FTC Options History — December 2015

In December 2015, FTC traded between $47.66 and $49.33. ATM implied volatility averaged 18.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.9% (HV 20d: 16.3%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2015-12-03: Highest Volume — 20 contracts
  • 2015-12-31: Largest IV spike — 19.8% change
  • 2015-12-14: Highest IV Rank — 28.5%
  • 2015-12-14: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.53$47.66$49.33$49.33$48.37
Max Pain$48.05$48.00$49.00$49.00$48.00
ATM IV18.2%14.9%22.1%15.7%18.3%
Expected Move5.2%4.3%6.3%4.5%5.2%
HV 20d16.3%13.3%17.6%13.3%17.2%
HV 60d15.9%13.8%17.0%16.5%13.8%
IV Rank19.2%11.2%28.5%13.2%19.4%
IV Percentile72.2%46.0%88.9%59.9%73.8%
Term Structure9.6%-1.9%28.5%-0.1%0.2%
VWIV16.4%12.9%19.9%17.7%15.7%
Skew 25d5.4%-0.4%10.7%2.7%3.2%
Skew 10d6.4%0.2%16.9%4.5%2.4%
Call IV 25d14.9%11.1%19.0%12.4%14.9%
Put IV 25d20.3%15.0%27.0%15.1%18.1%
Bid-Ask Spread %123.53107.33155.54154.58117.83
Gamma HHI0.440.360.660.480.44
Net GEX10.2K2.9K27.7K8.7K14.2K
Net DEX-39.6K-94.9K27.2K-87.3K-46.6K
Net VEX-496-646-269-546-312
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.250.360.360.25
Total Volume17.955020020
Total OI120.318116121116121

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$49.33$0.0015.7%4.5%13.3%13.2%0.0%2.7%-0.1%8.7K-87.3K-5460.00154.58N/AN/A006155
2015-12-02$48.93$0.0016.4%4.7%13.6%14.7%0.0%1.6%-1.3%8.8K-64.4K-6400.36155.54N/AN/A1146155
2015-12-03$48.22$49.0018.8%5.1%14.5%20.7%17.7%4.2%24.1%6.4K-18.9K-6460.25111.31N/AN/A1646155
2015-12-04$49.25$48.0017.3%5.0%16.3%16.9%15.6%9.1%11.8%9.1K-94.9K-6030.25122.68N/AN/A1646655
2015-12-07$49.00$48.0018.7%5.1%16.4%20.3%0.0%6.9%6.3%10.4K-79.5K-6230.00133.26N/AN/A006655
2015-12-08$49.05$48.0020.0%5.1%15.9%23.4%15.3%7.3%8.9%9.7K-62.2K-6180.25125.30N/AN/A1646655
2015-12-09$48.34$48.0020.5%5.9%16.7%24.8%18.9%5.3%27.1%8.2K-14.3K-6270.25124.01N/AN/A1646655
2015-12-10$48.44$48.0019.3%5.5%16.7%21.9%18.6%5.3%28.5%11.2K-30.3K-6370.25119.37N/AN/A1646655
2015-12-11$47.66$48.0021.6%6.2%16.6%27.5%17.9%8.6%26.4%3.8K12.4K-5940.25115.75N/AN/A1646655
2015-12-14$47.92$48.0022.1%6.3%15.6%28.5%18.4%10.7%24.0%4.9K6.5K-5810.25114.89N/AN/A1646655
2015-12-15$48.35$48.0021.1%6.0%15.4%26.1%19.9%8.6%20.0%9.4K-12.3K-5570.25119.93N/AN/A1646655
2015-12-16$49.09$48.0018.1%5.2%16.2%19.0%17.3%7.8%23.1%10.8K-89.1K-4800.25128.41N/AN/A1646655
2015-12-17$48.50$48.0019.6%5.6%16.1%22.5%18.6%-0.4%6.9%11.2K-35.2K-5320.25125.83N/AN/A1646655
2015-12-18$47.69$48.0018.7%5.4%17.2%20.5%16.7%5.9%0.0%2.9K27.2K-4600.25117.64N/AN/A1646655
2015-12-21$47.89$48.0019.2%5.5%17.1%21.7%16.3%3.3%-0.3%3.1K16.0K-4510.25135.45N/AN/A1646655
2015-12-22$48.26$48.0016.5%4.7%17.4%15.1%15.2%3.4%2.8%5.1K-8.5K-4110.25107.33N/AN/A1646655
2015-12-23$48.51$48.0016.1%4.6%17.5%13.9%14.3%6.5%-1.9%10.9K-50.7K-3780.25113.42N/AN/A1646655
2015-12-24$48.54$48.0014.9%4.3%17.4%11.2%13.3%3.0%0.1%14.2K-50.2K-3490.25120.08N/AN/A1646655
2015-12-28$48.47$48.0017.7%5.1%17.4%17.9%14.9%4.2%2.8%9.7K-37.0K-3160.25115.21N/AN/A1646655
2015-12-29$48.99$48.0015.3%4.4%17.6%12.1%14.2%6.0%1.3%27.7K-83.5K-2690.25118.92N/AN/A1646655
2015-12-30$48.77$48.0015.3%4.4%17.2%12.1%12.9%5.7%0.3%23.5K-69.0K-2910.25120.96N/AN/A1646655
2015-12-31$48.37$48.0018.3%5.2%17.2%19.4%15.7%3.2%0.2%14.2K-46.6K-3120.25117.83N/AN/A1646655