FN Options History — February 2022

In February 2022, FN traded between $97.62 and $103.69. ATM implied volatility averaged 39.5%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 10.2% (HV 20d: 49.7%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.89.

Notable Days

2022-02-08: Highest Volume — 827 contracts
2022-02-04: Largest IV drop — 17.6% change
2022-02-24: Highest IV Rank — 73.2%
2022-02-24: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.93	$97.62	$103.69	$101.12	$99.78
Max Pain	$104.74	$100.00	$105.00	$105.00	$105.00
ATM IV	39.5%	34.6%	48.6%	39.6%	41.5%
Expected Move	11.3%	9.9%	13.9%	11.4%	11.9%
HV 20d	49.7%	46.9%	51.5%	49.2%	46.9%
HV 60d	37.8%	37.1%	38.4%	37.5%	37.4%
IV Rank	49.0%	36.2%	73.2%	49.4%	54.5%
IV Percentile	78.2%	59.9%	96.4%	81.7%	84.9%
Term Structure	-1.8%	-10.5%	1.7%	-5.4%	-1.2%
VWIV	39.4%	34.5%	48.6%	37.9%	48.6%
Skew 25d	4.4%	-9.0%	10.1%	9.1%	6.7%
Skew 10d	11.0%	-8.5%	38.1%	12.3%	7.8%
Call IV 25d	38.5%	33.4%	49.4%	35.0%	48.6%
Put IV 25d	42.9%	29.7%	55.3%	44.1%	55.3%
Bid-Ask Spread %	87.93	81.08	95.76	89.40	95.76
Gamma HHI	0.36	0.18	0.66	0.20	0.34
Net GEX	92.2K	-56.3K	377.7K	32.8K	70.2K
Net DEX	-317.8K	-1.1M	1.1M	-301.2K	-422.1K
Net VEX	-8.7K	-11.4K	-6.8K	-8.8K	-8.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.44	1.41	1.31	0.50
Total Volume	577.632	417	827	679	610
Total OI	1,185	804	1,423	1,071	827

Daily Data (19 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
2022-02-01	$101.12	$105.00	39.6%	11.4%	49.2%	49.4%	37.9%	9.1%	-5.4%	32.8K	-301.2K	-8.8K	1.31	89.40	294	385	821	250
2022-02-02	$102.25	$100.00	40.0%	11.5%	49.0%	50.4%	39.0%	5.7%	-2.6%	-19.1K	-57.2K	-8.7K	1.32	93.33	253	335	802	317
2022-02-03	$101.29	$105.00	43.0%	11.4%	48.7%	58.5%	38.7%	4.6%	-0.3%	-554	68.7K	-11.4K	1.01	83.28	276	280	842	403
2022-02-04	$99.58	$105.00	35.5%	10.7%	48.7%	38.4%	40.8%	6.7%	-1.5%	-28.5K	573.6K	-8.7K	1.00	86.53	262	262	739	390
2022-02-07	$97.62	$105.00	35.4%	10.1%	48.5%	38.3%	38.5%	2.1%	-4.3%	-56.3K	1.1M	-7.3K	0.48	85.34	549	265	742	389
2022-02-08	$100.94	$105.00	34.8%	10.3%	50.8%	36.5%	35.7%	-0.5%	-0.0%	128.1K	-370.4K	-9.3K	0.49	84.88	554	273	1,027	379
2022-02-09	$103.01	$105.00	34.6%	9.9%	51.5%	36.2%	34.5%	4.3%	0.6%	186.9K	-1.1M	-9.5K	0.96	81.71	268	258	1,024	375
2022-02-10	$102.43	$105.00	37.9%	10.9%	51.4%	44.9%	36.3%	4.5%	0.7%	171.9K	-1.1M	-9.4K	0.91	81.08	268	243	1,033	377
2022-02-11	$100.66	$105.00	37.4%	10.7%	51.3%	43.6%	36.9%	10.1%	-0.2%	119.3K	-400.2K	-8.7K	0.90	85.66	267	241	1,032	379
2022-02-14	$99.74	$105.00	41.5%	11.9%	51.1%	54.5%	39.0%	6.4%	-1.8%	100.0K	-255.3K	-7.9K	1.40	87.82	174	243	1,033	379
2022-02-15	$101.36	$105.00	37.9%	10.9%	50.8%	45.0%	37.6%	7.0%	0.1%	161.8K	-383.7K	-7.9K	1.41	86.36	174	246	1,038	381
2022-02-16	$103.69	$105.00	37.0%	10.6%	51.0%	42.6%	40.2%	9.7%	-0.1%	377.7K	-1.0M	-8.0K	1.41	89.68	173	244	1,036	384
2022-02-17	$101.92	$105.00	39.8%	11.4%	51.0%	49.8%	39.8%	6.6%	-0.8%	201.0K	-378.9K	-7.5K	1.41	86.20	174	245	1,035	386
2022-02-18	$102.45	$105.00	36.9%	10.6%	50.7%	42.1%	39.1%	-9.0%	1.7%	-12.4K	7.5K	-6.8K	0.52	89.38	468	243	1,038	385
2022-02-22	$100.47	$105.00	42.9%	12.3%	50.6%	58.0%	41.5%	-2.6%	-3.0%	87.3K	-533.3K	-9.0K	0.44	90.68	416	182	550	254
2022-02-23	$98.83	$105.00	43.3%	12.4%	47.9%	59.1%	41.4%	5.5%	-2.6%	73.8K	-400.8K	-8.9K	0.49	90.65	416	203	555	254
2022-02-24	$99.67	$105.00	48.6%	13.9%	47.5%	73.2%	44.0%	5.5%	-10.5%	70.0K	-452.8K	-9.2K	0.48	94.22	419	203	555	276
2022-02-25	$100.83	$105.00	42.3%	12.1%	47.7%	56.5%	39.4%	1.9%	-2.7%	88.0K	-569.3K	-9.0K	0.50	88.65	406	203	553	275
2022-02-28	$99.78	$105.00	41.5%	11.9%	46.9%	54.5%	48.6%	6.7%	-1.2%	70.2K	-422.1K	-8.5K	0.50	95.76	407	203	552	275