FTC Options History — February 2013

In February 2013, FTC traded between $31.50 and $32.66. ATM implied volatility averaged 19.2%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.3% (HV 20d: 15.9%). Net GEX was positive for 0 of 16 trading days. Term structure was in contango for 14 of 16 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-02-07: Highest Volume — 18 contracts
  • 2013-02-07: Largest IV drop — 89.4% change
  • 2013-02-06: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.15$31.50$32.66$32.11$32.34
ATM IV19.2%8.1%118.8%118.8%13.9%
Expected Move4.5%2.3%17.5%17.5%4.0%
HV 20d15.9%15.9%15.9%15.9%15.9%
Term Structure-0.1%-16.8%3.3%-16.8%0.7%
Skew 25d-3.3%-55.2%6.8%-7.3%-55.2%
Skew 10d-11.3%-90.2%8.2%-16.0%-90.2%
Call IV 25d21.3%6.9%83.0%83.0%69.3%
Put IV 25d18.0%10.5%75.7%75.7%14.0%
Bid-Ask Spread %142.82118.87173.20173.20159.39
Gamma HHI0.540.500.570.540.57
Net GEX-826-1.4K00-1.4K
Net DEX4.4K011.4K03.8K
Net VEX-99-12200-110
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.001.001.001.001.00
Total Volume1.12501800
Total OI15.75018018

Daily Data (16 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-06$32.11$0.00118.8%17.5%0.0%0.0%0.0%-7.3%-16.8%0000.00173.20N/AN/A0000
2013-02-07$31.98$0.0012.6%3.6%0.0%0.0%0.0%6.7%0.8%0001.00120.52N/AN/A9900
2013-02-08$32.19$0.0012.2%3.5%0.0%0.0%0.0%6.7%1.0%-9064.2K-1210.00122.64N/AN/A0099
2013-02-11$32.14$0.0011.9%3.4%0.0%0.0%0.0%6.7%1.2%-1.0K5.3K-1190.00118.87N/AN/A0099
2013-02-12$32.28$0.0012.2%3.5%0.0%0.0%0.0%6.8%0.6%-1.1K3.2K-1210.00120.23N/AN/A0099
2013-02-13$32.37$0.0012.4%3.6%0.0%0.0%0.0%6.8%1.1%-1.0K1.9K-1220.00121.84N/AN/A0099
2013-02-14$32.47$0.0011.3%3.3%0.0%0.0%0.0%1.9%3.3%-1.1K693-1220.00135.52N/AN/A0099
2013-02-15$32.47$0.0011.2%3.2%0.0%0.0%0.0%3.0%2.8%-1.2K923-1210.00136.66N/AN/A0099
2013-02-19$32.66$0.008.1%2.3%0.0%0.0%0.0%1.6%3.2%-1.4K168-1200.00164.44N/AN/A0099
2013-02-20$31.95$0.0012.6%3.6%0.0%0.0%0.0%4.5%0.2%-7067.6K-1080.00155.63N/AN/A0099
2013-02-21$31.81$0.0012.5%3.6%0.0%0.0%0.0%2.8%0.2%-45410.3K-1020.00153.48N/AN/A0099
2013-02-22$32.00$0.0012.8%3.7%0.0%0.0%0.0%4.3%0.7%-8177.0K-1080.00153.82N/AN/A0099
2013-02-25$31.50$0.0019.4%5.6%0.0%0.0%0.0%6.5%-2.5%-24411.4K-980.00137.26N/AN/A0099
2013-02-26$31.75$0.0013.1%3.7%0.0%0.0%0.0%3.3%1.0%-4048.7K-1040.00149.56N/AN/A0099
2013-02-27$32.41$0.0012.8%3.7%0.0%0.0%0.0%-51.2%1.2%-1.4K4.7K-1100.00162.12N/AN/A0099
2013-02-28$32.34$0.0013.9%4.0%15.9%0.0%0.0%-55.2%0.7%-1.4K3.8K-1100.00159.39N/AN/A0099