FN Options History — June 2023

In June 2023, FN traded between $110.03 and $130.81. ATM implied volatility averaged 36.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 25.7% (HV 20d: 62.4%). Max pain ranged from $95.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2023-06-12: Highest Volume — 696 contracts
  • 2023-06-12: Largest IV spike — 77.8% change
  • 2023-06-12: Highest IV Rank — 45.2%
  • 2023-06-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.63$110.03$130.81$111.60$130.78
Max Pain$107.62$95.00$110.00$95.00$110.00
ATM IV36.8%28.4%64.6%38.6%29.7%
Expected Move9.5%8.1%11.1%11.1%8.5%
HV 20d62.4%48.9%72.0%57.8%48.9%
HV 60d48.9%44.6%51.1%45.3%50.0%
IV Rank12.6%2.9%45.2%14.8%4.4%
IV Percentile35.7%2.0%96.8%52.8%6.7%
Term Structure3.2%-4.9%8.5%-4.9%2.6%
VWIV33.2%28.1%40.2%38.5%31.2%
Skew 25d2.3%-2.7%5.3%0.9%3.3%
Skew 10d6.1%-5.7%20.2%10.0%9.4%
Call IV 25d33.5%28.0%43.3%39.8%33.9%
Put IV 25d35.8%29.7%44.3%40.8%37.1%
Bid-Ask Spread %85.3374.8095.2776.4886.88
Gamma HHI0.170.130.210.200.14
Net GEX333.3K174.8K516.0K393.0K286.6K
Net DEX-10.4M-19.6M-4.6M-5.6M-11.6M
Net VEX-47.3K-57.8K-36.8K-38.0K-47.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.045.930.040.53
Total Volume138.286346964766
Total OI4,188.0953,6624,9653,6624,265

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$111.60$95.0038.6%11.1%57.8%14.8%38.5%0.9%-4.9%393.0K-5.6M-38.0K0.0476.484522,898764
2023-06-02$114.47$95.0038.9%11.1%56.5%15.1%40.2%1.0%-4.7%467.5K-7.8M-41.5K0.7395.2730222,924786
2023-06-05$112.03$105.0038.9%9.8%57.6%15.1%33.6%4.2%5.7%405.7K-5.9M-39.6K0.6579.3440262,948802
2023-06-06$110.03$105.0038.9%9.5%58.4%15.1%32.6%4.1%7.3%352.9K-4.6M-36.8K0.6386.2346292,957818
2023-06-07$112.30$105.0039.1%9.3%58.2%15.3%29.8%1.4%8.0%443.4K-6.3M-38.8K0.5188.7289452,981850
2023-06-08$112.23$105.0031.5%8.9%58.0%6.4%31.5%2.9%8.5%438.8K-6.1M-41.5K1.5774.801161823,074910
2023-06-09$112.75$110.0036.3%8.8%57.7%12.1%31.2%2.6%7.9%388.3K-5.7M-44.3K0.0079.370343,0721,070
2023-06-12$127.39$110.0064.6%10.1%69.7%45.2%36.2%-0.1%6.0%516.0K-16.8M-50.4K0.5985.104382583,0721,100
2023-06-13$130.81$110.0060.7%10.9%69.7%40.6%36.2%1.3%3.2%467.6K-19.6M-57.8K0.2884.55226633,3161,341
2023-06-14$130.11$110.0036.6%10.5%70.1%12.4%35.5%3.1%3.4%433.2K-19.5M-55.5K0.0584.46201103,3301,389
2023-06-15$128.99$110.0036.6%10.5%70.6%12.4%36.9%5.2%-0.3%475.3K-18.7M-54.7K5.9390.17412433,3881,391
2023-06-16$128.41$110.0030.2%8.7%70.7%5.0%30.3%-2.7%4.9%253.6K-18.1M-53.8K0.5193.8076393,3981,567
2023-06-20$129.50$110.0033.0%9.5%70.6%8.2%34.5%2.5%3.7%255.5K-11.1M-55.6K0.8083.0756452,7181,368
2023-06-21$127.68$110.0031.4%9.0%71.3%6.4%31.8%1.8%5.7%219.8K-9.5M-48.8K0.5684.4248272,7511,388
2023-06-22$126.34$110.0031.7%9.1%71.8%6.7%32.3%0.6%4.7%203.2K-8.9M-51.4K0.7087.5833232,7511,407
2023-06-23$124.09$110.0028.4%8.1%72.0%2.9%28.1%3.0%2.2%174.8K-7.6M-47.9K0.2090.584592,7791,406
2023-06-26$125.31$110.0032.6%9.3%67.3%7.8%33.3%5.3%-1.8%195.0K-8.3M-47.3K1.4589.4744642,7871,415
2023-06-27$126.40$110.0032.6%9.4%52.5%7.8%32.4%3.3%1.1%209.3K-8.9M-46.1K0.2882.773292,8161,440
2023-06-28$125.79$110.0031.5%9.0%52.4%6.5%30.7%2.5%1.0%187.0K-8.3M-48.4K0.1286.174352,7861,448
2023-06-29$128.16$110.0030.5%8.7%48.9%5.3%30.3%2.5%1.9%233.7K-10.3M-47.6K0.8682.7929252,8271,452
2023-06-30$130.78$110.0029.7%8.5%48.9%4.4%31.2%3.3%2.6%286.6K-11.6M-47.7K0.5386.8843232,8211,444