FTAG Options History — November 2016

In November 2016, FTAG traded between $21.53 and $22.09. ATM implied volatility averaged 45.8%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 32.8% (HV 20d: 13.0%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 14 of 14 trading days. Term structure was in contango for 4 of 14 days. Put/call ratio averaged 0.31.

Notable Days

2016-11-02: Highest Volume — 61 contracts
2016-11-04: Largest IV drop — 31.7% change
2016-11-03: Highest IV Rank — 35.1%
2016-11-03: Largest Expected Move — 28.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.82	$21.53	$22.09	$21.85	$22.06
Max Pain	$6.00	$6.00	$6.00	$6.00	$6.00
ATM IV	45.8%	33.9%	64.2%	62.2%	46.0%
Expected Move	13.9%	9.7%	28.3%	17.8%	13.2%
HV 20d	13.0%	10.0%	15.1%	10.0%	13.3%
HV 60d	15.9%	13.8%	18.0%	18.0%	13.8%
IV Rank	24.9%	18.4%	35.1%	34.0%	25.1%
IV Percentile	73.6%	45.9%	89.8%	89.2%	81.0%
Term Structure	-1.9%	-46.3%	33.7%	33.7%	-3.3%
VWIV	89.1%	89.1%	89.1%	89.1%	89.1%
Skew 25d	6.2%	-8.8%	28.0%	28.0%	-1.5%
Skew 10d	11.9%	-2.1%	52.3%	29.7%	3.6%
Call IV 25d	51.4%	41.3%	118.8%	61.0%	48.3%
Put IV 25d	57.6%	41.9%	128.0%	88.9%	46.8%
Bid-Ask Spread %	132.45	97.77	193.58	193.58	129.68
Gamma HHI	0.27	0.24	0.32	0.24	0.32
Net GEX	700	287	1.4K	295	1.4K
Net DEX	-38.7K	-57.9K	-21.2K	-54.7K	-21.2K
Net VEX	-135	-159	-113	-159	-113
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.13	0.49	0.49	0.13
Total Volume	47.5	34	61	61	34
Total OI	55.5	34	77	77	34

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
2016-11-02	$21.85	$6.00	62.2%	17.8%	10.0%	34.0%	89.1%	28.0%	33.7%	295	-54.7K	-159	0.49	193.58	41	20	41	36
2016-11-03	$21.85	$0.00	64.2%	28.3%	10.0%	35.1%	0.0%	9.2%	-46.3%	293	-53.3K	-159	0.49	148.63	41	20	41	36
2016-11-04	$21.53	$0.00	43.9%	12.5%	11.0%	23.9%	0.0%	0.3%	19.1%	488	-46.0K	-146	0.49	119.33	41	20	41	36
2016-11-07	$21.67	$0.00	41.1%	12.8%	11.2%	22.4%	0.0%	-0.8%	-0.8%	615	-44.2K	-137	0.49	97.77	41	20	41	36
2016-11-10	$22.09	$0.00	49.4%	14.1%	13.1%	26.9%	0.0%	10.5%	-8.0%	805	-48.0K	-141	0.49	103.77	41	20	41	36
2016-11-15	$21.89	$0.00	44.5%	12.8%	13.5%	24.2%	0.0%	1.4%	-0.5%	772	-45.4K	-125	0.49	104.73	41	20	41	36
2016-11-16	$22.02	$0.00	51.1%	14.7%	13.7%	27.9%	0.0%	11.9%	4.1%	287	-57.9K	-142	0.49	152.59	41	20	41	36
2016-11-21	$21.64	$0.00	44.4%	12.7%	15.1%	24.2%	0.0%	-0.3%	0.5%	1.1K	-21.5K	-118	0.13	104.36	30	4	30	4
2016-11-22	$21.65	$0.00	42.4%	12.2%	14.8%	23.1%	0.0%	-1.0%	-0.9%	1.1K	-21.5K	-117	0.13	106.42	30	4	30	4
2016-11-23	$21.82	$0.00	33.9%	9.7%	14.6%	18.4%	0.0%	14.4%	-0.3%	614	-33.1K	-135	0.13	157.86	30	4	30	4
2016-11-25	$21.77	$0.00	35.0%	10.0%	14.1%	19.0%	0.0%	13.0%	-4.6%	620	-34.2K	-134	0.13	151.83	30	4	30	4
2016-11-28	$21.89	$0.00	45.4%	13.0%	13.7%	24.7%	0.0%	-8.8%	-10.0%	846	-27.5K	-130	0.13	136.88	30	4	30	4
2016-11-29	$21.81	$0.00	37.1%	10.6%	13.8%	20.1%	0.0%	10.6%	-9.4%	622	-33.6K	-131	0.13	146.89	30	4	30	4
2016-11-30	$22.06	$0.00	46.0%	13.2%	13.3%	25.1%	0.0%	-1.5%	-3.3%	1.4K	-21.2K	-113	0.13	129.68	30	4	30	4