FTC Options History — June 2013

In June 2013, FTC traded between $33.65 and $35.49. ATM implied volatility averaged 22.0%. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.0% (HV 20d: 17.0%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days.

Notable Days

  • 2013-06-28: Largest IV spike — 393.2% change
  • 2013-06-28: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.66$33.65$35.49$35.03$34.72
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV22.0%13.3%73.5%16.5%73.5%
Expected Move6.3%4.0%21.1%4.7%21.1%
HV 20d17.0%12.3%20.7%12.3%20.2%
HV 60d15.4%13.7%16.9%13.7%16.6%
Term Structure-2.2%-25.5%1.6%1.2%-25.5%
Skew 25d5.2%1.9%10.1%4.8%3.6%
Skew 10d-5.4%-60.1%13.4%2.9%12.2%
Call IV 25d21.1%10.8%100.6%10.8%100.6%
Put IV 25d26.3%14.7%104.2%15.7%104.2%
Bid-Ask Spread %150.41120.15186.15186.15181.86
Gamma HHI1.001.001.001.001.00
Net GEX78001.5K423579
Net DEX-28.3K-31.9K-21.2K-31.4K-21.9K
Net VEX-13-2900-26
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI99999

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$35.03$0.0016.5%4.7%12.3%0.0%0.0%4.8%1.2%423-31.4K00.00186.15N/AN/A0090
2013-06-04$34.83$0.0016.5%4.7%12.5%0.0%0.0%4.0%-1.6%865-30.8K-40.00179.64N/AN/A0090
2013-06-05$34.20$0.0017.8%5.1%13.9%0.0%0.0%1.9%-2.4%1.1K-26.6K-240.00185.09N/AN/A0090
2013-06-06$34.65$0.0013.9%4.0%14.7%0.0%0.0%2.0%-0.6%1.2K-29.2K-120.00157.35N/AN/A0090
2013-06-07$35.18$32.0013.3%4.1%15.7%0.0%0.0%5.2%1.4%788-31.1K-40.00128.42N/AN/A0090
2013-06-10$35.05$32.0014.7%4.1%15.5%0.0%0.0%4.2%1.5%883-30.8K-50.00126.56N/AN/A0090
2013-06-11$34.68$32.0014.5%4.3%16.0%0.0%0.0%5.3%1.1%809-28.6K-160.00124.72N/AN/A0090
2013-06-12$34.35$32.0019.5%5.1%15.4%0.0%0.0%7.5%0.5%1.1K-26.0K-240.00120.15N/AN/A0090
2013-06-13$35.07$32.0015.2%4.4%17.0%0.0%0.0%4.1%1.6%464-30.5K-80.00133.29N/AN/A0090
2013-06-14$34.92$32.0016.0%4.6%16.6%0.0%0.0%5.4%0.5%648-29.6K-110.00130.76N/AN/A0090
2013-06-17$35.21$32.0015.9%4.6%16.1%0.0%0.0%5.5%0.5%0-31.7K00.00133.69N/AN/A0090
2013-06-18$35.49$32.0016.5%4.7%16.4%0.0%0.0%6.2%0.1%0-31.9K00.00136.51N/AN/A0090
2013-06-19$35.05$32.0016.0%4.6%16.9%0.0%0.0%3.7%0.1%702-29.1K-140.00173.71N/AN/A0090
2013-06-20$34.00$32.0021.2%6.1%19.6%0.0%0.0%9.0%-1.1%1.2K-24.7K-240.00176.04N/AN/A0090
2013-06-21$34.01$32.0017.9%5.1%19.7%0.0%0.0%6.6%-0.3%1.2K-26.9K-170.00139.26N/AN/A0090
2013-06-24$33.65$32.0017.2%4.9%19.9%0.0%0.0%10.1%0.3%1.5K-25.7K-180.00135.87N/AN/A0090
2013-06-25$34.00$32.0017.6%5.0%20.0%0.0%0.0%5.5%-0.0%1.1K-27.5K-140.00139.05N/AN/A0090
2013-06-26$34.38$32.0071.8%20.6%20.4%0.0%0.0%2.4%-22.1%601-21.2K-290.00181.35N/AN/A0090
2013-06-27$34.70$32.0014.9%4.3%20.7%0.0%0.0%6.6%1.0%422-30.7K-40.00138.65N/AN/A0090
2013-06-28$34.72$32.0073.5%21.1%20.2%0.0%0.0%3.6%-25.5%579-21.9K-260.00181.86N/AN/A0090