FN Options History — March 2024

In March 2024, FN traded between $187.77 and $224.69. ATM implied volatility averaged 43.1%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 16.3% (HV 20d: 59.5%). Max pain ranged from $170.00 to $195.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.25.

Notable Days

  • 2024-03-20: Highest Volume — 681 contracts
  • 2024-03-13: Largest IV drop — 22.9% change
  • 2024-03-11: Highest IV Rank — 43.0%
  • 2024-03-11: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.48$187.77$224.69$219.06$188.76
Max Pain$178.75$170.00$195.00$185.00$195.00
ATM IV43.1%39.0%55.6%40.5%39.0%
Expected Move11.7%11.2%12.3%11.6%11.2%
HV 20d59.5%46.7%95.8%95.7%46.7%
HV 60d61.6%60.1%63.7%60.3%63.5%
IV Rank24.9%18.9%43.0%21.2%18.9%
IV Percentile70.5%59.5%87.3%70.6%59.5%
Term Structure11.0%-1.8%17.1%-1.8%17.1%
VWIV41.3%38.8%44.0%41.9%40.7%
Skew 25d0.2%-2.8%2.8%1.0%-0.2%
Skew 10d2.5%-5.1%14.7%14.7%3.9%
Call IV 25d41.6%39.8%45.1%45.1%40.6%
Put IV 25d41.9%37.6%46.2%46.2%40.4%
Bid-Ask Spread %80.6274.5090.3890.3881.38
Gamma HHI0.290.090.870.210.36
Net GEX-31.3K-1.9M538.2K489.6K-414.1K
Net DEX-7.0M-18.8M2.9M-16.4M1.9M
Net VEX-43.2K-52.9K-35.2K-43.5K-52.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0725.190.462.08
Total Volume161.851768131274
Total OI2,427.31,4472,8682,3032,868

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$219.06$185.0040.5%11.6%95.7%21.2%41.9%1.0%-1.8%489.6K-16.4M-43.5K0.4690.38213991,365938
2024-03-04$221.35$170.0044.0%11.8%95.8%26.2%42.1%0.5%9.8%449.2K-17.5M-43.3K0.1678.81256401,3921,029
2024-03-05$219.38$170.0046.8%11.9%95.8%30.2%40.0%-0.1%9.2%472.4K-16.5M-45.2K2.8581.4020571,4871,047
2024-03-06$224.69$170.0048.9%12.3%56.5%33.4%43.1%-2.2%9.7%519.8K-18.8M-43.9K0.5877.2736211,4911,089
2024-03-07$220.14$170.0045.0%11.9%54.6%27.7%41.9%1.4%10.5%505.6K-17.4M-43.7K0.0780.489671,5081,087
2024-03-08$215.08$170.0046.4%12.2%55.0%29.6%39.8%1.4%8.2%538.2K-15.2M-44.6K0.3380.3487291,5741,092
2024-03-11$201.51$175.0055.6%12.3%58.8%43.0%44.0%0.5%9.1%286.9K-7.3M-39.5K3.5279.11712501,5451,104
2024-03-12$200.07$175.0052.6%12.2%58.8%38.7%43.3%-0.0%11.0%-110.2K-4.4M-40.4K0.9574.7620191,5301,324
2024-03-13$202.64$175.0040.5%11.6%55.5%21.2%41.5%0.8%10.7%-92.2K-6.1M-39.2K0.2474.501741,5351,326
2024-03-14$196.72$175.0040.7%11.7%54.5%21.4%40.4%0.8%11.0%-289.0K-2.4M-36.6K0.3179.411341,5371,322
2024-03-15$199.99$175.0040.1%11.5%54.8%20.5%40.5%-0.5%12.8%-1.9M-4.0M-36.2K3.8680.03572201,5421,325
2024-03-18$198.61$175.0040.2%11.5%54.5%20.7%41.0%1.5%10.6%92.2K-5.1M-35.2K0.0980.21343792655
2024-03-19$193.33$175.0039.3%11.3%48.9%19.5%41.8%-1.3%14.2%78.2K-3.9M-36.0K0.9583.064442808657
2024-03-20$192.26$175.0040.5%11.6%48.7%21.2%42.0%2.8%13.6%79.7K-3.8M-36.0K25.1985.8626655828669
2024-03-21$206.73$185.0039.4%11.3%48.3%19.5%41.0%-2.8%12.3%-123.7K-4.5M-47.1K0.0985.4610298371,319
2024-03-22$197.11$185.0040.0%11.5%51.0%20.3%39.7%-2.2%13.2%-250.5K-2.1M-47.2K0.2680.503498951,325
2024-03-25$193.58$185.0041.9%12.0%51.2%23.2%41.4%2.1%12.3%-183.8K-1.3M-49.8K1.6180.711011631,0881,326
2024-03-26$187.77$195.0040.9%11.7%51.9%21.8%41.9%0.3%11.8%-392.1K2.9M-51.7K1.1979.2027321,1511,490
2024-03-27$190.81$195.0040.1%11.5%52.3%20.6%38.8%1.0%14.1%-381.8K1.4M-51.0K0.1779.43211351,1461,503
2024-03-28$188.76$195.0039.0%11.2%46.7%18.9%40.7%-0.2%17.1%-414.1K1.9M-52.9K2.0881.3824501,3371,531