FN Options History — March 2022

In March 2022, FN traded between $94.98 and $107.33. ATM implied volatility averaged 37.2%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 5.8% (HV 20d: 31.4%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2022-03-01: Highest Volume — 620 contracts
  • 2022-03-07: Largest IV spike — 36.8% change
  • 2022-03-07: Highest IV Rank — 87.7%
  • 2022-03-07: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.88$94.98$107.33$97.06$104.90
Max Pain$110.43$105.00$115.00$105.00$110.00
ATM IV37.2%27.9%54.0%50.9%28.1%
Expected Move12.3%9.4%15.5%14.6%11.1%
HV 20d31.4%28.9%45.3%45.3%30.8%
HV 60d37.4%36.5%38.3%37.4%38.0%
IV Rank42.9%18.3%87.7%79.4%19.0%
IV Percentile62.3%21.4%97.6%97.2%23.8%
Term Structure6.3%-10.8%13.8%-10.8%12.4%
VWIV43.8%34.5%67.0%41.9%35.6%
Skew 25d3.9%-3.0%10.6%5.9%2.7%
Skew 10d9.6%-0.5%22.4%7.2%-0.5%
Call IV 25d38.4%28.5%49.7%43.7%29.4%
Put IV 25d42.3%30.1%51.9%49.6%32.1%
Bid-Ask Spread %87.0576.07100.8288.6383.54
Gamma HHI0.290.170.710.330.17
Net GEX47.6K-27.4K431.8K58.9K-1.1K
Net DEX-210.3K-1.2M609.2K-142.6K-632.5K
Net VEX-6.0K-8.7K-4.0K-8.3K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.451.650.520.60
Total Volume305.478216620620216
Total OI781.783606997829632

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$97.06$105.0050.9%14.6%45.3%79.4%41.9%5.9%-10.8%58.9K-142.6K-8.3K0.5288.63407213554275
2022-03-02$100.38$105.0042.4%12.2%30.0%56.8%42.8%2.9%4.2%96.5K-553.8K-8.7K1.6593.68129213565285
2022-03-03$98.37$105.0044.7%12.8%30.5%62.9%45.7%6.8%4.7%83.4K-326.9K-8.0K1.5298.20140213574285
2022-03-04$95.80$105.0039.5%11.3%31.6%49.1%48.5%4.9%-0.4%43.8K276.7K-7.5K1.5195.88140211565286
2022-03-07$94.98$105.0054.0%15.5%31.3%87.7%58.4%2.1%2.1%41.5K420.9K-6.6K1.4997.22142212565285
2022-03-08$95.62$105.0041.1%14.8%30.7%53.4%59.4%0.4%7.7%39.0K438.5K-6.3K1.4796.21147216568292
2022-03-09$98.44$105.0039.6%9.4%30.1%49.3%46.9%-3.0%7.2%99.2K59.0K-6.7K1.42100.82140199574294
2022-03-10$98.43$105.0041.4%14.1%29.0%54.2%67.0%4.2%2.1%68.2K-224.9K-6.8K1.4096.73140196575295
2022-03-11$96.85$105.0043.6%13.6%29.4%60.0%52.7%3.8%5.3%53.0K321.0K-6.5K0.5099.1016683575296
2022-03-14$96.49$115.0042.4%13.7%28.9%56.7%43.7%10.6%5.5%20.5K609.2K-6.1K0.4577.0817478602330
2022-03-15$97.67$115.0039.4%13.0%29.2%48.8%47.4%3.5%6.0%27.7K426.8K-6.0K0.4876.9217383592328
2022-03-16$101.88$115.0039.0%12.6%32.5%47.9%40.9%7.4%5.1%152.8K-700.3K-6.0K0.5276.9616284593332
2022-03-17$103.60$115.0034.2%12.2%32.0%35.0%36.3%3.6%11.3%431.8K-1.2M-6.0K0.6876.07184125595335
2022-03-18$103.56$115.0032.5%9.8%31.4%30.6%34.5%5.9%-0.3%-23.1K-192.2K-5.3K0.5581.91198109618379
2022-03-21$103.25$115.0031.6%10.9%31.4%28.3%41.1%1.2%8.1%-20.4K-278.5K-5.5K0.5683.03177100284322
2022-03-22$104.71$115.0030.1%11.3%30.8%24.1%38.7%3.2%11.2%-12.8K-384.7K-4.9K0.6679.75166110287324
2022-03-23$103.53$115.0033.3%11.4%30.5%32.6%37.0%8.4%8.2%-23.9K-256.3K-5.2K0.6683.80166110288328
2022-03-24$104.71$115.0029.7%11.6%30.6%23.1%36.3%-1.5%12.1%-7.7K-490.3K-4.7K0.6683.40166110288328
2022-03-25$104.80$115.0031.1%11.5%30.4%27.0%37.1%10.3%9.6%-13.2K-347.8K-5.2K0.7479.38166123288324
2022-03-28$102.71$115.0027.9%11.6%31.1%18.3%37.7%4.0%13.8%-27.4K-268.2K-4.1K0.5284.3716586288330
2022-03-29$107.33$110.0028.5%11.5%32.6%20.1%38.6%-0.8%11.3%11.1K-790.2K-4.0K0.5083.7316381289337
2022-03-30$105.21$110.0029.5%11.4%31.9%22.5%39.0%2.9%9.8%-2.5K-578.8K-4.2K0.5085.7116381294338
2022-03-31$104.90$110.0028.1%11.1%30.8%19.0%35.6%2.7%12.4%-1.1K-632.5K-4.3K0.6083.5413581294338