FN Options History — March 2023

In March 2023, FN traded between $110.14 and $122.69. ATM implied volatility averaged 35.8%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.1% (HV 20d: 29.7%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 14.89.

Notable Days

  • 2023-03-28: Highest Volume — 291 contracts
  • 2023-03-15: Largest IV drop — 51.2% change
  • 2023-03-14: Highest IV Rank — 50.0%
  • 2023-03-24: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.21$110.14$122.69$121.16$118.05
Max Pain$120.65$120.00$125.00$125.00$120.00
ATM IV35.8%28.5%68.6%29.6%30.0%
Expected Move9.0%7.5%10.9%8.5%8.6%
HV 20d29.7%22.5%36.3%36.3%31.9%
HV 60d33.2%32.6%33.9%33.0%32.6%
IV Rank11.8%3.4%50.0%4.6%5.1%
IV Percentile27.5%3.6%98.8%4.8%5.2%
Term Structure6.6%-9.5%15.8%-0.2%13.4%
VWIV32.2%26.3%64.1%28.1%30.9%
Skew 25d3.9%-8.5%12.1%1.0%6.6%
Skew 10d3.5%-21.0%26.4%-0.3%-21.0%
Call IV 25d33.3%27.9%43.9%32.9%28.4%
Put IV 25d37.2%30.2%49.9%33.9%35.0%
Bid-Ask Spread %96.4490.81103.4499.1196.41
Gamma HHI0.180.150.270.170.25
Net GEX-13.6K-65.0K18.0K10.5K-47.9K
Net DEX342.3K-295.4K1.1M-119.5K496.6K
Net VEX-9.8K-12.6K-8.8K-9.8K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.890.00290.000.002.00
Total Volume300291136
Total OI560.652468881505881

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$121.16$125.0029.6%8.5%36.3%4.6%0.0%1.0%-0.2%10.5K-119.5K-9.8K0.0099.11130235270
2023-03-02$120.68$125.0036.9%10.6%35.0%13.2%0.0%8.6%-4.7%9.0K-118.0K-10.2K0.00103.0400243270
2023-03-03$122.69$125.0031.9%9.1%35.8%7.3%28.1%12.1%-9.5%18.0K-295.4K-9.9K0.00103.4430243271
2023-03-06$121.44$120.0034.3%7.7%35.9%10.1%0.0%2.5%2.9%14.7K-206.5K-9.7K0.0095.5330246271
2023-03-07$119.78$120.0028.5%8.8%36.0%3.4%28.1%2.0%5.6%8.3K-31.4K-9.4K0.0092.2870248271
2023-03-08$121.20$120.0031.8%7.5%23.0%7.2%26.3%-1.1%7.2%16.6K-190.3K-9.7K0.3392.4631252271
2023-03-09$120.72$120.0035.4%8.8%22.5%11.4%29.0%6.3%2.4%13.1K-158.1K-9.5K0.5694.7795250272
2023-03-10$117.37$120.0051.7%9.0%24.3%30.3%31.9%2.8%5.3%3.8K143.1K-9.7K5.5090.81211253273
2023-03-13$116.40$120.0057.6%9.3%24.0%37.2%31.4%7.1%4.4%-8.3K370.8K-9.3K0.7592.8443251280
2023-03-14$118.64$120.0068.6%8.9%22.7%50.0%30.7%6.4%4.0%309167.2K-9.4K3.2094.89516250283
2023-03-15$113.19$120.0033.5%9.6%27.2%9.2%33.2%1.3%5.3%-26.3K720.4K-9.0K1.1893.341113255287
2023-03-16$113.46$120.0032.3%9.2%26.2%7.7%28.7%-0.1%8.9%-20.4K494.8K-9.3K3.0092.6826258279
2023-03-17$111.00$120.0033.3%9.5%26.9%8.9%32.3%-1.0%8.3%-54.4K739.9K-8.8K3.0694.831649258279
2023-03-20$114.87$120.0030.0%8.6%30.3%5.1%33.6%6.7%12.9%-14.6K389.0K-9.5K2.1495.561430187281
2023-03-21$114.59$120.0032.0%9.2%30.3%7.5%31.9%8.8%6.5%-15.8K413.7K-9.5K0.8095.3554192286
2023-03-22$112.85$120.0030.6%8.8%30.6%5.8%0.0%6.8%13.7%-18.8K493.5K-9.4K0.0099.7720192285
2023-03-23$110.66$120.0032.9%9.4%30.8%8.5%29.6%10.5%10.3%-22.4K766.5K-8.9K0.0095.2690195284
2023-03-24$110.14$120.0038.0%10.9%29.9%14.5%27.6%8.4%6.0%-20.5K773.3K-9.0K0.0097.4206196284
2023-03-27$112.75$120.0031.1%8.9%30.4%6.3%33.7%-0.5%13.4%-17.1K518.2K-9.1K0.0396.721113196279
2023-03-28$112.09$120.0033.1%9.5%30.1%8.7%64.1%-8.5%8.8%-16.4K587.8K-9.0K290.00102.141290307279
2023-03-29$113.87$120.0029.0%8.3%30.7%3.9%0.0%-1.2%15.8%-65.0K1.1M-12.6K0.0099.8510308569
2023-03-30$115.33$120.0031.1%8.9%31.2%6.3%28.8%5.0%11.3%-58.1K863.0K-12.1K0.1899.52224306569
2023-03-31$118.05$120.0030.0%8.6%31.9%5.1%30.9%6.6%13.4%-47.9K496.6K-12.2K2.0096.4124311570