FN Options History — August 2022

In August 2022, FN traded between $93.92 and $147.96. ATM implied volatility averaged 46.2%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 33.1% (HV 20d: 79.3%). Max pain ranged from $90.00 to $110.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.52.

Notable Days

  • 2022-08-15: Highest Volume — 510 contracts
  • 2022-08-17: Largest IV spike — 252.3% change
  • 2022-08-08: Highest IV Rank — 100.0%
  • 2022-08-17: Largest Expected Move — 32.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.46$93.92$147.96$95.85$102.97
Max Pain$98.70$90.00$110.00$90.00$110.00
ATM IV46.2%25.9%111.6%53.1%34.5%
Expected Move12.3%7.4%32.0%15.2%9.9%
HV 20d79.3%28.1%136.0%28.8%136.0%
HV 60d58.3%34.8%83.1%39.5%83.1%
IV Rank45.6%4.9%100.0%76.1%14.4%
IV Percentile61.1%2.8%100.0%92.1%34.9%
Term Structure-3.1%-13.0%2.9%-9.4%0.1%
VWIV49.5%25.7%103.2%90.6%41.7%
Skew 25d3.0%-7.4%8.7%7.4%3.0%
Skew 10d9.2%-7.9%33.3%1.6%-7.9%
Call IV 25d41.8%28.5%67.7%60.9%37.5%
Put IV 25d44.9%30.9%68.3%68.3%40.5%
Bid-Ask Spread %84.6674.6491.9785.6191.38
Gamma HHI0.190.110.340.240.13
Net GEX21.2K-17.3K131.8K-14.3K5.4K
Net DEX-728.4K-4.4M211.7K117.6K128.8K
Net VEX-4.0K-7.6K-3.3K-3.4K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.002.922.382.92
Total Volume120.5220510179196
Total OI477.6962521,006252542

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$95.85$90.0053.1%15.2%28.8%76.1%90.6%7.4%-9.4%-14.3K117.6K-3.4K2.3885.615312655197
2022-08-02$96.44$90.0055.6%15.9%28.4%82.0%96.1%-3.2%-13.0%-13.4K111.4K-3.6K2.6379.075414269197
2022-08-03$97.05$90.0056.8%16.3%28.2%85.0%93.3%1.8%-9.3%-15.4K113.5K-3.6K2.6876.955314269213
2022-08-04$97.73$90.0057.2%12.5%28.1%85.9%46.4%6.4%-5.0%-14.1K86.6K-3.5K2.6874.645314269213
2022-08-05$96.88$90.0060.9%12.7%28.7%94.9%48.5%5.9%-5.8%-14.9K99.5K-3.6K2.5480.725614269214
2022-08-08$95.73$90.0064.4%13.3%29.0%100.0%48.5%-3.7%-6.3%-15.2K131.2K-3.5K2.4578.785814272214
2022-08-09$93.92$90.0069.8%13.3%30.5%100.0%45.8%4.6%-5.7%-17.3K211.7K-3.6K0.6780.673272214
2022-08-10$97.62$90.0043.8%12.6%31.4%46.2%41.8%4.9%-5.7%-14.1K73.6K-3.4K0.0081.121075215
2022-08-11$97.47$90.0040.9%11.7%31.4%40.1%41.0%4.5%-0.6%-12.2K38.7K-3.4K1.9181.15112176215
2022-08-12$100.55$90.0042.2%12.1%32.1%42.9%0.0%4.6%-3.3%-12.6K-53.4K-3.3K2.3383.72184285233
2022-08-15$101.06$90.0044.5%12.8%30.9%47.7%43.2%7.4%-5.8%-13.4K-36.2K-3.5K0.7383.5329421699280
2022-08-16$115.44$90.0031.7%9.1%51.5%21.1%34.0%-0.4%0.5%130.8K-3.5M-3.3K0.2884.6035199405426
2022-08-17$147.96$100.00111.6%32.0%97.5%100.0%103.2%0.0%-5.6%12.5K-4.4M-7.6K0.9387.905450442462
2022-08-18$117.89$100.0025.9%7.4%132.7%4.9%25.7%2.3%2.9%131.8K-3.5M-4.0K0.1789.1411720435501
2022-08-19$113.76$110.0030.0%8.6%133.6%9.5%31.9%2.6%0.8%115.6K-2.8M-4.8K0.3786.50197488518
2022-08-22$112.25$110.0033.9%9.7%133.6%13.7%33.9%-7.4%1.0%52.6K-936.1K-4.7K0.0088.8701269225
2022-08-23$108.08$110.0033.8%9.7%134.7%13.6%0.0%0.9%0.0%38.0K-591.9K-4.6K0.0084.7600269225
2022-08-24$107.88$110.0031.6%9.1%134.6%11.2%32.7%6.9%1.9%37.3K-474.7K-3.8K0.6787.7796273225
2022-08-25$111.25$110.0034.0%9.7%134.8%13.8%33.4%3.6%0.3%50.4K-781.1K-4.3K0.0091.5550270229
2022-08-26$107.83$110.0032.3%9.3%135.4%11.9%33.4%4.0%0.7%37.1K-498.3K-3.8K1.5089.902030271229
2022-08-29$105.86$110.0035.0%10.0%135.7%15.0%36.8%1.8%0.1%21.7K-237.0K-4.4K0.0086.9103276257
2022-08-30$104.09$110.0038.1%10.9%135.9%18.4%38.7%8.7%-4.3%12.5K-90.2K-4.0K2.5091.97410276259
2022-08-31$102.97$110.0034.5%9.9%136.0%14.4%41.7%3.0%0.1%5.4K128.8K-4.1K2.9291.3850146276266