.4%	9.8%
HV 20d	30.9%	23.7%	37.1%	36.0%	28.2%
HV 60d	28.6%	27.9%	30.3%	28.0%	30.1%
IV Rank	14.3%	1.1%	27.3%	10.3%	27.3%
IV Percentile	20.9%	0.4%	54.4%	9.1%	54.4%
Term Structure	6.3%	1.5%	14.1%	2.5%	1.5%
VWIV	29.3%	22.9%	35.9%	34.6%	27.8%
Skew 25d	2.2%	-10.3%	10.6%	0.2%	5.4%
Skew 10d	5.7%	-4.5%	20.6%	3.1%	4.6%
Call IV 25d	28.7%	22.3%	38.7%	31.5%	32.9%
Put IV 25d	30.9%	24.2%	38.3%	31.7%	38.3%
Bid-Ask Spread %	91.08	77.48	103.88	93.90	100.68
Gamma HHI	0.25	0.17	0.46	0.23	0.20
Net GEX	134.4K	93.6K	202.3K	117.3K	110.6K
Net DEX	-4.7M	-5.6M	-3.5M	-4.1M	-3.7M
Net VEX	-10.3K	-12.6K	-7.9K	-12.5K	-9.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	4.00	0.03	0.00
Total Volume	21.19	0	83	63	2
Total OI	1,294.238	1,202	1,403	1,306	1,225

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
2021-09-01	$103.49	$95.00	26.0%	7.4%	36.0%	10.3%	34.6%	0.2%	2.5%	117.3K	-4.1M	-12.5K	0.03	93.90	61	2	772	534
2021-09-02	$104.83	$90.00	21.5%	8.4%	36.0%	1.1%	30.8%	2.9%	5.2%	130.3K	-4.6M	-12.1K	0.08	80.60	49	4	782	538
2021-09-03	$104.96	$90.00	24.7%	8.0%	36.1%	7.6%	28.7%	3.9%	6.4%	124.9K	-4.5M	-12.6K	4.00	78.90	1	4	780	540
2021-09-07	$104.48	$90.00	28.8%	8.0%	36.2%	16.1%	27.9%	2.3%	5.6%	140.0K	-4.7M	-11.7K	0.50	79.36	14	7	798	538
2021-09-08	$104.99	$90.00	27.9%	8.0%	36.1%	14.3%	29.6%	3.8%	6.4%	139.1K	-4.8M	-11.4K	0.02	77.48	81	2	798	541
2021-09-09	$106.15	$95.00	28.8%	8.3%	35.8%	16.1%	27.8%	1.7%	4.8%	149.0K	-5.2M	-10.6K	0.17	83.75	30	5	806	547
2021-09-10	$103.67	$95.00	28.4%	8.2%	37.1%	15.3%	0.0%	2.2%	6.3%	144.7K	-4.9M	-11.9K	0.00	90.23	0	0	854	549
2021-09-13	$106.21	$95.00	29.1%	8.3%	36.9%	16.7%	26.7%	6.7%	3.8%	153.4K	-5.4M	-11.3K	0.00	86.87	24	0	849	547
2021-09-14	$105.97	$95.00	27.9%	8.0%	36.4%	14.3%	29.9%	1.7%	5.6%	160.3K	-5.5M	-10.9K	0.40	88.49	5	2	842	547
2021-09-15	$107.23	$95.00	28.3%	8.1%	31.0%	15.0%	27.3%	-10.3%	8.0%	150.5K	-5.6M	-10.4K	0.00	93.77	4	0	820	547
2021-09-16	$106.68	$95.00	29.0%	8.3%	28.5%	16.5%	29.3%	-0.1%	5.1%	166.0K	-5.5M	-10.2K	0.57	89.77	7	4	825	548
2021-09-17	$105.35	$95.00	26.8%	7.7%	28.6%	12.0%	0.0%	2.7%	5.8%	202.3K	-5.1M	-10.3K	0.00	89.17	9	0	822	548
2021-09-20	$102.10	$95.00	34.2%	9.8%	29.3%	27.1%	35.9%	4.0%	2.4%	93.6K	-3.5M	-10.5K	1.67	91.34	9	15	708	505
2021-09-21	$102.78	$95.00	27.7%	7.9%	24.8%	13.8%	33.4%	0.8%	6.7%	111.4K	-3.8M	-9.8K	0.13	96.09	8	1	706	505
2021-09-22	$104.07	$95.00	28.8%	8.3%	25.1%	16.0%	28.1%	6.3%	5.3%	113.1K	-4.2M	-9.4K	1.00	98.87	1	1	704	505
2021-09-23	$106.11	$95.00	27.4%	7.8%	24.8%	13.1%	27.5%	3.7%	7.3%	120.6K	-4.6M	-8.7K	0.00	96.21	4	0	697	505
2021-09-24	$106.68	$95.00	26.2%	7.5%	24.8%	10.7%	22.9%	10.6%	9.0%	122.2K	-4.7M	-8.8K	0.00	97.48	7	0	698	506
2021-09-27	$109.49	$95.00	26.7%	7.7%	23.7%	11.7%	27.6%	-2.3%	12.8%	118.6K	-5.3M	-7.9K	0.00	98.93	35	0	699	506
2021-09-28	$106.76	$95.00	29.0%	8.3%	25.0%	16.5%	31.2%	1.7%	7.7%	125.3K	-4.8M	-8.0K	0.47	96.87	15	7	703	506
2021-09-29	$102.99	$95.00	25.7%	7.4%	28.3%	9.7%	27.8%	-1.3%	14.1%	129.9K	-3.9M	-8.6K	0.92	103.88	13	12	723	506
2021-09-30	$102.87	$95.00	34.3%	9.8%	28.2%	27.3%	0.0%	5.4%	1.5%	110.6K	-3.7M	-9.3K	0.00	100.68	2	0	712	513