FTAG Options History — July 2016

In July 2016, FTAG traded between $19.81 and $21.29. ATM implied volatility averaged 41.2%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.3% (HV 20d: 39.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 7 of 14 trading days. Term structure was in contango for 13 of 14 days. Put/call ratio averaged 0.70.

Notable Days

2016-07-05: Highest Volume — 17 contracts
2016-07-13: Largest IV drop — 45.7% change
2016-07-27: Highest IV Rank — 22.1%
2016-07-06: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.69	$19.81	$21.29	$20.23	$21.23
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	41.2%	30.8%	65.2%	44.1%	32.1%
Expected Move	10.3%	8.8%	13.7%	10.5%	9.2%
HV 20d	39.0%	36.9%	41.1%	37.0%	40.2%
HV 60d	34.9%	34.0%	35.9%	34.7%	35.7%
IV Rank	19.1%	17.4%	22.1%	17.6%	17.4%
IV Percentile	62.7%	56.3%	74.0%	57.9%	56.3%
Term Structure	45.5%	-4.0%	89.6%	87.2%	13.1%
VWIV	42.3%	30.9%	52.6%	39.5%	46.2%
Skew 25d	10.6%	-0.8%	17.4%	7.5%	15.5%
Skew 10d	11.4%	4.5%	21.7%	8.8%	10.2%
Call IV 25d	34.6%	28.2%	46.5%	31.6%	30.4%
Put IV 25d	45.3%	33.7%	55.2%	39.1%	45.9%
Bid-Ask Spread %	161.62	95.98	200.00	169.64	169.08
Gamma HHI	0.65	0.53	0.79	0.65	0.68
Net GEX	122	-247	983	443	-207
Net DEX	1.8K	-1.1K	3.7K	-1.1K	3.0K
Net VEX	-19	-26	-10	-26	-20
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.70	0.70	0.70	0.70
Total Volume	12.857	7	17	17	9
Total OI	23.714	18	28	28	20

Daily Data (14 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
2016-07-05	$20.23	$20.00	44.1%	10.5%	37.0%	0.0%	39.5%	7.5%	87.2%	443	-1.1K	-26	0.70	169.64	10	7	10	18
2016-07-06	$20.13	$20.00	48.0%	13.7%	36.9%	0.0%	48.7%	5.8%	78.6%	348	1.1K	-24	0.70	95.98	10	7	10	18
2016-07-07	$19.81	$20.00	43.5%	13.3%	37.2%	0.0%	50.3%	11.1%	87.1%	212	2.0K	-21	0.70	115.96	10	7	10	18
2016-07-08	$20.31	$20.00	46.6%	9.6%	38.5%	0.0%	37.5%	8.6%	75.9%	239	1.8K	-20	0.70	167.64	10	7	10	18
2016-07-11	$20.48	$20.00	65.2%	9.0%	38.0%	0.0%	32.7%	5.9%	76.0%	450	657	-20	0.70	200.00	10	7	10	18
2016-07-12	$20.51	$20.00	56.8%	9.3%	37.4%	0.0%	41.5%	15.3%	73.7%	462	215	-10	0.70	159.49	10	7	10	18
2016-07-13	$21.02	$20.00	30.8%	8.8%	38.3%	0.0%	44.1%	7.3%	89.6%	983	-1.1K	-19	0.70	147.65	10	7	10	18
2016-07-18	$20.56	$20.00	31.9%	9.1%	38.6%	0.0%	30.9%	-0.8%	36.9%	-195	2.5K	-15	0.00	200.00	0	7	0	18
2016-07-20	$21.29	$20.00	34.1%	9.8%	40.7%	0.0%	44.0%	17.4%	10.2%	-153	2.0K	-13	0.00	182.58	0	9	0	18
2016-07-22	$21.07	$20.00	36.4%	10.4%	40.5%	0.0%	43.6%	15.4%	3.6%	-223	3.5K	-23	0.00	171.81	0	9	0	20
2016-07-25	$20.69	$20.00	34.6%	9.9%	40.1%	0.0%	37.8%	12.6%	-4.0%	-247	3.7K	-13	0.00	187.86	0	9	0	20
2016-07-26	$21.23	$20.00	32.5%	9.3%	41.1%	17.6%	43.0%	13.9%	3.5%	-220	3.4K	-21	0.00	164.47	0	9	0	20
2016-07-27	$21.14	$20.00	40.7%	11.7%	41.1%	22.1%	52.6%	13.6%	4.9%	-187	3.4K	-19	0.00	130.59	0	9	0	20
2016-07-28	$21.23	$20.00	32.1%	9.2%	40.2%	17.4%	46.2%	15.5%	13.1%	-207	3.0K	-20	0.00	169.08	0	9	0	20