FN Options History — December 2021

In December 2021, FN traded between $113.69 and $122.06. ATM implied volatility averaged 34.9%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.2% (HV 20d: 31.8%). Max pain ranged from $85.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2021-12-13: Highest Volume — 425 contracts
  • 2021-12-03: Largest IV spike — 57.6% change
  • 2021-12-03: Highest IV Rank — 48.2%
  • 2021-12-03: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.29$113.69$122.06$114.96$118.80
Max Pain$100.68$85.00$110.00$95.00$110.00
ATM IV34.9%26.9%44.5%38.0%31.3%
Expected Move9.6%7.7%12.8%10.9%9.0%
HV 20d31.8%27.6%34.5%32.2%31.1%
HV 60d38.4%36.9%39.2%37.6%36.9%
IV Rank28.6%12.1%48.2%34.8%21.2%
IV Percentile58.1%17.1%92.1%77.8%42.1%
Term Structure4.9%-7.1%10.7%-2.4%-0.7%
VWIV36.8%31.3%52.0%37.3%48.9%
Skew 25d5.2%-0.8%15.6%8.1%15.6%
Skew 10d10.6%-3.2%25.0%25.0%1.9%
Call IV 25d33.9%27.3%51.8%34.3%29.8%
Put IV 25d39.1%31.7%64.7%42.4%45.4%
Bid-Ask Spread %88.8576.67100.9093.67100.24
Gamma HHI0.340.230.540.380.28
Net GEX142.1K71.9K257.9K146.4K101.5K
Net DEX-2.8M-3.7M-1.6M-2.9M-2.6M
Net VEX-8.5K-9.6K-7.6K-9.1K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.150.740.150.56
Total Volume335.5254425370279
Total OI665.818604805634662

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$114.96$95.0038.0%10.9%32.2%34.8%37.3%8.1%-2.4%146.4K-2.9M-9.1K0.1593.673234756767
2021-12-02$117.67$100.0028.2%8.1%27.6%14.9%41.4%14.7%6.8%171.8K-3.2M-9.6K0.20100.903246456877
2021-12-03$113.74$110.0044.5%12.8%29.9%48.2%52.0%12.8%-7.1%130.6K-2.6M-9.6K0.22100.2233274573105
2021-12-06$116.09$85.0037.6%11.0%29.1%34.1%36.3%3.3%2.0%163.3K-3.0M-9.3K0.2276.673317458592
2021-12-07$118.94$85.0037.0%9.7%30.5%32.8%34.2%4.0%7.2%181.6K-3.6M-9.3K0.2378.053247458792
2021-12-08$116.90$85.0039.6%10.4%31.1%38.1%36.9%4.8%3.7%178.0K-3.2M-9.0K0.2385.873247458692
2021-12-09$114.92$85.0036.1%9.7%31.2%31.1%33.6%3.8%6.0%156.3K-2.7M-8.5K0.2379.473237458692
2021-12-10$114.35$85.0043.0%9.0%29.8%45.2%31.3%1.3%7.5%156.9K-2.6M-8.3K0.2385.713237458692
2021-12-13$117.24$85.0038.7%9.3%31.2%36.3%32.1%-0.8%5.7%215.9K-3.2M-8.2K0.3284.5032310258692
2021-12-14$116.96$100.0043.5%10.5%30.3%46.1%34.9%0.7%3.5%194.9K-3.0M-8.3K0.3279.87323102586120
2021-12-15$119.50$100.0034.6%9.9%31.2%28.0%34.2%5.7%6.0%257.9K-3.7M-8.3K0.4489.0320991586120
2021-12-16$115.17$100.0035.5%10.2%33.9%29.9%35.8%1.1%3.9%140.6K-2.6M-8.0K0.7286.53196142597137
2021-12-17$115.33$110.0028.8%8.2%33.4%16.0%32.5%3.4%8.5%134.5K-2.3M-8.5K0.7387.79195142599206
2021-12-20$113.69$110.0036.3%10.4%33.7%31.4%37.2%3.7%5.5%71.9K-1.6M-8.4K0.6583.61155100443161
2021-12-21$115.89$110.0033.5%9.6%34.4%25.7%33.9%5.2%6.3%84.9K-2.0M-8.4K0.6587.12155100447161
2021-12-22$117.28$110.0032.7%9.4%34.5%24.1%34.6%2.1%6.4%88.5K-2.2M-8.4K0.6586.91154100448161
2021-12-23$118.31$110.0029.9%8.6%34.2%18.3%33.2%-0.7%10.7%106.3K-2.4M-8.6K0.6287.02162100452160
2021-12-27$121.62$110.0028.9%8.3%32.7%16.3%41.6%3.5%9.5%115.4K-2.9M-8.0K0.7495.35164122456183
2021-12-28$121.15$110.0032.0%9.2%32.8%22.6%35.3%11.7%8.1%106.5K-2.9M-8.0K0.6394.36160101460183
2021-12-29$122.06$110.0032.2%9.2%32.8%23.0%38.6%6.1%4.2%103.2K-3.0M-7.6K0.6095.83168100460183
2021-12-30$119.76$110.0026.9%7.7%31.9%12.1%33.3%4.3%6.6%119.0K-2.8M-7.6K0.5695.93177100468184
2021-12-31$118.80$110.0031.3%9.0%31.1%21.2%48.9%15.6%-0.7%101.5K-2.6M-8.0K0.56100.24179100478184