FTAG Options History — January 2017

In January 2017, FTAG traded between $22.93 and $24.46. ATM implied volatility averaged 37.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 18.6% (HV 20d: 18.9%). Max pain ranged from $15.00 to $21.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 13 of 18 days. Put/call ratio averaged 0.34.

Notable Days

2017-01-06: Highest Volume — 114 contracts
2017-01-31: Largest IV spike — 206.1% change
2017-01-31: Highest IV Rank — 66.9%
2017-01-31: Largest Expected Move — 35.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.69	$22.93	$24.46	$22.93	$24.12
Max Pain	$15.67	$15.00	$21.00	$21.00	$15.00
ATM IV	37.5%	23.0%	122.0%	53.7%	122.0%
Expected Move	10.5%	6.6%	35.0%	15.4%	35.0%
HV 20d	18.9%	16.6%	22.3%	18.3%	20.7%
HV 60d	15.9%	14.3%	18.0%	15.6%	17.8%
IV Rank	20.4%	12.4%	66.9%	29.3%	66.9%
IV Percentile	49.0%	30.4%	96.9%	86.5%	96.9%
Term Structure	3.3%	-31.6%	31.4%	-6.9%	-31.6%
VWIV	36.3%	23.1%	120.2%	54.6%	120.2%
Skew 25d	6.3%	-0.8%	14.1%	5.2%	14.1%
Skew 10d	5.0%	-4.5%	18.3%	13.3%	9.6%
Call IV 25d	39.1%	23.0%	163.7%	53.0%	163.7%
Put IV 25d	45.4%	24.1%	177.8%	58.2%	177.8%
Bid-Ask Spread %	124.75	103.71	156.68	133.28	156.68
Gamma HHI	0.35	0.29	0.42	0.29	0.35
Net GEX	4.6K	1.3K	6.5K	3.2K	1.3K
Net DEX	-77.3K	-102.1K	-56.8K	-69.3K	-70.2K
Net VEX	-404	-490	-166	-182	-431
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.07	0.45	0.07	0.45
Total Volume	101.222	64	114	64	94
Total OI	98.444	64	114	64	94

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
2017-01-03	$22.93	$21.00	53.7%	15.4%	18.3%	29.3%	54.6%	5.2%	-6.9%	3.2K	-69.3K	-182	0.07	133.28	60	4	60	4
2017-01-04	$23.31	$21.00	49.0%	14.1%	18.7%	26.7%	58.5%	7.0%	-21.2%	3.9K	-69.1K	-169	0.07	138.31	60	4	60	4
2017-01-05	$23.34	$15.00	48.5%	9.7%	18.6%	26.4%	32.0%	12.1%	13.4%	4.1K	-68.6K	-166	0.22	124.72	85	19	60	4
2017-01-06	$23.34	$15.00	27.8%	8.9%	18.5%	15.0%	28.0%	13.4%	17.0%	5.0K	-85.1K	-438	0.34	127.36	85	29	85	19
2017-01-09	$23.29	$15.00	30.4%	8.5%	17.6%	16.5%	27.5%	5.7%	4.4%	5.1K	-74.8K	-490	0.34	110.72	85	29	85	29
2017-01-10	$23.24	$15.00	29.2%	8.0%	16.9%	15.8%	26.6%	4.5%	6.4%	5.2K	-73.6K	-486	0.34	103.93	85	29	85	29
2017-01-11	$23.42	$15.00	31.2%	8.9%	16.9%	16.9%	26.7%	2.3%	6.8%	5.3K	-85.3K	-468	0.34	123.06	85	29	85	29
2017-01-12	$23.54	$15.00	25.7%	7.4%	17.0%	13.9%	26.5%	4.6%	-7.7%	5.3K	-87.3K	-472	0.34	120.01	85	29	85	29
2017-01-13	$23.55	$15.00	23.6%	6.8%	17.0%	12.7%	25.6%	6.1%	6.5%	5.7K	-83.0K	-481	0.34	123.02	85	29	85	29
2017-01-17	$23.55	$15.00	23.0%	6.6%	16.6%	12.4%	26.1%	4.4%	7.4%	6.3K	-79.1K	-458	0.34	121.42	85	29	85	29
2017-01-18	$24.33	$15.00	39.0%	11.2%	18.2%	21.2%	37.1%	4.5%	9.1%	4.0K	-102.1K	-465	0.34	132.59	85	29	85	29
2017-01-19	$23.50	$15.00	28.0%	8.0%	22.3%	15.1%	25.9%	6.9%	8.2%	6.5K	-84.3K	-440	0.34	125.33	85	29	85	29
2017-01-23	$23.78	$15.00	29.4%	8.4%	19.8%	15.9%	25.2%	-0.8%	15.3%	4.5K	-56.8K	-439	0.45	125.78	65	29	65	29
2017-01-24	$24.23	$15.00	24.5%	7.0%	20.6%	13.2%	24.1%	2.7%	3.4%	4.6K	-66.5K	-433	0.45	107.03	65	29	65	29
2017-01-25	$24.46	$15.00	24.7%	7.1%	20.7%	13.4%	23.1%	4.9%	31.4%	4.7K	-77.3K	-431	0.45	103.71	65	29	65	29
2017-01-26	$24.40	$15.00	25.2%	7.2%	20.2%	13.6%	25.5%	7.6%	2.8%	4.6K	-87.2K	-402	0.45	130.03	65	29	65	29
2017-01-30	$24.12	$15.00	39.9%	11.4%	20.9%	21.7%	40.8%	7.2%	-5.2%	3.2K	-71.5K	-424	0.45	138.51	65	29	65	29
2017-01-31	$24.12	$15.00	122.0%	35.0%	20.7%	66.9%	120.2%	14.1%	-31.6%	1.3K	-70.2K	-431	0.45	156.68	65	29	65	29