FTC Options History — July 2015

In July 2015, FTC traded between $48.35 and $50.22. ATM implied volatility averaged 15.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.9% (HV 20d: 13.1%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.18.

Notable Days

2015-07-27: Highest Volume — 76 contracts
2015-07-08: Largest IV spike — 26.9% change
2015-07-08: Highest IV Rank — 22.8%
2015-07-08: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.52	$48.35	$50.22	$48.94	$49.93
Max Pain	$47.81	$46.00	$48.00	$46.00	$48.00
ATM IV	15.0%	11.4%	21.8%	17.0%	11.4%
Expected Move	4.2%	3.3%	5.9%	4.9%	3.3%
HV 20d	13.1%	11.7%	14.2%	12.2%	12.9%
HV 60d	12.1%	11.6%	12.6%	11.6%	11.8%
IV Rank	9.9%	3.1%	22.8%	13.7%	3.1%
IV Percentile	50.1%	6.7%	96.4%	82.9%	6.7%
Term Structure	0.6%	-1.6%	2.8%	-0.3%	1.7%
VWIV	16.3%	9.4%	20.7%	19.6%	10.6%
Skew 25d	6.0%	3.5%	8.8%	6.9%	5.6%
Skew 10d	7.4%	2.0%	12.5%	12.3%	3.9%
Call IV 25d	10.8%	6.8%	17.6%	12.8%	7.6%
Put IV 25d	16.8%	12.1%	22.2%	19.7%	13.2%
Bid-Ask Spread %	90.57	59.35	128.50	99.06	115.01
Gamma HHI	0.69	0.33	0.99	0.33	0.44
Net GEX	6.3K	29	9.5K	946	3.7K
Net DEX	-97.8K	-162.2K	-22.8K	-25.6K	-68.6K
Net VEX	-629	-1.2K	-12	-26	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.02	0.57	0.43	0.06
Total Volume	50.045	10	76	10	54
Total OI	53.045	10	102	10	102

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
2015-07-01	$48.94	$46.00	17.0%	4.9%	12.2%	13.7%	19.6%	6.9%	-0.3%	946	-25.6K	-26	0.43	99.06	N/A	N/A	7	3	7	3
2015-07-02	$48.84	$46.00	17.6%	5.0%	11.7%	14.8%	20.4%	3.7%	-1.6%	894	-24.8K	-26	0.43	90.29	N/A	N/A	7	3	7	3
2015-07-06	$48.75	$0.00	18.4%	4.9%	11.7%	16.3%	18.7%	5.7%	0.8%	1.1K	-26.8K	-17	0.57	60.04	N/A	N/A	7	4	7	3
2015-07-07	$49.13	$48.00	17.2%	5.0%	11.8%	14.1%	19.3%	8.4%	-0.4%	29	-30.3K	-12	0.57	65.83	N/A	N/A	7	4	7	4
2015-07-08	$48.35	$48.00	21.8%	5.9%	13.2%	22.8%	20.7%	7.2%	-0.9%	716	-22.8K	-25	0.08	59.35	N/A	N/A	51	4	7	4
2015-07-09	$48.61	$48.00	20.0%	5.0%	12.5%	19.3%	18.9%	8.7%	-0.5%	8.7K	-123.6K	-702	0.07	68.10	N/A	N/A	57	4	57	4
2015-07-10	$49.27	$48.00	17.9%	5.0%	13.5%	15.4%	18.3%	6.8%	-0.4%	8.3K	-139.0K	-710	0.07	63.46	N/A	N/A	57	4	57	4
2015-07-13	$49.77	$48.00	13.6%	3.9%	13.7%	7.3%	16.5%	5.4%	1.4%	9.3K	-150.1K	-713	0.07	81.71	N/A	N/A	57	4	57	4
2015-07-14	$49.98	$48.00	15.7%	3.8%	13.7%	11.3%	16.3%	5.3%	1.0%	9.5K	-157.1K	-711	0.07	87.55	N/A	N/A	57	4	57	4
2015-07-15	$49.75	$48.00	13.5%	3.9%	13.7%	7.1%	16.0%	4.7%	0.9%	9.2K	-153.8K	-708	0.07	84.15	N/A	N/A	57	4	57	4
2015-07-16	$50.15	$48.00	12.9%	3.7%	13.9%	5.9%	14.7%	4.2%	0.6%	9.4K	-160.7K	-707	0.07	91.15	N/A	N/A	57	4	57	4
2015-07-17	$50.09	$48.00	11.5%	3.3%	13.4%	3.3%	14.6%	3.7%	2.1%	9.3K	-162.2K	-706	0.07	128.50	N/A	N/A	57	4	57	4
2015-07-20	$50.22	$48.00	12.6%	3.6%	13.5%	5.3%	15.5%	7.0%	1.5%	9.2K	-129.0K	-703	0.02	102.15	N/A	N/A	50	1	50	1
2015-07-21	$50.08	$48.00	12.6%	3.6%	13.4%	5.5%	14.9%	5.6%	1.7%	9.2K	-125.2K	-699	0.02	102.64	N/A	N/A	50	1	50	1
2015-07-22	$50.08	$48.00	13.1%	3.7%	13.3%	6.3%	15.3%	6.6%	0.3%	9.1K	-125.3K	-698	0.02	102.94	N/A	N/A	50	1	50	1
2015-07-23	$49.90	$48.00	12.8%	3.7%	13.1%	5.8%	16.2%	8.8%	1.2%	9.1K	-123.6K	-694	0.02	96.74	N/A	N/A	50	1	50	1
2015-07-24	$49.35	$48.00	16.2%	4.6%	13.6%	12.2%	16.5%	6.6%	-0.8%	8.5K	-114.6K	-684	0.22	98.71	N/A	N/A	50	11	50	1
2015-07-27	$48.80	$48.00	16.8%	4.8%	14.2%	13.3%	16.1%	5.7%	-0.8%	7.5K	-85.8K	-781	0.52	92.86	N/A	N/A	50	26	50	11
2015-07-28	$49.50	$48.00	13.1%	3.8%	12.9%	6.4%	16.5%	4.9%	2.8%	4.9K	-67.0K	-1.0K	0.28	93.65	N/A	N/A	50	14	50	32
2015-07-29	$49.90	$48.00	12.5%	3.6%	13.1%	5.2%	13.2%	7.4%	0.6%	4.3K	-67.7K	-1.1K	0.20	95.99	N/A	N/A	51	10	50	41
2015-07-30	$49.97	$48.00	11.7%	3.4%	13.0%	3.7%	9.4%	3.5%	1.7%	4.8K	-68.9K	-1.2K	0.12	112.65	N/A	N/A	51	6	51	46
2015-07-31	$49.93	$48.00	11.4%	3.3%	12.9%	3.1%	10.6%	5.6%	1.7%	3.7K	-68.6K	-1.2K	0.06	115.01	N/A	N/A	51	3	51	51