FTAG Options History — December 2016

In December 2016, FTAG traded between $22.16 and $23.45. ATM implied volatility averaged 43.0%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 26.1% (HV 20d: 16.9%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 12 of 18 days. Put/call ratio averaged 0.07.

Notable Days

2016-12-06: Highest Volume — 64 contracts
2016-12-16: Largest IV spike — 214.5% change
2016-12-23: Highest IV Rank — 55.6%
2016-12-23: Largest Expected Move — 29.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.85	$22.16	$23.45	$22.25	$22.86
Max Pain	$21.19	$21.00	$24.00	$24.00	$21.00
ATM IV	43.0%	23.7%	101.5%	46.4%	47.7%
Expected Move	11.9%	6.8%	29.1%	13.3%	13.7%
HV 20d	16.9%	13.6%	19.6%	13.6%	18.5%
HV 60d	14.6%	13.0%	15.8%	13.8%	15.8%
IV Rank	23.4%	12.8%	55.6%	25.3%	26.0%
IV Percentile	59.9%	32.7%	94.6%	81.6%	83.1%
Term Structure	5.6%	-59.3%	45.3%	-19.4%	-10.5%
VWIV	51.0%	29.7%	98.2%	29.7%	52.0%
Skew 25d	5.1%	-9.4%	14.0%	4.0%	5.8%
Skew 10d	16.6%	2.9%	52.8%	7.2%	11.8%
Call IV 25d	45.2%	23.1%	137.2%	48.8%	48.6%
Put IV 25d	50.4%	26.3%	148.7%	52.9%	54.4%
Bid-Ask Spread %	141.18	109.64	158.74	151.74	135.22
Gamma HHI	0.31	0.27	0.48	0.31	0.30
Net GEX	2.8K	809	4.2K	809	3.6K
Net DEX	-62.5K	-76.6K	-25.3K	-34.3K	-66.8K
Net VEX	-196	-242	-117	-127	-187
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.07	0.13	0.13	0.07
Total Volume	61.222	34	64	34	64
Total OI	59.556	34	64	34	64

Daily Data (18 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
2016-12-01	$22.25	$0.00	46.4%	13.3%	13.6%	25.3%	0.0%	4.0%	-19.4%	809	-34.3K	-127	0.13	151.74	30	4	30	4
2016-12-02	$22.16	$0.00	44.2%	12.7%	13.6%	24.1%	0.0%	-9.4%	-1.5%	1.1K	-25.3K	-117	0.10	144.93	40	4	30	4
2016-12-06	$22.56	$24.00	37.7%	9.8%	14.8%	20.5%	29.7%	14.0%	24.0%	1.4K	-43.9K	-155	0.07	150.39	60	4	40	4
2016-12-07	$22.91	$21.00	30.0%	10.2%	15.5%	16.2%	51.8%	6.3%	32.7%	2.4K	-73.4K	-241	0.07	138.91	60	4	60	4
2016-12-08	$23.07	$21.00	45.6%	11.7%	15.6%	24.9%	60.2%	9.9%	33.2%	2.3K	-74.4K	-242	0.07	143.02	60	4	60	4
2016-12-09	$23.11	$21.00	46.7%	8.4%	15.6%	25.5%	47.9%	10.6%	45.3%	2.6K	-73.9K	-237	0.07	144.89	60	4	60	4
2016-12-12	$23.07	$21.00	42.8%	10.7%	15.6%	23.3%	55.9%	8.4%	24.5%	2.5K	-75.1K	-230	0.07	145.69	60	4	60	4
2016-12-14	$22.87	$21.00	35.2%	10.1%	16.1%	19.1%	54.5%	10.3%	29.1%	2.4K	-75.3K	-227	0.07	144.46	60	4	60	4
2016-12-15	$23.45	$21.00	28.5%	8.2%	16.7%	15.4%	48.5%	3.6%	7.4%	3.5K	-71.3K	-206	0.07	150.99	60	4	60	4
2016-12-16	$23.45	$21.00	89.5%	25.7%	16.8%	49.0%	90.1%	9.2%	-20.7%	1.8K	-76.6K	-234	0.07	153.00	60	4	60	4
2016-12-19	$22.77	$21.00	33.4%	9.6%	19.6%	18.1%	54.1%	9.8%	2.2%	3.8K	-56.2K	-195	0.07	151.23	60	4	60	4
2016-12-20	$22.79	$21.00	26.9%	7.7%	19.2%	14.5%	36.1%	9.3%	5.1%	4.2K	-53.9K	-178	0.07	137.72	60	4	60	4
2016-12-21	$22.89	$21.00	23.7%	6.8%	19.1%	12.8%	37.3%	-3.8%	6.9%	3.7K	-68.7K	-196	0.07	132.82	60	4	60	4
2016-12-22	$22.65	$21.00	37.4%	10.7%	18.3%	20.3%	39.4%	-3.0%	-6.7%	3.7K	-67.4K	-205	0.07	135.17	60	4	60	4
2016-12-23	$22.65	$21.00	101.5%	29.1%	18.4%	55.6%	98.2%	11.5%	-59.3%	2.3K	-60.4K	-185	0.07	158.74	60	4	60	4
2016-12-27	$22.88	$21.00	28.1%	8.1%	18.5%	15.2%	30.6%	-1.1%	5.9%	4.2K	-63.7K	-185	0.07	112.73	60	4	60	4
2016-12-28	$22.94	$21.00	29.3%	8.4%	18.4%	15.8%	30.1%	-3.2%	3.5%	4.2K	-64.8K	-185	0.07	109.64	60	4	60	4
2016-12-30	$22.86	$21.00	47.7%	13.7%	18.5%	26.0%	52.0%	5.8%	-10.5%	3.6K	-66.8K	-187	0.07	135.22	60	4	60	4