FTC Options History — May 2015

In May 2015, FTC traded between $47.55 and $49.32. ATM implied volatility averaged 13.4%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.3% (HV 20d: 13.0%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2015-05-06: Highest Volume — 15 contracts
2015-05-08: Largest IV drop — 36.2% change
2015-05-07: Highest IV Rank — 12.1%
2015-05-07: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.69	$47.55	$49.32	$48.13	$48.92
Max Pain	$49.00	$49.00	$49.00	$49.00	$49.00
ATM IV	13.4%	10.3%	16.1%	13.8%	13.8%
Expected Move	4.0%	3.3%	4.6%	4.0%	4.0%
HV 20d	13.0%	11.2%	14.2%	11.2%	13.0%
HV 60d	12.7%	12.5%	13.1%	12.9%	13.0%
IV Rank	6.9%	1.1%	12.1%	7.7%	7.7%
IV Percentile	35.9%	2.8%	70.6%	42.1%	47.6%
Term Structure	1.0%	-0.2%	2.1%	1.7%	0.3%
VWIV	12.9%	10.7%	14.2%	14.2%	13.9%
Skew 25d	6.2%	3.7%	8.6%	5.7%	7.7%
Skew 10d	8.4%	3.9%	9.5%	3.9%	7.9%
Call IV 25d	10.1%	8.0%	12.7%	9.3%	8.8%
Put IV 25d	16.3%	14.0%	17.8%	15.0%	16.6%
Bid-Ask Spread %	93.18	79.50	116.94	116.94	97.79
Gamma HHI	0.35	0.26	0.53	0.35	0.26
Net GEX	753	194	1.6K	826	222
Net DEX	-20.1K	-27.0K	-13.7K	-16.6K	-19.8K
Net VEX	-64	-81	-38	-80	-59
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.43	1.14	0.43	0.57
Total Volume	9.4	0	15	10	11
Total OI	9.75	7	11	10	11

Daily Data (20 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
2015-05-01	$48.13	$0.00	13.8%	4.0%	11.2%	7.7%	0.0%	5.7%	1.7%	826	-16.6K	-80	0.43	116.94	N/A	N/A	7	3	7	3
2015-05-04	$48.34	$0.00	13.2%	4.4%	11.3%	6.5%	0.0%	8.6%	-0.2%	802	-17.7K	-78	0.00	87.07	N/A	N/A	0	0	7	3
2015-05-05	$47.66	$0.00	12.6%	4.3%	12.3%	5.5%	0.0%	6.1%	0.4%	843	-15.1K	-79	0.43	82.86	N/A	N/A	7	3	7	3
2015-05-06	$47.55	$0.00	16.0%	4.6%	11.9%	11.8%	0.0%	5.1%	0.5%	848	-13.7K	-81	1.14	88.58	N/A	N/A	7	8	7	3
2015-05-07	$48.06	$0.00	16.1%	4.6%	12.6%	12.1%	0.0%	6.7%	0.6%	836	-16.0K	-77	1.14	81.44	N/A	N/A	7	8	7	3
2015-05-08	$48.64	$0.00	10.3%	3.9%	13.4%	1.1%	0.0%	6.0%	1.2%	1.5K	-23.9K	-50	0.00	88.21	N/A	N/A	0	0	7	0
2015-05-11	$48.58	$0.00	12.2%	3.9%	13.3%	4.6%	0.0%	5.7%	1.6%	1.5K	-23.9K	-49	0.00	82.58	N/A	N/A	0	0	7	0
2015-05-12	$48.41	$0.00	15.8%	4.5%	13.3%	11.4%	0.0%	5.1%	0.8%	813	-18.1K	-72	1.14	79.50	N/A	N/A	7	8	7	3
2015-05-13	$48.26	$0.00	15.1%	4.3%	13.3%	10.2%	0.0%	8.1%	1.1%	817	-17.8K	-73	1.14	89.46	N/A	N/A	7	8	7	3
2015-05-14	$48.91	$0.00	12.7%	3.6%	14.2%	5.6%	0.0%	5.7%	1.4%	895	-21.0K	-65	1.14	85.64	N/A	N/A	7	8	7	3
2015-05-15	$48.96	$0.00	12.9%	3.7%	13.5%	6.0%	0.0%	5.5%	1.2%	799	-20.9K	-66	1.14	95.53	N/A	N/A	7	8	7	3
2015-05-18	$49.31	$0.00	13.3%	3.8%	13.3%	6.8%	0.0%	5.1%	2.1%	1.6K	-27.0K	-38	0.00	89.36	N/A	N/A	0	0	7	0
2015-05-19	$49.32	$0.00	14.0%	4.0%	13.2%	8.1%	14.2%	5.9%	0.7%	1.4K	-26.9K	-41	0.00	96.77	N/A	N/A	0	1	7	0
2015-05-20	$49.18	$49.00	13.1%	3.8%	13.2%	6.4%	13.2%	5.5%	1.1%	236	-20.8K	-65	0.57	96.52	N/A	N/A	7	4	7	4
2015-05-21	$49.22	$49.00	11.6%	3.3%	13.2%	3.5%	10.7%	5.4%	1.0%	194	-21.1K	-62	0.57	97.32	N/A	N/A	7	4	7	4
2015-05-22	$49.26	$49.00	12.3%	3.5%	13.2%	4.8%	12.3%	3.7%	1.3%	227	-21.5K	-60	0.57	101.04	N/A	N/A	7	4	7	4
2015-05-26	$48.66	$49.00	13.2%	3.8%	13.4%	6.5%	12.9%	7.7%	0.7%	294	-17.8K	-65	0.57	96.53	N/A	N/A	7	4	7	4
2015-05-27	$49.26	$49.00	12.5%	3.6%	14.1%	5.2%	12.5%	7.4%	0.7%	276	-21.5K	-55	0.57	102.55	N/A	N/A	7	4	7	4
2015-05-28	$49.16	$49.00	13.2%	3.8%	13.8%	6.5%	13.2%	6.7%	0.9%	227	-20.7K	-58	0.57	107.86	N/A	N/A	7	4	7	4
2015-05-29	$48.92	$49.00	13.8%	4.0%	13.0%	7.7%	13.9%	7.7%	0.3%	222	-19.8K	-59	0.57	97.79	N/A	N/A	7	4	7	4