FTAG Options History — March 2016

Name: FTAG Options Analytics - March 2016
Creator: Options Analysis Suite

In March 2016, FTAG traded between $19.45 and $20.90. ATM implied volatility averaged 21.9%. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.5% (HV 20d: 24.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.23.

Notable Days

2016-03-30: Highest Volume — 12 contracts
2016-03-30: Largest IV spike — 753.6% change
2016-03-31: Largest Expected Move — 19.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.24	$19.45	$20.90	$19.65	$20.50
Max Pain	$15.71	$15.00	$20.00	$15.00	$20.00
ATM IV	21.9%	1.7%	68.6%	10.9%	68.6%
Expected Move	6.3%	0.5%	19.7%	3.1%	19.7%
HV 20d	24.3%	15.2%	32.8%	17.3%	32.7%
HV 60d	31.4%	30.1%	32.6%	31.8%	30.1%
Term Structure	-1.3%	-15.9%	5.6%	1.9%	-15.9%
VWIV	69.3%	68.6%	70.1%	70.1%	68.6%
Skew 25d	14.0%	-15.1%	33.4%	32.7%	-15.1%
Skew 10d	21.2%	-25.9%	52.1%	52.1%	-25.9%
Call IV 25d	39.2%	24.0%	47.2%	47.0%	24.0%
Put IV 25d	53.3%	8.8%	80.6%	79.7%	8.8%
Bid-Ask Spread %	162.44	59.17	196.48	163.82	196.48
Gamma HHI	0.94	0.48	1.00	1.00	0.48
Net GEX	43	-106	104	0	2
Net DEX	-1.5K	-6.3K	350	-393	350
Net VEX	-8	-42	0	0	-14
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	0.70	0.00	0.70
Total Volume	7.857	5	12	5	12
Total OI	12.524	10	17	10	17

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-03-01	$19.65	$0.00	10.9%	3.1%	17.3%	0.0%	0.0%	0.0%	1.9%	0	-393	0	0.00	163.82	5	0	10	0
2016-03-02	$19.70	$0.00	8.9%	2.5%	15.7%	0.0%	0.0%	0.0%	-0.9%	0	-394	0	0.00	163.67	5	0	10	0
2016-03-03	$19.90	$0.00	13.5%	3.9%	15.2%	0.0%	0.0%	0.0%	-2.0%	0	-398	0	0.00	175.73	5	0	10	0
2016-03-04	$20.60	$0.00	18.6%	5.3%	18.8%	0.0%	0.0%	0.0%	0.0%	0	-412	0	0.00	162.47	5	0	10	0
2016-03-07	$20.15	$0.00	8.5%	2.4%	20.6%	0.0%	0.0%	0.0%	5.6%	0	-403	0	0.00	177.88	5	0	10	0
2016-03-08	$20.25	$0.00	13.8%	4.0%	18.2%	0.0%	0.0%	0.0%	0.0%	0	-405	0	0.00	165.91	5	0	10	0
2016-03-09	$20.25	$0.00	1.7%	0.5%	18.3%	0.0%	0.0%	0.0%	-0.0%	69	-1.4K	-10	0.00	186.35	7	0	10	0
2016-03-10	$20.00	$0.00	10.0%	2.9%	19.1%	0.0%	0.0%	0.0%	-1.4%	92	-1.6K	-4	0.00	190.30	7	0	12	0
2016-03-11	$20.60	$0.00	15.3%	4.4%	21.1%	0.0%	0.0%	0.0%	0.0%	96	-1.8K	-4	0.00	168.60	7	0	12	0
2016-03-14	$20.20	$0.00	46.2%	13.2%	22.0%	0.0%	0.0%	32.7%	1.7%	51	-1.7K	-4	0.00	63.87	7	0	12	0
2016-03-15	$20.05	$0.00	44.1%	12.6%	22.3%	0.0%	0.0%	33.4%	3.7%	49	-1.7K	-4	0.00	59.17	7	0	12	0
2016-03-16	$19.45	$0.00	9.9%	2.8%	25.0%	0.0%	0.0%	0.0%	2.9%	88	-1.5K	-4	0.00	174.75	7	0	12	0
2016-03-17	$20.25	$0.00	57.8%	16.6%	28.6%	0.0%	0.0%	5.1%	-9.4%	56	-1.7K	-4	0.00	64.57	7	0	12	0
2016-03-18	$20.50	$0.00	12.0%	3.5%	28.8%	0.0%	0.0%	0.0%	0.0%	82	-1.9K	-4	0.33	179.61	7	2	12	0
2016-03-21	$20.30	$15.00	10.7%	3.1%	29.2%	0.0%	0.0%	0.0%	0.0%	86	-1.8K	-4	0.33	166.07	7	2	12	2
2016-03-22	$20.90	$15.00	14.2%	4.1%	30.6%	0.0%	0.0%	0.0%	0.0%	75	-2.1K	-4	0.67	193.72	7	4	12	2
2016-03-23	$20.60	$15.00	12.3%	3.5%	31.3%	0.0%	0.0%	0.0%	0.0%	104	-5.5K	-42	0.67	196.04	7	4	12	4
2016-03-28	$20.60	$15.00	13.9%	4.0%	30.7%	0.0%	0.0%	0.0%	0.0%	-106	167	-14	0.67	193.62	7	4	12	4
2016-03-29	$20.10	$15.00	7.1%	2.0%	32.3%	0.0%	0.0%	-15.1%	-2.1%	86	-256	-13	0.67	181.16	7	4	12	4
2016-03-30	$20.50	$15.00	60.9%	17.4%	32.8%	0.0%	70.1%	0.0%	0.0%	74	-6.3K	-42	0.70	187.43	7	5	12	4
2016-03-31	$20.50	$20.00	68.6%	19.7%	32.7%	0.0%	68.6%	0.0%	-15.9%	2	350	-14	0.70	196.48	7	5	12	5