FTAG Options History — January 2016

In January 2016, FTAG traded between $18.45 and $20.15. ATM implied volatility averaged 16.9%. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 23.1% (HV 20d: 40.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.00.

Notable Days

  • 2016-01-04: Highest Volume — 10 contracts
  • 2016-01-21: Largest IV spike — 611.9% change
  • 2016-01-11: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.13$18.45$20.15$20.15$19.00
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV16.9%2.5%99.9%15.1%2.5%
Expected Move4.0%2.3%5.1%3.8%4.6%
HV 20d40.0%37.1%42.8%42.8%37.1%
Term Structure-15.0%-59.0%137.5%-12.4%-59.0%
Bid-Ask Spread %152.90148.33158.91157.02149.93
Gamma HHI1.000.961.001.001.00
Net GEX00000
Net DEX-383-403-369-403-380
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 (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$20.15$30.0015.1%3.8%0.0%0.0%0.0%0.0%-12.4%0-40300.00157.02100150
2016-01-05$20.05$30.008.5%5.0%0.0%0.0%0.0%0.0%-14.6%0-40100.00151.42100150
2016-01-06$19.50$30.000.0%0.0%0.0%0.0%0.0%0.0%0.0%0-39000.00158.91100150
2016-01-07$19.20$30.005.5%0.0%0.0%0.0%0.0%0.0%0.0%0-38400.00156.95100150
2016-01-08$19.40$30.008.2%2.3%0.0%0.0%0.0%0.0%-4.3%0-38900.00155.24100150
2016-01-11$19.00$30.0017.9%5.1%0.0%0.0%0.0%0.0%-9.0%0-38000.00155.99100150
2016-01-12$19.85$30.006.3%0.0%0.0%0.0%0.0%0.0%-57.5%0-39700.00148.52100150
2016-01-13$19.10$30.0011.9%3.4%0.0%0.0%0.0%0.0%-6.3%0-38200.00155.55100150
2016-01-14$19.00$30.003.8%0.0%0.0%0.0%0.0%0.0%-46.6%0-38000.00156.60100150
2016-01-15$18.50$30.000.0%0.0%42.8%0.0%0.0%0.0%0.0%0-37000.00148.49100150
2016-01-19$18.65$30.000.0%0.0%41.8%0.0%0.0%0.0%0.0%0-37300.00148.33100150
2016-01-20$19.00$30.0014.0%4.0%41.6%0.0%0.0%0.0%14.3%0-38000.00156.22100150
2016-01-21$18.50$30.0099.9%0.0%41.2%0.0%0.0%0.0%137.5%0-37000.00149.65100150
2016-01-22$18.70$30.0018.6%0.0%40.5%0.0%0.0%0.0%-40.2%0-37400.00151.82100150
2016-01-25$18.45$30.0020.0%0.0%39.5%0.0%0.0%0.0%-43.7%0-36900.00148.47100150
2016-01-26$19.40$30.0015.9%4.6%38.2%0.0%0.0%0.0%-53.4%0-38800.00151.04100150
2016-01-27$19.00$30.005.4%0.0%38.4%0.0%0.0%0.0%-59.0%0-38000.00156.48100150
2016-01-28$19.00$30.002.5%0.0%38.5%0.0%0.0%0.0%0.0%0-38000.00148.38100150
2016-01-29$19.00$30.000.0%0.0%37.1%0.0%0.0%0.0%0.0%0-38000.00149.93100150