FTC Options History — September 2014 In September 2014, FTC traded between $43.52 and $44.87. ATM implied volatility averaged 15.1%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 7.0% (HV 20d: 8.1%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-09-25 : Highest Volume — 1 contracts2014-09-04 : Largest IV spike — 475.3% change2014-09-04 : Highest IV Rank — 72.6%2014-09-29 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $44.30 $43.52 $44.87 $44.85 $43.52 Max Pain $42.00 $42.00 $42.00 $42.00 $42.00 ATM IV 15.1% 10.3% 62.9% 10.7% 15.3% Expected Move 4.7% 4.4% 5.1% 4.5% 5.0% HV 20d 8.1% 6.2% 10.7% 8.2% 10.7% HV 60d 10.6% 10.2% 11.0% 10.3% 10.9% IV Rank 9.2% 1.9% 72.6% 2.5% 10.1% IV Percentile 46.7% 7.9% 98.8% 13.5% 73.8% Term Structure 0.7% -25.7% 4.3% 1.7% 1.2% VWIV 18.9% 18.9% 18.9% 18.9% 18.9% Skew 25d 5.0% -0.7% 9.7% 1.0% 3.0% Skew 10d 4.7% 0.7% 17.6% 2.9% 3.5% Call IV 25d 12.8% 7.6% 71.4% 9.8% 12.2% Put IV 25d 17.8% 9.8% 81.1% 10.8% 15.2% Bid-Ask Spread % 56.75 34.23 178.87 58.45 50.33 Gamma HHI 0.98 0.83 1.00 1.00 0.83 Net GEX 1.2K 722 1.4K 1.3K 1.3K Net DEX -11.5K -13.2K -8.7K -12.7K -11.5K Net VEX -61 -67 -52 -65 -64 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.048 0 1 0 0 Total OI 6.143 6 7 6 7
Daily Data (21 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 2014-09-02 $44.85 $0.00 10.7% 4.5% 8.2% 2.5% 0.0% 1.0% 1.7% 1.3K -12.7K -65 0.00 58.45 N/A N/A 0 0 6 0 2014-09-03 $44.72 $0.00 10.9% 4.5% 7.2% 2.8% 0.0% -0.7% 1.6% 1.2K -12.7K -65 0.00 59.25 N/A N/A 0 0 6 0 2014-09-04 $44.57 $0.00 62.9% 4.9% 7.2% 72.6% 0.0% 9.7% -25.7% 722 -13.2K -65 0.00 178.87 N/A N/A 0 0 6 0 2014-09-05 $44.87 $0.00 10.3% 4.5% 6.8% 1.9% 0.0% 7.4% 3.3% 1.2K -12.6K -64 0.00 54.94 N/A N/A 0 0 6 0 2014-09-08 $44.74 $0.00 11.4% 4.6% 6.2% 4.0% 0.0% 5.2% 2.5% 1.2K -12.5K -63 0.00 50.86 N/A N/A 0 0 6 0 2014-09-09 $44.39 $0.00 11.2% 4.7% 7.1% 3.7% 0.0% 4.6% 1.3% 1.2K -11.8K -62 0.00 58.29 N/A N/A 0 0 6 0 2014-09-10 $44.59 $0.00 10.6% 4.6% 6.9% 2.8% 0.0% 5.0% 2.7% 1.2K -11.9K -63 0.00 60.17 N/A N/A 0 0 6 0 2014-09-11 $44.61 $0.00 12.1% 4.5% 6.5% 5.1% 0.0% 6.0% 2.4% 1.2K -11.9K -62 0.00 58.61 N/A N/A 0 0 6 0 2014-09-12 $44.26 $0.00 14.0% 4.7% 7.2% 8.0% 0.0% 3.4% 1.6% 1.2K -11.1K -61 0.00 55.95 N/A N/A 0 0 6 0 2014-09-15 $44.03 $0.00 14.7% 4.9% 7.4% 9.1% 0.0% 2.3% 1.4% 1.2K -10.3K -58 0.00 55.39 N/A N/A 0 0 6 0 2014-09-16 $44.45 $0.00 15.0% 4.8% 7.7% 9.7% 0.0% 6.0% 1.6% 1.3K -11.2K -61 0.00 43.96 N/A N/A 0 0 6 0 2014-09-17 $44.45 $0.00 13.2% 4.7% 7.5% 6.8% 0.0% 4.9% 2.1% 1.3K -11.5K -60 0.00 54.37 N/A N/A 0 0 6 0 2014-09-18 $44.68 $0.00 11.5% 4.4% 7.4% 4.1% 0.0% 2.3% 2.9% 1.3K -12.1K -60 0.00 51.15 N/A N/A 0 0 6 0 2014-09-19 $44.55 $0.00 10.8% 4.4% 7.5% 3.0% 0.0% 4.7% 4.3% 1.3K -12.0K -61 0.00 34.23 N/A N/A 0 0 6 0 2014-09-22 $44.02 $0.00 13.9% 4.7% 8.6% 8.0% 0.0% 6.2% 0.9% 1.3K -9.8K -56 0.00 45.15 N/A N/A 0 0 6 0 2014-09-23 $43.70 $0.00 14.2% 4.9% 8.7% 8.4% 0.0% 7.1% 0.9% 1.2K -9.2K -55 0.00 46.15 N/A N/A 0 0 6 0 2014-09-24 $44.10 $0.00 13.8% 4.8% 9.4% 7.7% 0.0% 7.1% 1.1% 1.3K -10.3K -57 0.00 45.42 N/A N/A 0 0 6 0 2014-09-25 $43.55 $0.00 14.2% 4.9% 10.3% 8.4% 18.9% 7.9% 1.4% 1.2K -8.7K -52 0.00 46.77 N/A N/A 1 0 6 0 2014-09-26 $43.85 $42.00 13.2% 4.9% 10.7% 6.8% 0.0% 4.6% 2.1% 1.4K -12.4K -67 0.00 41.21 N/A N/A 0 0 7 0 2014-09-29 $43.82 $42.00 13.8% 5.1% 10.5% 7.7% 0.0% 7.9% 2.6% 1.3K -12.4K -66 0.00 42.26 N/A N/A 0 0 7 0 2014-09-30 $43.52 $42.00 15.3% 5.0% 10.7% 10.1% 0.0% 3.0% 1.2% 1.3K -11.5K -64 0.00 50.33 N/A N/A 0 0 7 0
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