FN Options History — August 2023

In August 2023, FN traded between $116.50 and $163.25. ATM implied volatility averaged 38.6%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 13.6% (HV 20d: 52.1%). Max pain ranged from $120.00 to $130.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.89.

Notable Days

  • 2023-08-22: Highest Volume — 3,577 contracts
  • 2023-08-09: Largest IV spike — 52.1% change
  • 2023-08-21: Highest IV Rank — 58.6%
  • 2023-08-21: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.28$116.50$163.25$122.97$161.79
Max Pain$126.74$120.00$130.00$125.00$130.00
ATM IV38.6%25.9%55.4%33.3%28.7%
Expected Move11.7%8.2%15.9%9.6%8.2%
HV 20d52.1%23.7%102.9%23.7%102.2%
HV 60d53.5%45.5%70.5%45.5%66.3%
IV Rank17.9%0.0%58.6%8.6%5.5%
IV Percentile47.1%0.0%88.9%36.5%5.6%
Term Structure-3.9%-13.7%7.4%4.4%2.6%
VWIV41.3%28.3%55.2%29.0%30.3%
Skew 25d1.4%-3.7%6.0%4.6%1.6%
Skew 10d2.7%-11.3%15.2%2.6%5.2%
Call IV 25d40.8%26.7%54.1%26.7%28.8%
Put IV 25d42.2%30.2%56.3%31.4%30.4%
Bid-Ask Spread %71.1844.4696.5296.5271.45
Gamma HHI0.230.170.310.310.21
Net GEX275.2K1.1K635.3K192.4K473.2K
Net DEX-15.8M-44.5M-2.9M-3.6M-41.7M
Net VEX-50.3K-77.7K-35.2K-36.7K-70.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.002.440.310.79
Total Volume505.56573,57717190
Total OI4,601.2172,7167,5972,7177,590

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$122.97$125.0033.3%9.6%23.7%8.6%29.0%4.6%4.4%192.4K-3.6M-36.7K0.3196.521341,977740
2023-08-02$121.47$125.0032.8%9.4%23.8%8.0%28.3%-1.6%7.4%162.8K-2.9M-35.2K1.0495.0425261,976740
2023-08-03$121.66$125.0025.9%12.3%23.7%0.0%44.5%1.6%-3.2%161.0K-3.1M-36.0K0.0070.93701,999762
2023-08-04$126.16$125.0028.5%11.3%26.8%3.1%42.0%5.0%-3.5%218.8K-4.8M-37.3K1.7178.2431532,003762
2023-08-07$126.38$130.0033.0%12.9%26.1%8.3%44.4%1.2%-6.3%235.9K-4.9M-38.6K0.0876.04212172,016811
2023-08-08$124.62$130.0030.6%12.7%26.1%5.4%43.7%4.7%-7.1%275.9K-4.9M-40.0K0.0072.510102,216803
2023-08-09$124.27$130.0046.5%13.3%25.3%24.0%47.7%3.1%-7.3%254.3K-4.8M-40.8K1.2170.6819232,216812
2023-08-10$121.04$130.0042.2%12.1%26.2%19.0%44.0%-3.3%-7.2%240.5K-3.4M-37.3K0.8376.9542352,311801
2023-08-11$121.94$125.0047.5%13.6%25.7%25.2%46.6%-2.9%-7.6%242.9K-3.7M-39.0K1.4076.09572,319833
2023-08-14$121.75$125.0049.1%14.1%25.7%27.0%47.8%6.0%-10.8%246.1K-4.3M-41.6K0.0070.7440402,318840
2023-08-15$120.94$125.0046.8%13.4%25.7%24.3%49.5%1.8%-6.5%336.3K-5.1M-41.2K0.3773.5354202,706840
2023-08-16$116.58$125.0045.8%13.1%28.1%23.1%46.6%2.8%-8.1%248.0K-2.9M-39.7K0.2173.09438942,756858
2023-08-17$116.50$125.0052.3%15.0%24.1%30.7%52.0%0.6%-13.1%445.9K-3.8M-43.8K0.0669.9411073,156932
2023-08-18$118.63$125.0052.6%15.1%25.2%31.1%51.5%-3.7%-9.1%405.0K-5.6M-47.0K0.9370.063883593,257933
2023-08-21$117.13$120.0055.4%15.9%25.0%58.6%55.2%2.1%-13.7%473.0K-6.6M-50.7K0.5253.377313783,3181,222
2023-08-22$153.57$120.0039.5%11.3%100.5%27.0%40.5%2.6%-4.4%635.3K-44.5M-49.7K0.8244.461,9631,6143,9441,537
2023-08-23$163.25$125.0038.8%11.1%102.0%25.5%41.2%1.7%-3.0%352.3K-41.8M-66.4K1.4354.367591,0863,6262,762
2023-08-24$159.96$130.0035.0%10.0%102.7%18.0%36.4%1.0%0.1%119.1K-35.1M-77.7K2.0158.952264553,7623,521
2023-08-25$156.24$130.0033.3%9.6%102.9%14.7%34.8%0.8%1.3%1.1K-31.3M-75.5K2.4464.392235433,8173,566
2023-08-28$155.85$130.0030.6%8.8%102.9%9.3%31.5%1.2%2.7%83.5K-32.3M-69.8K1.5469.422423733,9013,471
2023-08-29$157.34$130.0028.7%8.2%102.7%5.5%29.5%1.8%3.3%202.7K-34.8M-71.7K1.1072.491361504,0443,457
2023-08-30$158.42$130.0030.5%8.7%102.3%9.1%32.0%-0.1%0.6%323.5K-37.2M-71.4K0.8877.7583734,1533,444
2023-08-31$161.79$130.0028.7%8.2%102.2%5.5%30.3%1.6%2.6%473.2K-41.7M-70.6K0.7971.45106844,1653,425