FTAG Options History — October 2016

In October 2016, FTAG traded between $21.32 and $21.85. ATM implied volatility averaged 39.7%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 26.7% (HV 20d: 12.9%). Max pain ranged from $6.00 to $23.00. Net GEX was positive for 9 of 17 trading days. Term structure was in contango for 12 of 17 days. Put/call ratio averaged 0.59.

Notable Days

2016-10-04: Highest Volume — 67 contracts
2016-10-24: Largest IV spike — 46.2% change
2016-10-31: Highest IV Rank — 32.0%
2016-10-31: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.64	$21.32	$21.85	$21.57	$21.85
Max Pain	$8.00	$6.00	$23.00	$23.00	$6.00
ATM IV	39.7%	30.9%	58.6%	35.4%	58.6%
Expected Move	11.2%	8.5%	16.8%	10.2%	16.8%
HV 20d	12.9%	9.9%	15.0%	14.3%	10.0%
HV 60d	23.9%	18.1%	27.0%	27.0%	18.1%
IV Rank	21.6%	16.8%	32.0%	19.3%	32.0%
IV Percentile	64.8%	42.9%	88.6%	56.0%	88.6%
Term Structure	10.5%	-10.2%	49.4%	1.7%	28.0%
VWIV	45.1%	33.5%	84.0%	33.5%	84.0%
Skew 25d	6.5%	-6.4%	26.3%	-2.3%	26.3%
Skew 10d	7.2%	-5.2%	28.6%	2.7%	28.6%
Call IV 25d	38.6%	28.5%	57.5%	41.5%	57.5%
Put IV 25d	45.2%	34.4%	83.8%	39.2%	83.8%
Bid-Ask Spread %	161.98	112.29	196.58	122.12	193.80
Gamma HHI	0.25	0.23	0.30	0.24	0.24
Net GEX	44	-347	658	98	334
Net DEX	-43.0K	-60.0K	-31.9K	-34.5K	-54.0K
Net VEX	-172	-192	-153	-183	-162
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.49	0.63	0.63	0.49
Total Volume	65.235	61	67	67	61
Total OI	81.235	77	83	83	77

Daily Data (17 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
2016-10-04	$21.57	$23.00	35.4%	10.2%	14.3%	19.3%	33.5%	-2.3%	1.7%	98	-34.5K	-183	0.63	122.12	41	26	41	42
2016-10-05	$21.66	$23.00	32.0%	9.2%	13.8%	17.4%	34.1%	4.0%	-0.1%	30	-33.3K	-176	0.63	184.80	41	26	41	42
2016-10-06	$21.69	$6.00	33.3%	8.7%	13.7%	18.1%	44.3%	10.3%	20.1%	-271	-42.3K	-192	0.63	173.16	41	26	41	42
2016-10-07	$21.69	$6.00	32.8%	8.5%	13.7%	17.8%	35.3%	5.9%	19.0%	-347	-42.7K	-184	0.63	191.22	41	26	41	42
2016-10-10	$21.69	$6.00	37.0%	8.8%	13.7%	20.1%	36.6%	6.1%	17.3%	-210	-43.0K	-184	0.63	193.20	41	26	41	42
2016-10-12	$21.52	$6.00	44.2%	12.7%	13.9%	24.1%	44.8%	1.9%	-0.1%	131	-31.9K	-167	0.63	113.94	41	26	41	42
2016-10-13	$21.32	$6.00	47.7%	13.7%	14.2%	26.0%	37.0%	-6.4%	-1.3%	-179	-40.7K	-182	0.63	133.52	41	26	41	42
2016-10-14	$21.58	$6.00	44.9%	12.9%	15.0%	24.5%	48.4%	7.3%	15.4%	-224	-40.7K	-182	0.63	137.77	41	26	41	42
2016-10-17	$21.38	$6.00	48.0%	13.8%	14.9%	26.2%	50.4%	7.9%	3.6%	76	-36.4K	-176	0.63	136.93	41	26	41	42
2016-10-18	$21.38	$6.00	33.9%	9.7%	14.4%	18.4%	51.8%	16.6%	13.9%	-47	-39.7K	-166	0.63	193.40	41	26	41	42
2016-10-19	$21.71	$6.00	36.1%	10.3%	14.9%	19.6%	50.4%	12.5%	11.7%	-188	-44.8K	-171	0.63	168.81	41	26	41	42
2016-10-20	$21.71	$6.00	30.9%	8.9%	12.1%	16.8%	36.8%	5.0%	16.7%	-190	-42.2K	-169	0.63	193.48	41	26	41	42
2016-10-24	$21.82	$6.00	45.2%	13.0%	11.3%	24.6%	51.3%	3.8%	-10.2%	658	-46.0K	-156	0.49	114.33	41	20	41	36
2016-10-25	$21.75	$6.00	35.1%	10.1%	10.1%	19.1%	42.0%	5.7%	-7.2%	237	-53.9K	-167	0.49	196.58	41	20	41	36
2016-10-26	$21.75	$6.00	35.9%	10.3%	9.9%	19.5%	42.9%	5.8%	49.4%	237	-60.0K	-158	0.49	194.31	41	20	41	36
2016-10-28	$21.85	$6.00	43.2%	12.4%	10.0%	23.5%	43.6%	0.6%	0.0%	598	-45.6K	-153	0.49	112.29	41	20	41	36
2016-10-31	$21.85	$6.00	58.6%	16.8%	10.0%	32.0%	84.0%	26.3%	28.0%	334	-54.0K	-162	0.49	193.80	41	20	41	36