FTAG Options History — September 2016

In September 2016, FTAG traded between $21.16 and $22.26. ATM implied volatility averaged 52.0%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 37.8% (HV 20d: 14.2%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 5 of 13 trading days. Term structure was in contango for 12 of 13 days. Put/call ratio averaged 1.18.

Notable Days

2016-09-14: Highest Volume — 68 contracts
2016-09-29: Largest IV spike — 282.5% change
2016-09-29: Highest IV Rank — 93.7%
2016-09-16: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.62	$21.16	$22.26	$22.11	$21.52
Max Pain	$23.08	$23.00	$24.00	$24.00	$23.00
ATM IV	52.0%	29.0%	170.7%	35.9%	29.0%
Expected Move	11.0%	8.2%	13.1%	10.3%	8.3%
HV 20d	14.2%	12.5%	16.0%	12.6%	14.6%
HV 60d	27.2%	26.7%	27.5%	26.9%	27.2%
IV Rank	28.4%	15.7%	93.7%	19.5%	15.7%
IV Percentile	73.4%	44.9%	98.7%	61.6%	44.9%
Term Structure	32.2%	0.2%	119.1%	5.9%	4.4%
VWIV	39.0%	27.6%	105.7%	36.6%	30.0%
Skew 25d	-2.4%	-82.9%	16.2%	12.8%	4.7%
Skew 10d	-2.0%	-82.9%	15.2%	7.8%	4.3%
Call IV 25d	52.5%	27.3%	176.9%	30.7%	29.4%
Put IV 25d	50.1%	34.1%	96.8%	43.5%	34.1%
Bid-Ask Spread %	128.85	61.83	200.00	112.03	176.56
Gamma HHI	0.35	0.21	0.54	0.54	0.24
Net GEX	-179	-634	214	-225	-220
Net DEX	-26.3K	-43.7K	-7.9K	-19.8K	-42.4K
Net VEX	-130	-228	-30	-31	-195
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.62	2.17	1.67	0.63
Total Volume	55.538	32	68	32	67
Total OI	68.769	48	84	48	83

Daily Data (13 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
2016-09-02	$22.11	$24.00	35.9%	10.3%	12.6%	19.5%	36.6%	12.8%	5.9%	-225	-19.8K	-31	1.67	112.03	12	20	12	36
2016-09-06	$22.26	$0.00	43.9%	12.5%	12.5%	23.9%	105.7%	-12.1%	4.4%	-154	-19.5K	-30	2.17	92.50	12	26	12	36
2016-09-07	$21.99	$23.00	47.6%	8.3%	13.5%	26.0%	27.6%	7.3%	118.8%	-529	-8.5K	-65	2.17	176.35	12	26	12	42
2016-09-08	$22.25	$23.00	38.0%	8.2%	13.1%	20.7%	29.0%	5.4%	112.6%	-567	-8.6K	-69	2.17	149.13	12	26	12	42
2016-09-12	$21.71	$23.00	62.9%	12.6%	16.0%	34.4%	44.8%	1.0%	0.8%	-604	-9.6K	-48	2.17	61.83	12	26	12	42
2016-09-14	$21.45	$23.00	35.8%	10.3%	14.5%	19.4%	31.5%	4.1%	7.3%	-634	-7.9K	-44	0.62	170.56	42	26	12	42
2016-09-16	$21.16	$23.00	45.6%	13.1%	15.3%	24.8%	31.3%	16.2%	119.1%	170	-39.1K	-228	0.62	105.63	42	26	42	42
2016-09-19	$21.31	$23.00	42.8%	12.3%	14.7%	23.3%	32.2%	-0.0%	2.2%	181	-32.9K	-192	0.63	94.56	41	26	41	42
2016-09-20	$21.33	$23.00	43.5%	12.5%	14.6%	23.7%	33.9%	4.0%	4.2%	70	-41.7K	-195	0.63	106.08	41	26	41	42
2016-09-21	$21.35	$23.00	36.0%	10.3%	14.4%	19.5%	29.6%	8.3%	6.4%	-133	-43.7K	-203	0.63	129.68	41	26	41	42
2016-09-27	$21.33	$23.00	44.6%	12.8%	14.4%	24.3%	35.4%	-0.6%	0.2%	214	-30.4K	-181	0.63	100.19	41	26	41	42
2016-09-29	$21.33	$23.00	170.7%	0.0%	14.2%	93.7%	0.0%	-82.9%	0.0%	106	-37.6K	-203	0.63	200.00	41	26	41	42
2016-09-30	$21.52	$23.00	29.0%	8.3%	14.6%	15.7%	30.0%	4.7%	4.4%	-220	-42.4K	-195	0.63	176.56	41	26	41	42