FN Options History — July 2023

In July 2023, FN traded between $123.53 and $134.28. ATM implied volatility averaged 32.1%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 0.9% (HV 20d: 31.2%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.62.

Notable Days

  • 2023-07-27: Highest Volume — 511 contracts
  • 2023-07-11: Largest IV drop — 14.5% change
  • 2023-07-10: Highest IV Rank — 16.0%
  • 2023-07-18: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.93$123.53$134.28$128.37$123.75
Max Pain$123.50$110.00$125.00$110.00$125.00
ATM IV32.1%28.7%39.6%32.8%31.4%
Expected Move9.0%8.2%10.1%9.4%9.0%
HV 20d31.2%20.2%49.3%49.3%24.3%
HV 60d45.7%44.7%50.2%50.2%45.9%
IV Rank7.2%3.2%16.0%8.0%6.4%
IV Percentile21.8%4.4%56.7%27.0%21.0%
Term Structure6.2%0.2%11.8%0.6%8.3%
VWIV31.9%26.4%36.9%35.4%32.2%
Skew 25d2.2%-4.0%9.5%-4.0%9.5%
Skew 10d2.7%-12.1%18.1%0.1%-7.4%
Call IV 25d32.2%28.0%36.6%33.0%29.7%
Put IV 25d34.4%29.1%39.2%29.1%39.2%
Bid-Ask Spread %91.0381.4999.9393.0091.56
Gamma HHI0.180.140.300.140.30
Net GEX217.9K37.7K390.7K215.9K204.0K
Net DEX-8.7M-14.9M-1.6M-9.8M-3.9M
Net VEX-37.0K-43.6K-30.0K-42.0K-37.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.620.0031.000.351.00
Total Volume68.845117322
Total OI3,714.752,1574,4234,2562,706

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$128.37$110.0032.8%9.4%49.3%8.0%35.4%-4.0%0.6%215.9K-9.8M-42.0K0.3593.0054192,8111,445
2023-07-05$127.20$110.0031.1%8.9%48.6%6.1%26.4%7.3%2.8%225.5K-9.9M-42.8K0.1893.421122,8411,445
2023-07-06$126.13$125.0033.8%9.2%48.0%9.2%28.3%-0.7%4.4%217.4K-9.9M-43.6K0.1897.501122,8451,445
2023-07-07$128.01$125.0034.7%10.0%47.9%10.2%31.9%-1.2%1.8%227.4K-10.6M-41.5K0.4992.5641202,8551,444
2023-07-10$129.92$125.0039.6%8.6%47.9%16.0%0.0%5.5%4.2%286.8K-11.8M-41.2K0.0088.980172,8551,434
2023-07-11$131.31$125.0033.9%9.3%47.9%9.2%0.0%1.5%7.3%306.8K-12.4M-40.4K0.7186.87752,8551,444
2023-07-12$133.28$125.0030.4%8.7%22.0%5.2%0.0%-2.2%7.6%386.2K-14.1M-41.3K31.0085.5461862,8571,442
2023-07-13$134.28$125.0030.7%8.8%20.2%5.6%30.9%1.9%6.6%366.2K-14.9M-40.7K0.1381.492332,8581,561
2023-07-14$131.32$125.0029.3%8.4%21.8%3.9%32.9%2.4%9.3%288.3K-13.0M-37.7K18.8398.89122262,8641,559
2023-07-17$131.01$125.0031.6%9.1%21.5%6.6%0.0%-0.1%6.1%380.4K-12.9M-36.7K0.5084.39632,8691,404
2023-07-18$131.03$125.0035.4%10.1%21.5%11.0%32.2%2.2%0.2%390.7K-12.9M-34.6K23.0086.701232,8651,403
2023-07-19$129.35$125.0030.8%8.8%21.8%5.7%30.0%3.7%7.7%333.0K-11.5M-33.9K0.8087.061082,8661,398
2023-07-20$123.80$125.0032.2%9.2%26.4%7.3%32.7%3.6%3.6%74.2K-7.9M-32.6K0.4787.261782,8601,401
2023-07-21$123.53$125.0030.5%8.7%26.2%5.3%36.9%1.7%9.8%37.7K-7.7M-30.7K0.2689.423492,8701,385
2023-07-24$124.94$125.0031.1%8.9%25.8%6.0%32.5%5.3%6.1%46.6K-1.6M-30.0K8.4092.125421,435722
2023-07-25$125.42$125.0030.1%8.6%25.6%4.8%32.1%1.2%9.1%42.3K-1.6M-30.3K0.1389.621621,440734
2023-07-26$125.11$125.0029.8%8.5%25.4%4.5%32.5%0.9%10.4%48.3K-1.7M-31.6K1.0095.60221,451736
2023-07-27$126.61$125.0033.3%9.5%25.7%8.6%0.0%-2.5%5.8%70.7K-2.2M-31.4K0.0099.9351011,453738
2023-07-28$124.14$125.0028.7%8.2%25.7%3.2%31.0%8.3%11.8%209.6K-4.2M-39.4K0.2598.69821,962737
2023-07-31$123.75$125.0031.4%9.0%24.3%6.4%32.2%9.5%8.3%204.0K-3.9M-37.1K1.0091.5611111,967739