FTC Options History — July 2013 In July 2013, FTC traded between $34.66 and $36.40. ATM implied volatility averaged 15.3%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.2% (HV 20d: 14.1%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 21 of 22 days.
Notable Days 2013-07-25 : Largest IV spike — 468.3% change2013-07-25 : Largest Expected Move — 19.9%Monthly Statistics Metric Avg Min Max Open Close Price $35.82 $34.66 $36.40 $34.83 $36.40 Max Pain $32.00 $32.00 $32.00 $32.00 $32.00 ATM IV 15.3% 9.8% 69.4% 14.7% 12.4% Expected Move 4.5% 3.4% 19.9% 4.2% 3.6% HV 20d 14.1% 8.2% 20.2% 20.2% 8.2% HV 60d 15.4% 14.4% 16.6% 16.6% 14.4% Term Structure 0.1% -24.9% 2.0% 1.0% 1.2% Skew 25d 5.0% 2.5% 24.3% 4.5% 3.7% Skew 10d 5.9% -8.8% 28.7% 2.3% 3.5% Call IV 25d 13.8% 8.3% 73.6% 12.1% 8.8% Put IV 25d 18.8% 12.4% 97.8% 16.6% 12.4% Bid-Ask Spread % 122.84 84.52 190.27 146.83 143.51 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 33 0 304 304 0 Net DEX -20.4K -32.7K 0 -31.2K 0 Net VEX -0 -3 0 -1 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 5.727 0 9 9 0
Daily Data (22 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-07-01 $34.83 $32.00 14.7% 4.2% 20.2% 0.0% 0.0% 4.5% 1.0% 304 -31.2K -1 0.00 146.83 N/A N/A 0 0 9 0 2013-07-02 $34.66 $32.00 14.0% 4.0% 20.2% 0.0% 0.0% 3.5% 0.8% 295 -30.8K -3 0.00 153.34 N/A N/A 0 0 9 0 2013-07-03 $34.74 $32.00 13.9% 4.0% 19.1% 0.0% 0.0% 4.4% 0.9% 88 -31.3K 0 0.00 149.36 N/A N/A 0 0 9 0 2013-07-05 $34.99 $0.00 13.2% 4.3% 18.7% 0.0% 0.0% 5.0% 1.2% 45 -31.4K 0 0.00 94.99 N/A N/A 0 0 9 0 2013-07-08 $35.26 $0.00 14.1% 4.1% 18.1% 0.0% 0.0% 4.4% 1.7% 0 -31.7K 0 0.00 85.14 N/A N/A 0 0 9 0 2013-07-09 $35.51 $0.00 9.8% 3.6% 18.2% 0.0% 0.0% 5.8% 1.8% 0 -32.0K 0 0.00 84.52 N/A N/A 0 0 9 0 2013-07-10 $35.52 $0.00 10.8% 3.6% 17.7% 0.0% 0.0% 5.5% 1.6% 0 -32.0K 0 0.00 87.86 N/A N/A 0 0 9 0 2013-07-11 $36.04 $0.00 13.1% 3.8% 17.8% 0.0% 0.0% 3.2% 1.5% 0 -32.4K 0 0.00 100.38 N/A N/A 0 0 9 0 2013-07-12 $36.16 $0.00 13.5% 3.9% 16.4% 0.0% 0.0% 3.7% 1.3% 0 -32.5K 0 0.00 102.72 N/A N/A 0 0 9 0 2013-07-15 $36.14 $0.00 13.5% 3.9% 16.3% 0.0% 0.0% 3.5% 1.3% 0 -32.5K 0 0.00 98.72 N/A N/A 0 0 9 0 2013-07-16 $35.91 $0.00 13.4% 3.8% 16.4% 0.0% 0.0% 3.2% 1.7% 0 -32.3K 0 0.00 100.68 N/A N/A 0 0 9 0 2013-07-17 $36.04 $0.00 13.1% 3.8% 16.2% 0.0% 0.0% 3.3% 1.6% 0 -32.4K 0 0.00 102.95 N/A N/A 0 0 9 0 2013-07-18 $36.24 $0.00 12.8% 3.7% 15.5% 0.0% 0.0% 2.5% 2.0% 0 -32.6K 0 0.00 121.23 N/A N/A 0 0 9 0 2013-07-19 $36.29 $0.00 12.5% 3.6% 9.8% 0.0% 0.0% 3.2% 1.7% 0 -32.7K 0 0.00 132.24 N/A N/A 0 0 9 0 2013-07-22 $36.36 $0.00 12.0% 3.4% 9.8% 0.0% 0.0% 3.9% 1.0% 0 0 0 0.00 127.14 N/A N/A 0 0 0 0 2013-07-23 $36.22 $0.00 12.0% 3.4% 8.7% 0.0% 0.0% 2.6% 1.1% 0 0 0 0.00 131.24 N/A N/A 0 0 0 0 2013-07-24 $36.01 $0.00 12.2% 3.5% 9.0% 0.0% 0.0% 3.9% 1.0% 0 0 0 0.00 134.55 N/A N/A 0 0 0 0 2013-07-25 $36.24 $0.00 69.4% 19.9% 8.5% 0.0% 0.0% 24.3% -24.9% 0 0 0 0.00 190.27 N/A N/A 0 0 0 0 2013-07-26 $36.22 $0.00 12.1% 3.5% 8.2% 0.0% 0.0% 5.9% 0.7% 0 0 0 0.00 137.55 N/A N/A 0 0 0 0 2013-07-29 $36.07 $0.00 11.8% 3.4% 8.5% 0.0% 0.0% 4.6% 1.4% 0 0 0 0.00 139.86 N/A N/A 0 0 0 0 2013-07-30 $36.27 $0.00 12.8% 3.7% 8.6% 0.0% 0.0% 5.9% 0.4% 0 0 0 0.00 137.34 N/A N/A 0 0 0 0 2013-07-31 $36.40 $0.00 12.4% 3.6% 8.2% 0.0% 0.0% 3.7% 1.2% 0 0 0 0.00 143.51 N/A N/A 0 0 0 0
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