FTAG Options History — November 2020

In November 2020, FTAG traded between $21.40 and $25.10. ATM implied volatility averaged 38.4%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 18.2% (HV 20d: 20.2%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days.

Notable Days

  • 2020-11-09: Largest IV spike — 130.1% change
  • 2020-11-09: Highest IV Rank — 25.1%
  • 2020-11-03: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.52$21.40$25.10$21.40$24.78
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV38.4%22.2%63.5%45.7%50.4%
Expected Move10.7%6.4%17.7%13.1%14.5%
HV 20d20.2%17.0%22.7%17.0%18.4%
HV 60d19.3%17.8%20.1%18.2%19.6%
IV Rank10.8%1.5%25.1%15.0%17.7%
IV Percentile32.2%2.4%64.3%47.2%57.9%
Term Structure-4.8%-19.4%14.1%-4.9%-12.7%
Skew 25d3.1%-9.6%8.3%8.2%3.2%
Skew 10d9.7%-12.1%44.2%12.9%5.3%
Call IV 25d42.7%18.3%70.0%66.8%59.2%
Put IV 25d45.8%22.1%77.6%75.0%62.4%
Bid-Ask Spread %141.28134.94147.26138.26144.33
Gamma HHI0.760.421.000.691.00
Net GEX2775768917458
Net DEX-3.0K-8.0K-1.2K-1.9K-1.2K
Net VEX-8-19-5-8-5
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI23.2521242421

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$21.40$24.0045.7%13.1%17.0%15.0%0.0%8.2%-4.9%174-1.9K-80.00138.2600420
2020-11-03$21.68$24.0061.8%17.7%17.7%24.2%0.0%7.6%-16.2%106-2.2K-120.00138.5300420
2020-11-04$21.72$24.0058.2%16.7%17.2%22.1%0.0%7.3%-15.8%94-1.3K-190.00136.5100420
2020-11-05$22.18$0.0049.7%12.5%18.3%17.2%0.0%8.3%-6.5%234-2.3K-80.00147.2600420
2020-11-06$22.45$0.0027.6%6.5%18.8%4.6%0.0%4.4%-2.2%296-1.9K-80.00147.0900420
2020-11-09$23.10$0.0063.5%11.9%21.4%25.1%0.0%1.9%-8.1%259-3.7K-90.00144.7200420
2020-11-10$23.32$0.0030.7%11.9%21.2%6.4%0.0%3.8%-19.4%429-3.3K-90.00145.5000420
2020-11-11$23.24$0.0025.9%7.4%21.3%3.6%0.0%-1.4%0.1%463-2.8K-80.00141.0900420
2020-11-12$23.01$0.0028.4%8.1%21.4%5.0%0.0%6.7%-6.2%286-3.3K-80.00135.2500420
2020-11-13$23.49$0.0025.8%7.4%22.4%3.5%0.0%-9.6%-3.2%300-3.9K-80.00134.9400420
2020-11-16$23.92$0.0023.5%6.7%22.7%2.2%0.0%6.0%-0.6%669-4.2K-70.00136.6400420
2020-11-17$23.98$0.0025.1%7.2%22.7%3.1%0.0%6.0%-0.9%398-4.5K-70.00138.2600420
2020-11-18$24.07$0.0043.3%12.4%22.3%13.5%0.0%4.6%-10.4%316-4.9K-70.00145.5600420
2020-11-19$24.03$0.0025.4%7.3%22.4%3.3%0.0%-2.2%10.5%496-4.6K-60.00135.1300420
2020-11-20$24.26$0.0023.1%6.6%22.4%2.0%0.0%-1.0%14.1%689-8.0K-50.00141.1200420
2020-11-23$24.57$0.0044.9%12.9%20.7%14.4%0.0%3.3%-8.3%57-1.2K-50.00145.4100120
2020-11-24$25.10$0.0022.2%6.4%20.7%1.5%0.0%2.6%13.2%107-1.2K-50.00141.0200120
2020-11-25$24.99$0.0045.5%13.1%17.8%14.8%0.0%-0.7%-8.7%59-1.3K-50.00144.3800120
2020-11-27$25.10$0.0047.4%13.6%17.7%15.9%0.0%3.5%-10.3%59-1.3K-50.00144.6300120
2020-11-30$24.78$0.0050.4%14.5%18.4%17.7%0.0%3.2%-12.7%58-1.2K-50.00144.3300120