FTAG Options History — May 2017

In May 2017, FTAG traded between $24.65 and $25.47. ATM implied volatility averaged 34.0%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 19.4% (HV 20d: 14.6%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 14 of 14 trading days. Term structure was in contango for 5 of 14 days. Put/call ratio averaged 0.79.

Notable Days

2017-05-03: Highest Volume — 70 contracts
2017-05-10: Largest IV drop — 41.1% change
2017-05-09: Highest IV Rank — 28.6%
2017-05-03: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.07	$24.65	$25.47	$24.65	$25.40
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	34.0%	24.7%	52.9%	41.5%	25.1%
Expected Move	9.1%	7.1%	11.9%	11.9%	7.2%
HV 20d	14.6%	13.0%	16.8%	13.5%	16.8%
HV 60d	14.1%	12.1%	16.0%	16.0%	13.9%
IV Rank	18.1%	13.0%	28.6%	22.3%	13.2%
IV Percentile	45.7%	23.0%	86.9%	69.0%	23.0%
Term Structure	-0.4%	-18.1%	27.0%	-6.4%	2.8%
VWIV	76.2%	76.2%	76.2%	76.2%	76.2%
Skew 25d	3.3%	-11.2%	32.1%	32.1%	-3.0%
Skew 10d	5.5%	-15.5%	26.7%	13.7%	7.0%
Call IV 25d	31.4%	21.2%	51.3%	51.3%	26.6%
Put IV 25d	34.7%	22.3%	83.4%	83.4%	23.6%
Bid-Ask Spread %	127.19	108.00	140.02	132.59	110.45
Gamma HHI	0.52	0.51	0.55	0.51	0.52
Net GEX	1.2K	564	1.9K	576	1.5K
Net DEX	-59.8K	-69.6K	-52.3K	-52.5K	-52.8K
Net VEX	-223	-283	-119	-283	-178
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.56	0.83	0.56	0.75
Total Volume	50.357	35	70	70	35
Total OI	64.286	50	70	70	50

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
2017-05-03	$24.65	$23.00	41.5%	11.9%	13.5%	22.3%	76.2%	32.1%	-6.4%	576	-52.5K	-283	0.56	132.59	45	25	45	25
2017-05-04	$24.81	$0.00	41.5%	9.9%	13.5%	22.3%	0.0%	13.1%	15.3%	618	-55.4K	-276	0.83	133.35	30	25	45	25
2017-05-09	$24.89	$0.00	52.9%	8.5%	13.3%	28.6%	0.0%	5.1%	-2.1%	564	-58.3K	-260	0.83	130.74	30	25	45	25
2017-05-10	$24.90	$0.00	31.1%	8.9%	13.0%	16.5%	0.0%	-11.2%	27.0%	596	-62.4K	-254	0.83	128.07	30	25	45	25
2017-05-11	$24.97	$0.00	29.5%	8.4%	13.0%	15.6%	0.0%	-7.0%	-5.6%	1.4K	-62.0K	-236	0.83	121.45	30	25	45	25
2017-05-12	$24.98	$0.00	24.7%	7.1%	13.0%	13.0%	0.0%	-4.0%	3.1%	1.3K	-65.6K	-229	0.83	108.00	30	25	45	25
2017-05-15	$25.26	$0.00	31.4%	9.0%	13.4%	16.7%	0.0%	-1.5%	-15.5%	1.5K	-66.9K	-218	0.83	136.91	30	25	45	25
2017-05-16	$25.47	$0.00	34.2%	9.8%	13.6%	18.2%	0.0%	3.6%	-3.6%	1.1K	-65.7K	-233	0.83	139.02	30	25	45	25
2017-05-18	$24.81	$0.00	32.1%	9.2%	15.2%	17.1%	0.0%	4.5%	-3.2%	1.4K	-61.8K	-218	0.83	123.93	30	25	45	25
2017-05-19	$25.35	$0.00	37.9%	10.9%	16.4%	20.3%	0.0%	3.5%	12.9%	645	-69.6K	-234	0.83	134.68	30	25	45	25
2017-05-23	$25.19	$0.00	34.5%	9.9%	16.6%	18.4%	0.0%	5.9%	-6.3%	1.6K	-52.3K	-186	0.75	140.02	20	15	35	15
2017-05-25	$25.25	$0.00	25.1%	7.2%	16.6%	13.2%	0.0%	-1.1%	-5.6%	1.5K	-52.4K	-194	0.75	118.29	20	15	35	15
2017-05-30	$25.11	$0.00	34.4%	9.9%	16.8%	18.4%	0.0%	6.0%	-18.1%	1.9K	-59.8K	-119	0.75	123.19	20	15	35	15
2017-05-31	$25.40	$0.00	25.1%	7.2%	16.8%	13.2%	0.0%	-3.0%	2.8%	1.5K	-52.8K	-178	0.75	110.45	20	15	35	15