FN Options History — May 2023

In May 2023, FN traded between $91.18 and $119.00. ATM implied volatility averaged 41.0%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 11.8% (HV 20d: 29.3%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2023-05-26: Highest Volume — 1,690 contracts
  • 2023-05-09: Largest IV drop — 46.3% change
  • 2023-05-08: Highest IV Rank — 51.5%
  • 2023-05-02: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.58$91.18$119.00$93.96$112.50
Max Pain$95.68$95.00$100.00$100.00$95.00
ATM IV41.0%28.2%70.0%55.7%41.6%
Expected Move10.8%8.1%17.2%16.0%11.9%
HV 20d29.3%19.4%57.5%38.1%57.5%
HV 60d34.6%31.5%45.4%35.3%45.4%
IV Rank17.6%2.6%51.5%34.7%18.3%
IV Percentile42.4%1.2%99.2%87.7%62.7%
Term Structure-3.8%-17.0%2.5%-15.5%-6.3%
VWIV37.0%26.5%59.5%56.3%41.2%
Skew 25d5.5%-4.9%13.0%6.7%1.1%
Skew 10d7.6%-5.5%26.7%0.4%10.6%
Call IV 25d36.3%24.1%57.6%55.7%41.2%
Put IV 25d41.8%30.3%68.6%62.4%42.3%
Bid-Ask Spread %89.1566.87103.6988.7688.06
Gamma HHI0.290.140.750.250.19
Net GEX-185.8K-408.2K443.9K-254.6K399.7K
Net DEX3.0M-9.9M7.1M5.4M-6.8M
Net VEX-18.0K-40.0K-11.5K-18.8K-36.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.0310.160.051.03
Total Volume189.68201,69021373
Total OI3,125.0912,1733,6903,0533,371

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$93.96$100.0055.7%16.0%38.1%34.7%56.3%6.7%-15.5%-254.6K5.4M-18.8K0.0588.762011,7791,274
2023-05-02$92.39$100.0060.1%17.2%38.1%39.9%59.5%11.0%-14.2%-247.6K5.8M-17.6K0.2192.48156331,7961,275
2023-05-03$93.71$100.0059.0%16.9%38.6%38.6%55.2%13.0%-17.0%-252.7K5.4M-20.4K0.0788.188161,9181,307
2023-05-04$91.18$95.0065.8%13.4%39.1%46.5%0.0%4.6%-3.6%-232.9K6.0M-18.7K0.1184.962831,8461,305
2023-05-05$93.03$95.0061.5%12.4%23.3%41.5%0.0%4.8%-5.4%-247.1K5.5M-18.3K0.6375.31851,8561,305
2023-05-08$93.83$95.0070.0%12.7%21.6%51.5%44.6%5.6%-6.2%-258.0K5.3M-18.1K2.2366.871242771,8621,307
2023-05-09$93.14$95.0037.6%8.7%19.9%13.6%31.8%6.5%0.4%-393.8K6.8M-16.7K10.1680.63323251,9951,695
2023-05-10$92.44$95.0033.0%9.4%19.9%8.2%33.0%4.8%-0.7%-401.1K6.4M-14.5K0.2588.36411,9961,522
2023-05-11$91.69$95.0032.5%9.3%19.7%7.7%30.5%0.1%-1.5%-383.4K6.9M-15.5K0.3896.4326101,9971,522
2023-05-12$91.51$95.0031.9%9.1%19.4%6.9%30.6%3.1%-1.3%-390.7K7.1M-13.0K0.0493.862412,0181,515
2023-05-15$92.09$95.0034.6%9.9%19.7%10.2%31.5%7.1%-6.4%-400.9K6.5M-13.9K0.4489.93941,9991,516
2023-05-16$93.00$95.0028.2%8.1%20.1%2.6%28.8%6.4%-0.2%-408.2K6.0M-14.2K2.6792.509242,0071,517
2023-05-17$95.50$95.0029.3%8.4%20.1%3.9%28.0%8.8%0.2%-401.2K4.3M-13.8K0.2595.6980202,0141,474
2023-05-18$95.37$95.0034.3%9.8%20.0%9.7%29.5%10.1%-4.6%-400.5K4.7M-12.3K1.20103.6910121,9671,459
2023-05-19$95.58$95.0028.6%8.2%20.0%3.1%26.5%3.7%2.1%-377.8K4.4M-12.1K0.1290.587491,9731,455
2023-05-22$97.24$95.0028.5%8.2%20.8%3.0%28.8%4.6%2.5%-38.5K911.3K-11.8K0.2196.883471,721452
2023-05-23$98.81$95.0028.9%8.3%21.4%3.5%0.0%5.3%0.0%-25.1K610.6K-12.0K0.3595.5537131,755457
2023-05-24$97.25$95.0032.7%9.4%22.3%7.9%0.0%-4.9%-2.5%-21.5K738.3K-11.5K0.0092.20001,810462
2023-05-25$105.38$95.0031.4%9.0%35.4%6.4%29.9%5.7%-1.5%22.8K-760.6K-14.6K0.1586.73394591,810462
2023-05-26$119.00$95.0036.9%10.6%54.3%12.8%39.2%11.3%-1.8%181.2K-6.0M-30.7K0.0382.571,647432,132513
2023-05-30$118.09$95.0040.1%11.5%54.3%16.6%41.0%1.7%0.2%443.9K-9.9M-40.0K0.2891.00117332,786550
2023-05-31$112.50$95.0041.6%11.9%57.5%18.3%41.2%1.1%-6.3%399.7K-6.8M-36.5K1.0388.061841892,793578