FN Options History — September 2023

In September 2023, FN traded between $148.24 and $168.05. ATM implied volatility averaged 30.5%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 41.9% (HV 20d: 72.4%). Max pain ranged from $130.00 to $155.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2023-09-28: Highest Volume — 627 contracts
  • 2023-09-11: Largest IV spike — 15.4% change
  • 2023-09-28: Highest IV Rank — 16.6%
  • 2023-09-28: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$154.79$148.24$168.05$160.55$167.43
Max Pain$149.25$130.00$155.00$130.00$155.00
ATM IV30.5%26.9%34.3%28.3%34.0%
Expected Move8.8%8.1%9.8%8.1%9.7%
HV 20d72.4%22.6%103.3%102.1%32.6%
HV 60d63.0%62.1%66.8%66.3%63.3%
IV Rank9.1%1.9%16.6%4.7%16.0%
IV Percentile19.9%0.4%48.8%2.0%46.8%
Term Structure10.9%2.6%13.4%2.6%13.4%
VWIV30.9%28.3%35.4%29.3%33.5%
Skew 25d2.2%1.2%3.5%1.4%2.4%
Skew 10d5.2%2.7%8.2%2.7%5.4%
Call IV 25d30.4%27.6%35.1%27.6%32.7%
Put IV 25d32.5%29.0%37.1%29.0%35.1%
Bid-Ask Spread %70.0663.5573.6073.6069.21
Gamma HHI0.280.190.620.200.25
Net GEX31.9K-1.3M839.6K429.6K839.6K
Net DEX-20.3M-40.0M-5.9M-40.0M-22.1M
Net VEX-60.4K-71.4K-52.0K-71.4K-69.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.183.441.840.81
Total Volume193.4552627193205
Total OI5,973.63,7857,9577,6904,635

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$160.55$130.0028.3%8.1%102.1%4.7%29.3%1.4%2.6%429.6K-40.0M-71.4K1.8473.60681254,2113,479
2023-09-05$156.17$150.0028.3%8.8%103.1%4.7%30.4%1.9%9.5%182.3K-34.2M-67.0K1.3368.69981304,2463,538
2023-09-06$154.03$150.0029.0%8.8%103.1%6.2%31.1%2.1%9.2%80.7K-31.2M-65.5K1.6868.971071804,2863,513
2023-09-07$151.77$150.0029.7%8.9%103.3%7.4%30.8%2.7%8.7%-157.2K-27.1M-63.8K1.2863.551391784,3123,566
2023-09-08$152.14$150.0026.9%8.6%102.5%1.9%29.9%2.4%9.0%-129.5K-28.6M-64.1K2.0871.0739814,3853,572
2023-09-11$152.70$150.0031.1%8.3%102.5%10.2%29.3%2.1%10.1%-87.8K-29.6M-61.1K3.4471.7925864,4083,542
2023-09-12$148.88$150.0032.1%8.5%103.3%12.3%28.9%2.1%9.7%-516.6K-24.0M-55.8K1.4169.1256794,4053,535
2023-09-13$148.24$150.0029.3%8.4%103.2%6.8%30.1%2.1%9.9%-603.1K-23.4M-53.7K0.2466.82178424,3933,456
2023-09-14$149.56$150.0028.1%8.1%101.7%4.3%28.3%2.2%13.1%-894.9K-25.2M-52.3K1.2272.2168834,3593,420
2023-09-15$151.00$150.0028.7%8.2%101.6%5.5%28.7%2.2%12.2%-1.3M-27.9M-54.8K1.2371.1539484,3763,447
2023-09-18$149.88$150.0028.5%8.2%101.9%5.1%28.9%2.4%12.3%121.9K-5.9M-52.0K1.2672.0342532,1681,617
2023-09-19$152.71$150.0029.0%8.3%101.5%6.1%30.9%3.5%11.2%184.3K-7.6M-54.2K2.1571.8126562,1941,656
2023-09-20$153.45$150.0029.1%8.4%32.2%6.4%29.0%2.0%12.8%191.6K-7.9M-55.7K0.8570.1280682,2061,694
2023-09-21$152.81$150.0030.4%8.7%22.6%9.0%30.9%1.2%12.6%189.1K-7.6M-56.6K1.3672.1822302,2221,717
2023-09-22$157.36$150.0032.3%9.2%24.5%12.6%32.0%2.1%12.4%308.3K-10.8M-58.8K0.6469.67111712,2041,714
2023-09-25$156.72$150.0034.0%9.8%23.0%16.1%33.9%1.9%11.2%328.8K-10.4M-60.3K0.7269.5289642,3341,773
2023-09-26$153.88$150.0033.6%9.6%23.9%15.2%33.4%3.0%11.8%275.9K-8.7M-60.0K0.5669.25163912,4061,806
2023-09-27$158.45$150.0033.0%9.5%26.0%14.1%33.5%1.8%13.0%495.4K-13.0M-64.6K0.9369.701151072,5141,808
2023-09-28$168.05$150.0034.3%9.8%33.2%16.6%35.4%1.9%12.6%703.5K-21.0M-66.8K0.1870.75533942,5031,852
2023-09-29$167.43$155.0034.0%9.7%32.6%16.0%33.5%2.4%13.4%839.6K-22.1M-69.9K0.8169.21113922,7161,919