FN Options History — September 2022

In September 2022, FN traded between $91.56 and $104.33. ATM implied volatility averaged 39.1%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 41.3% (HV 20d: 80.5%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2022-09-07: Highest Volume — 157 contracts
2022-09-13: Largest IV spike — 41.7% change
2022-09-13: Highest IV Rank — 36.4%
2022-09-29: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$97.82	$91.56	$104.33	$98.19	$96.12
Max Pain	$100.95	$100.00	$110.00	$110.00	$100.00
ATM IV	39.1%	32.0%	56.9%	38.6%	41.8%
Expected Move	10.6%	8.9%	12.2%	11.1%	12.0%
HV 20d	80.5%	31.8%	137.1%	137.1%	33.4%
HV 60d	82.1%	81.2%	83.7%	83.7%	82.0%
IV Rank	16.1%	7.5%	36.4%	19.0%	18.8%
IV Percentile	52.5%	23.4%	95.6%	53.6%	67.1%
Term Structure	5.0%	-2.8%	9.7%	-2.8%	2.7%
VWIV	38.3%	23.8%	45.1%	37.7%	43.5%
Skew 25d	4.4%	-1.1%	13.5%	7.4%	8.5%
Skew 10d	8.7%	-12.1%	22.8%	12.8%	9.4%
Call IV 25d	37.3%	29.0%	50.6%	36.9%	38.8%
Put IV 25d	41.7%	35.1%	49.5%	44.4%	47.3%
Bid-Ask Spread %	90.12	82.23	98.07	95.17	91.99
Gamma HHI	0.19	0.15	0.26	0.15	0.22
Net GEX	-16.8K	-40.1K	17.9K	-11.2K	-30.1K
Net DEX	209.2K	-487.6K	731.2K	327.7K	328.8K
Net VEX	-3.4K	-4.1K	-3.0K	-3.9K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.00	1.71	0.00	0.47
Total Volume	47.19	0	157	12	56
Total OI	503.333	452	583	541	457

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
2022-09-01	$98.19	$110.00	38.6%	11.1%	137.1%	19.0%	37.7%	7.4%	-2.8%	-11.2K	327.7K	-3.9K	0.00	95.17	0	12	277	264
2022-09-02	$97.72	$110.00	36.2%	10.4%	137.1%	16.3%	36.0%	2.8%	-1.3%	-13.8K	414.0K	-3.7K	0.00	92.94	15	0	277	255
2022-09-06	$97.82	$100.00	38.7%	10.2%	137.0%	16.1%	43.4%	13.5%	3.7%	-2.4K	380.2K	-4.1K	1.71	84.32	55	94	291	255
2022-09-07	$99.44	$100.00	40.8%	10.5%	136.9%	17.7%	37.2%	6.1%	2.3%	-6.7K	75.5K	-3.2K	0.96	82.23	80	77	284	235
2022-09-08	$100.10	$100.00	42.9%	10.5%	136.3%	20.1%	23.8%	7.5%	1.0%	4.7K	-121.6K	-3.6K	0.00	92.66	0	7	310	235
2022-09-09	$102.89	$100.00	32.0%	8.9%	136.6%	7.5%	41.3%	3.2%	6.2%	12.8K	-348.3K	-3.5K	0.00	86.27	0	1	310	240
2022-09-12	$104.33	$100.00	40.2%	9.4%	136.2%	16.9%	35.0%	5.9%	3.5%	17.9K	-487.6K	-3.0K	0.33	87.39	12	4	310	241
2022-09-13	$100.58	$100.00	56.9%	10.1%	136.9%	36.4%	37.6%	4.3%	5.1%	-5.6K	-73.0K	-3.4K	0.85	85.50	85	72	302	245
2022-09-14	$102.73	$100.00	34.7%	10.0%	127.9%	10.6%	36.7%	0.4%	3.4%	5.3K	-304.3K	-3.4K	0.38	87.98	8	3	302	247
2022-09-15	$100.48	$100.00	36.1%	10.4%	85.8%	12.2%	38.5%	7.4%	4.3%	-10.5K	-47.8K	-3.3K	0.00	90.66	0	31	302	250
2022-09-16	$97.85	$100.00	35.9%	10.3%	37.0%	12.0%	37.4%	4.6%	8.2%	-21.3K	296.1K	-3.7K	0.66	91.06	89	59	302	281
2022-09-19	$98.69	$100.00	34.9%	10.0%	36.2%	10.8%	36.9%	2.1%	8.3%	-22.1K	137.1K	-3.3K	0.40	88.44	5	2	197	255
2022-09-20	$97.59	$100.00	35.8%	10.3%	36.1%	11.8%	38.2%	5.7%	5.9%	-25.3K	254.7K	-3.4K	0.00	87.60	0	4	199	257
2022-09-21	$96.57	$100.00	36.5%	10.5%	34.3%	12.7%	0.0%	2.8%	6.8%	-28.9K	294.2K	-3.3K	0.00	91.27	0	0	199	257
2022-09-22	$94.77	$100.00	35.7%	10.2%	34.6%	11.7%	36.0%	2.9%	9.0%	-34.6K	482.2K	-3.3K	0.00	93.53	0	1	199	257
2022-09-23	$91.78	$100.00	39.8%	11.4%	32.7%	16.4%	39.9%	-1.1%	7.5%	-39.0K	675.3K	-3.4K	0.00	92.56	0	1	199	257
2022-09-26	$91.56	$100.00	40.9%	11.7%	31.8%	17.8%	45.1%	1.4%	7.2%	-40.1K	731.2K	-3.1K	0.45	89.78	38	17	199	256
2022-09-27	$93.35	$100.00	40.6%	11.6%	33.0%	17.4%	41.2%	5.9%	6.4%	-38.1K	608.2K	-3.0K	0.45	89.72	38	17	199	256
2022-09-28	$96.88	$100.00	40.6%	11.6%	36.1%	17.4%	37.4%	2.8%	7.5%	-30.1K	299.6K	-3.0K	0.46	93.40	37	17	199	256
2022-09-29	$94.71	$100.00	42.4%	12.2%	36.7%	19.6%	43.9%	-1.1%	9.7%	-33.6K	471.7K	-3.1K	0.46	98.07	37	17	201	256
2022-09-30	$96.12	$100.00	41.8%	12.0%	33.4%	18.8%	43.5%	8.5%	2.7%	-30.1K	328.8K	-3.0K	0.47	91.99	38	18	201	256