FTC Options History — June 2015

In June 2015, FTC traded between $48.30 and $49.91. ATM implied volatility averaged 14.4%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.8% (HV 20d: 10.6%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.52.

Notable Days

2015-06-01: Highest Volume — 11 contracts
2015-06-26: Largest IV spike — 28.9% change
2015-06-29: Highest IV Rank — 19.1%
2015-06-29: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.04	$48.30	$49.91	$49.14	$48.62
Max Pain	$46.41	$46.00	$49.00	$49.00	$46.00
ATM IV	14.4%	11.4%	19.9%	14.5%	17.7%
Expected Move	4.1%	3.3%	5.7%	4.2%	5.1%
HV 20d	10.6%	9.3%	12.0%	11.9%	12.0%
HV 60d	11.8%	10.7%	13.0%	13.0%	11.6%
IV Rank	8.8%	3.2%	19.1%	9.0%	15.1%
IV Percentile	50.7%	9.9%	92.9%	58.3%	86.1%
Term Structure	1.4%	-3.6%	3.5%	-1.4%	-0.3%
VWIV	16.1%	12.0%	20.8%	14.5%	20.3%
Skew 25d	6.0%	3.7%	11.2%	7.0%	11.2%
Skew 10d	10.4%	1.0%	16.5%	9.6%	16.5%
Call IV 25d	11.3%	8.7%	17.0%	9.1%	12.2%
Put IV 25d	17.3%	12.7%	24.6%	16.2%	23.4%
Bid-Ask Spread %	94.72	73.15	114.89	110.36	91.58
Gamma HHI	0.30	0.25	0.43	0.26	0.34
Net GEX	316	-479	992	196	956
Net DEX	-23.4K	-32.6K	-15.9K	-21.2K	-23.0K
Net VEX	-38	-55	-9	-55	-31
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.43	0.57	0.57	0.43
Total Volume	10.182	0	11	11	10
Total OI	10.545	8	11	11	10

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
2015-06-01	$49.14	$49.00	14.5%	4.2%	11.9%	9.0%	14.5%	7.0%	-1.4%	196	-21.2K	-55	0.57	110.36	N/A	N/A	7	4	7	4
2015-06-02	$49.00	$49.00	15.3%	4.4%	11.9%	10.5%	0.0%	6.4%	-0.8%	992	-24.0K	-38	0.00	102.59	N/A	N/A	0	0	7	1
2015-06-03	$49.14	$49.00	14.5%	4.2%	10.6%	9.0%	14.7%	6.1%	0.0%	189	-21.4K	-52	0.57	114.89	N/A	N/A	7	4	7	4
2015-06-04	$48.64	$46.00	14.0%	4.1%	11.3%	8.1%	18.3%	6.3%	2.3%	208	-18.9K	-55	0.57	73.15	N/A	N/A	7	4	7	4
2015-06-05	$48.68	$46.00	14.4%	4.2%	10.7%	8.9%	15.2%	5.2%	1.9%	325	-18.3K	-54	0.57	76.61	N/A	N/A	7	4	7	4
2015-06-08	$48.38	$46.00	17.1%	4.6%	10.1%	13.9%	19.3%	6.8%	2.7%	284	-17.3K	-55	0.57	79.53	N/A	N/A	7	4	7	4
2015-06-09	$48.30	$46.00	16.8%	4.4%	10.1%	13.2%	14.8%	5.4%	2.9%	481	-15.9K	-54	0.57	79.31	N/A	N/A	7	4	7	4
2015-06-10	$48.89	$46.00	13.7%	3.9%	10.9%	7.5%	14.5%	4.0%	2.4%	60	-21.1K	-44	0.57	87.58	N/A	N/A	7	4	7	4
2015-06-11	$48.99	$46.00	13.0%	3.7%	10.9%	6.2%	15.3%	5.6%	3.1%	-78	-21.4K	-47	0.57	95.22	N/A	N/A	7	4	7	4
2015-06-12	$48.74	$46.00	13.5%	3.9%	10.0%	7.0%	15.6%	5.5%	2.5%	-23	-20.4K	-47	0.57	90.91	N/A	N/A	7	4	7	4
2015-06-15	$48.58	$46.00	14.0%	4.0%	10.0%	8.1%	16.5%	5.4%	1.8%	124	-18.5K	-45	0.57	90.45	N/A	N/A	7	4	7	4
2015-06-16	$48.89	$46.00	14.1%	4.1%	9.9%	8.3%	14.8%	5.1%	2.8%	-64	-21.0K	-40	0.57	86.70	N/A	N/A	7	4	7	4
2015-06-17	$49.10	$46.00	14.4%	4.1%	10.1%	8.8%	16.6%	5.2%	2.4%	-479	-21.7K	-40	0.57	95.89	N/A	N/A	7	4	7	4
2015-06-18	$49.62	$46.00	12.4%	3.6%	10.7%	5.1%	15.6%	6.4%	3.5%	-384	-26.6K	-32	0.57	97.80	N/A	N/A	7	4	7	4
2015-06-19	$49.63	$46.00	12.2%	3.5%	10.7%	4.6%	15.9%	6.7%	2.8%	659	-28.8K	-25	0.57	103.58	N/A	N/A	7	4	7	4
2015-06-22	$49.91	$46.00	12.4%	3.5%	10.9%	5.0%	16.1%	3.7%	1.5%	531	-31.0K	-18	0.43	100.64	N/A	N/A	7	3	7	3
2015-06-23	$49.79	$46.00	11.4%	3.3%	9.8%	3.2%	12.0%	3.8%	1.2%	247	-32.6K	-9	0.43	111.80	N/A	N/A	7	3	7	3
2015-06-24	$49.39	$46.00	13.8%	3.9%	9.4%	7.6%	12.5%	5.9%	1.0%	506	-31.4K	-14	0.43	107.71	N/A	N/A	7	3	7	3
2015-06-25	$49.53	$46.00	12.0%	3.5%	9.4%	4.4%	16.3%	6.4%	1.0%	651	-29.5K	-20	0.43	102.12	N/A	N/A	7	3	7	3
2015-06-26	$49.46	$46.00	15.5%	4.5%	9.3%	10.9%	18.3%	6.7%	0.4%	634	-28.8K	-22	0.43	99.97	N/A	N/A	7	3	7	3
2015-06-29	$48.42	$46.00	19.9%	5.7%	11.9%	19.1%	20.8%	7.6%	-3.6%	931	-22.6K	-31	0.43	85.37	N/A	N/A	7	3	7	3
2015-06-30	$48.62	$46.00	17.7%	5.1%	12.0%	15.1%	20.3%	11.2%	-0.3%	956	-23.0K	-31	0.43	91.58	N/A	N/A	7	3	7	3