FTC Options History — September 2015

In September 2015, FTC traded between $44.67 and $48.31. ATM implied volatility averaged 22.7%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.6% (HV 20d: 26.3%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.06.

Notable Days

2015-09-16: Highest Volume — 67 contracts
2015-09-28: Largest IV spike — 20.4% change
2015-09-28: Highest IV Rank — 44.9%
2015-09-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.90	$44.67	$48.31	$45.98	$45.69
Max Pain	$47.24	$47.00	$49.00	$49.00	$47.00
ATM IV	22.7%	18.0%	29.9%	29.9%	23.0%
Expected Move	6.5%	5.2%	8.6%	8.6%	6.6%
HV 20d	26.3%	20.6%	29.4%	26.3%	22.2%
HV 60d	19.5%	18.2%	21.1%	18.2%	21.1%
IV Rank	29.9%	19.8%	44.9%	38.0%	31.8%
IV Percentile	92.3%	79.8%	98.8%	98.8%	93.7%
Term Structure	0.2%	-2.0%	4.1%	4.1%	-1.0%
VWIV	21.4%	13.8%	27.0%	27.0%	15.6%
Skew 25d	7.9%	1.7%	12.9%	5.5%	12.9%
Skew 10d	12.5%	4.1%	18.3%	4.1%	11.9%
Call IV 25d	18.8%	13.9%	27.5%	27.5%	15.8%
Put IV 25d	26.7%	21.0%	33.0%	33.0%	28.6%
Bid-Ask Spread %	83.03	66.13	94.83	94.09	91.71
Gamma HHI	0.39	0.35	0.41	0.41	0.36
Net GEX	2.1K	-1.0K	4.7K	-1.0K	1.4K
Net DEX	26.7K	-39.0K	100.8K	65.6K	81.4K
Net VEX	-1.0K	-1.1K	-853	-1.0K	-886
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.05	0.08	0.06	0.06
Total Volume	57.333	0	67	53	66
Total OI	112	102	117	102	117

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
2015-09-01	$45.98	$49.00	29.9%	8.6%	26.3%	38.0%	27.0%	5.5%	4.1%	-1.0K	65.6K	-1.0K	0.06	94.09	N/A	N/A	50	3	50	52
2015-09-02	$46.79	$49.00	23.9%	6.9%	27.1%	26.8%	15.1%	10.0%	0.2%	-62	47.2K	-1.1K	0.06	83.92	N/A	N/A	50	3	50	52
2015-09-03	$47.07	$0.00	25.3%	6.8%	27.0%	29.3%	0.0%	8.3%	-0.1%	107	31.1K	-1.1K	0.06	66.13	N/A	N/A	50	3	50	52
2015-09-04	$46.58	$0.00	24.1%	6.9%	27.2%	34.5%	0.0%	10.0%	-0.4%	-410	51.9K	-1.0K	0.06	69.79	N/A	N/A	50	3	50	52
2015-09-08	$47.66	$0.00	22.3%	6.2%	28.3%	30.1%	0.0%	12.5%	0.6%	164	26.7K	-1.1K	0.00	71.09	N/A	N/A	0	0	50	52
2015-09-09	$46.95	$0.00	22.9%	6.6%	28.6%	31.6%	22.8%	7.7%	-0.6%	100	35.4K	-1.1K	0.05	71.91	N/A	N/A	62	3	50	52
2015-09-10	$47.13	$47.00	23.3%	6.7%	28.7%	32.4%	23.8%	10.3%	-1.1%	3.4K	1.5K	-1.1K	0.05	75.27	N/A	N/A	62	3	62	52
2015-09-11	$47.45	$47.00	22.4%	6.4%	28.9%	30.2%	22.3%	9.8%	0.2%	3.5K	3.1K	-1.1K	0.05	76.96	N/A	N/A	62	3	62	52
2015-09-14	$47.30	$47.00	23.7%	6.8%	28.7%	33.4%	23.5%	8.7%	-1.1%	3.6K	-780	-1.1K	0.06	83.89	N/A	N/A	62	4	62	52
2015-09-15	$47.94	$47.00	20.0%	5.7%	29.2%	24.5%	0.0%	12.1%	1.1%	3.8K	-14.1K	-1.1K	0.00	80.76	N/A	N/A	0	2	62	53
2015-09-16	$48.31	$47.00	19.8%	5.7%	29.4%	24.2%	23.4%	10.2%	0.7%	3.8K	-26.7K	-1.1K	0.08	86.14	N/A	N/A	62	5	62	54
2015-09-17	$48.30	$47.00	18.0%	5.2%	29.4%	19.8%	13.8%	4.5%	0.4%	3.9K	-39.0K	-1.1K	0.08	94.83	N/A	N/A	62	5	62	54
2015-09-18	$47.62	$47.00	20.2%	5.8%	28.5%	25.1%	22.8%	3.7%	1.4%	4.2K	-4.3K	-1.1K	0.08	84.21	N/A	N/A	62	5	62	55
2015-09-21	$47.66	$47.00	18.0%	5.2%	26.1%	19.9%	20.4%	6.9%	2.8%	4.7K	-8.5K	-1.1K	0.06	89.52	N/A	N/A	62	4	62	54
2015-09-22	$46.81	$47.00	21.4%	6.1%	24.1%	28.0%	21.4%	7.0%	-0.9%	3.4K	21.0K	-1.1K	0.06	85.65	N/A	N/A	62	4	62	54
2015-09-23	$46.99	$47.00	21.2%	6.1%	23.9%	27.5%	21.2%	8.9%	-0.3%	3.7K	17.4K	-1.1K	0.06	91.00	N/A	N/A	62	4	62	55
2015-09-24	$46.60	$47.00	20.2%	5.8%	22.0%	25.1%	19.3%	7.1%	2.1%	3.3K	41.7K	-1.0K	0.06	88.91	N/A	N/A	62	4	62	55
2015-09-25	$46.47	$47.00	23.7%	6.8%	20.6%	33.4%	21.0%	5.4%	-0.6%	3.1K	41.2K	-1.0K	0.06	90.27	N/A	N/A	62	4	62	55
2015-09-28	$45.00	$47.00	28.5%	8.2%	23.3%	44.9%	25.6%	3.3%	-2.0%	497	88.3K	-901	0.06	80.27	N/A	N/A	62	4	62	55
2015-09-29	$44.67	$47.00	25.8%	7.4%	23.3%	38.4%	25.1%	1.7%	-1.5%	-337	100.8K	-853	0.06	87.31	N/A	N/A	62	4	62	55
2015-09-30	$45.69	$47.00	23.0%	6.6%	22.2%	31.8%	15.6%	12.9%	-1.0%	1.4K	81.4K	-886	0.06	91.71	N/A	N/A	62	4	62	55