FTAG Options History — February 2016

In February 2016, FTAG traded between $18.85 and $19.45. ATM implied volatility averaged 13.2%. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 15.9% (HV 20d: 29.1%). Max pain ranged from $5.00 to $30.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2016-02-01: Highest Volume — 10 contracts
  • 2016-02-09: Largest IV spike — 886.7% change
  • 2016-02-09: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.15$18.85$19.45$19.20$19.45
Max Pain$22.86$5.00$30.00$30.00$5.00
ATM IV13.2%3.1%91.2%9.8%10.6%
Expected Move5.0%0.9%26.1%26.1%3.0%
HV 20d29.1%16.8%37.6%37.4%17.3%
Term Structure-39.9%-85.2%1.8%-62.5%1.8%
VWIV127.6%107.4%196.7%196.7%110.6%
Skew 25d-13.0%-13.0%-13.0%-13.0%-13.0%
Skew 10d14.8%14.8%14.8%14.8%14.8%
Call IV 25d58.4%58.4%58.4%58.4%58.4%
Put IV 25d45.4%45.4%45.4%45.4%45.4%
Bid-Ask Spread %158.48134.88183.12152.99169.13
Gamma HHI0.990.791.001.001.00
Net GEX306200
Net DEX-470-2.1K-377-384-389
Net VEX-1-16000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume8.5510105
Total OI13.510151510

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$19.20$30.009.8%0.0%37.4%0.0%0.0%0.0%-62.5%0-38400.00152.99100150
2016-02-02$18.85$30.0011.0%0.0%37.0%0.0%0.0%0.0%-66.5%0-37700.00147.13100150
2016-02-03$19.15$30.008.0%0.0%37.6%0.0%0.0%0.0%-67.9%0-38400.00147.08100150
2016-02-04$19.40$30.008.4%0.0%36.7%0.0%0.0%0.0%-63.6%0-38800.00150.39100150
2016-02-05$19.30$30.008.4%0.0%36.3%0.0%0.0%0.0%-71.7%0-38600.00149.49100150
2016-02-08$18.85$30.009.2%0.0%37.1%0.0%0.0%0.0%-85.2%0-37700.00150.92100150
2016-02-09$18.90$30.0091.2%26.1%36.4%0.0%196.7%-13.0%-5.3%62-2.1K-160.00134.88100150
2016-02-10$19.00$30.007.9%0.0%32.5%0.0%0.0%0.0%-55.5%0-38000.00147.65100150
2016-02-11$18.90$30.006.8%0.0%29.6%0.0%0.0%0.0%-83.6%0-37800.00148.24100150
2016-02-12$19.25$30.006.9%0.0%30.3%0.0%0.0%0.0%0.0%0-38500.00149.78100150
2016-02-16$19.25$5.003.1%0.9%28.5%0.0%107.4%0.0%0.0%0-38500.00170.53100150
2016-02-17$19.15$5.009.7%2.8%28.6%0.0%111.1%0.0%0.0%0-38300.00170.72100150
2016-02-18$19.10$5.005.3%1.5%27.8%0.0%112.0%0.0%0.0%0-38200.00160.17100150
2016-02-19$19.10$5.006.8%1.9%26.0%0.0%110.6%0.0%0.0%0-38200.00159.58100150
2016-02-22$19.15$0.0012.3%0.0%25.7%0.0%0.0%0.0%0.0%0-38300.00183.1250100
2016-02-23$19.30$0.0014.0%4.0%25.2%0.0%0.0%0.0%0.3%0-38600.00163.1550100
2016-02-24$19.35$0.0014.2%4.1%17.8%0.0%0.0%0.0%0.4%0-38700.00175.1950100
2016-02-25$19.10$0.0015.2%4.3%16.8%0.0%0.0%0.0%-0.0%0-38200.00174.5550100
2016-02-26$19.25$0.005.9%1.7%17.0%0.0%0.0%0.0%0.9%0-38500.00164.8650100
2016-02-29$19.45$0.0010.6%3.0%17.3%0.0%0.0%0.0%1.8%0-38900.00169.1350100