FN Options History — September 2024

In September 2024, FN traded between $206.98 and $241.40. ATM implied volatility averaged 42.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 24.3% (HV 20d: 67.0%). Max pain ranged from $250.00 to $250.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.59.

Notable Days

  • 2024-09-03: Highest Volume — 1,037 contracts
  • 2024-09-06: Largest IV spike — 7.9% change
  • 2024-09-09: Highest IV Rank — 26.8%
  • 2024-09-06: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$226.12$206.98$241.40$221.28$235.94
Max Pain$250.00$250.00$250.00$250.00$250.00
ATM IV42.7%39.5%48.9%43.7%40.4%
Expected Move12.1%11.3%13.4%12.5%11.6%
HV 20d67.0%49.8%80.1%77.1%53.3%
HV 60d59.9%58.5%60.8%58.9%60.8%
IV Rank19.1%15.1%26.8%20.4%16.2%
IV Percentile57.6%42.1%74.2%66.3%49.6%
Term Structure12.7%-0.7%19.5%0.0%18.0%
VWIV44.3%40.1%51.0%44.7%41.9%
Skew 25d3.4%0.7%5.8%2.1%3.6%
Skew 10d6.8%-2.2%20.6%6.9%-1.1%
Call IV 25d42.3%39.1%47.0%45.3%40.5%
Put IV 25d45.7%41.9%49.1%47.4%44.1%
Bid-Ask Spread %80.1150.7190.7650.7190.76
Gamma HHI0.250.130.450.140.14
Net GEX-691.0K-1.5M-50.7K-419.1K-105.7K
Net DEX10.3M-2.3M31.7M16.2M-387.4K
Net VEX-68.3K-101.7K-49.5K-84.9K-49.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.048.376.300.88
Total Volume184.6221,0371,03732
Total OI5,589.42,4147,0576,2332,532

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$221.28$250.0043.7%12.5%77.1%20.4%44.7%2.1%0.0%-419.1K16.2M-84.9K6.3050.711428953,2502,983
2024-09-04$224.25$250.0045.4%13.0%77.2%22.5%45.0%2.5%-0.7%-935.5K19.0M-99.3K0.1153.52180203,3013,663
2024-09-05$225.63$250.0045.1%12.7%76.9%22.1%43.9%0.7%11.2%-842.9K16.8M-101.7K0.3483.17111383,3833,660
2024-09-06$211.14$250.0048.6%13.4%79.2%26.4%48.4%2.9%11.2%-1.3M31.4M-83.6K0.8679.3759513,4183,639
2024-09-09$209.91$250.0048.9%13.1%79.1%26.8%46.2%4.7%11.0%-1.4M31.7M-74.5K3.7675.47582183,4333,568
2024-09-10$206.98$250.0046.8%12.7%79.2%24.2%45.6%4.4%11.1%-1.4M31.3M-70.0K1.1577.1427313,4583,456
2024-09-11$215.31$250.0043.5%12.5%79.0%20.0%44.6%4.1%11.1%-1.5M22.2M-73.7K0.0878.57230193,4733,402
2024-09-12$223.05$250.0042.4%12.2%80.1%18.7%42.3%3.6%13.5%-1.1M11.5M-76.5K0.1480.39169233,6073,405
2024-09-13$230.11$250.0041.2%11.8%78.5%17.2%50.3%3.7%13.9%-629.3K4.2M-78.7K0.7080.4056393,5613,401
2024-09-16$224.88$250.0043.6%12.5%78.9%20.1%42.6%5.4%12.1%-1.4M10.7M-67.4K0.8484.7825213,5733,433
2024-09-17$230.38$250.0043.2%12.4%79.4%19.6%51.0%3.7%12.3%-763.0K4.2M-65.0K3.7180.58411523,5693,430
2024-09-18$229.43$250.0042.3%12.1%53.9%18.5%42.9%3.7%13.6%-787.1K4.9M-62.1K0.0484.13251113,5993,307
2024-09-19$235.31$250.0040.1%11.5%55.0%15.9%40.5%4.9%14.7%-292.8K-1.8M-61.5K0.5085.61139693,6573,316
2024-09-20$230.78$250.0040.3%11.6%54.5%16.1%47.5%5.8%15.3%-344.1K1.9M-56.3K8.3787.99413433,6163,307
2024-09-23$231.44$250.0039.6%11.3%53.8%15.2%42.3%2.6%16.9%-145.9K1.1M-53.0K0.2984.2251151,0411,373
2024-09-24$231.66$250.0039.5%11.3%49.8%15.2%44.0%3.3%15.6%-138.6K1.1M-52.1K2.6385.298211,0761,382
2024-09-25$226.94$250.0039.5%11.3%49.9%15.1%40.8%1.9%16.4%-180.4K2.7M-50.8K0.1085.562021,0801,409
2024-09-26$236.51$250.0040.2%11.5%52.2%16.0%42.4%2.4%16.6%-97.1K-590.3K-53.2K0.9186.8932291,0911,410
2024-09-27$241.40$250.0039.5%11.3%52.8%15.1%40.1%2.5%19.5%-50.7K-2.3M-52.8K0.0587.752211,1031,423
2024-09-30$235.94$250.0040.4%11.6%53.3%16.2%41.9%3.6%18.0%-105.7K-387.4K-49.5K0.8890.7617151,1051,427