FTAG Options History — December 2015

In December 2015, FTAG traded between $20.60 and $21.80. ATM implied volatility averaged 17.1%. The 30-day expected move averaged 10.7%. Net GEX was positive for 3 of 6 trading days. Term structure was in contango for 0 of 6 days. Put/call ratio averaged 0.00.

Notable Days

  • 2015-12-23: Highest Volume — 10 contracts
  • 2015-12-30: Largest IV spike — 1564.0% change
  • 2015-12-28: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.07$20.60$21.80$20.60$20.65
ATM IV17.1%0.5%45.7%28.9%5.4%
Expected Move10.7%8.3%13.1%8.3%13.1%
Term Structure-1.8%-2.9%-0.7%-2.9%-0.7%
Bid-Ask Spread %169.60167.61172.63171.07167.61
Gamma HHI0.990.961.001.001.00
Net GEX10331
Net DEX-424-436-413-425-415
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1010101010
Total OI1515151515

Daily Data (6 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-23$20.60$0.0028.9%8.3%0.0%0.0%0.0%0.0%-2.9%3-42500.00171.07100150
2015-12-24$21.80$0.0013.6%0.0%0.0%0.0%0.0%0.0%0.0%0-43600.00172.63100150
2015-12-28$21.45$0.0045.7%13.1%0.0%0.0%0.0%0.0%-0.7%1-43100.00170.08100150
2015-12-29$21.30$0.000.5%0.0%0.0%0.0%0.0%0.0%0.0%0-42600.00168.42100150
2015-12-30$20.60$0.008.3%0.0%0.0%0.0%0.0%0.0%0.0%0-41300.00167.78100150
2015-12-31$20.65$0.005.4%0.0%0.0%0.0%0.0%0.0%0.0%1-41500.00167.61100150