FTC Options History — January 2016 In January 2016, FTC traded between $44.31 and $47.59. ATM implied volatility averaged 24.3%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.5% (HV 20d: 18.8%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.25.
Notable Days 2016-01-04 : Highest Volume — 20 contracts2016-01-07 : Largest IV spike — 19.4% change2016-01-08 : Highest IV Rank — 43.5%2016-01-20 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $45.42 $44.31 $47.59 $47.29 $44.97 ATM IV 24.3% 20.9% 28.2% 24.1% 22.2% Expected Move 6.7% 5.4% 7.9% 6.0% 6.4% HV 20d 18.8% 16.6% 20.5% 18.3% 20.5% HV 60d 15.9% 14.4% 17.2% 14.5% 17.2% IV Rank 34.1% 25.8% 43.5% 33.6% 28.9% IV Percentile 91.8% 83.7% 97.6% 94.8% 83.7% Term Structure 8.1% -2.9% 35.1% 30.3% -0.2% Skew 25d 6.0% 0.9% 11.7% 5.1% 9.0% Skew 10d 8.7% 3.4% 14.8% 6.9% 3.4% Call IV 25d 19.3% 13.3% 23.8% 16.4% 18.9% Put IV 25d 25.3% 21.5% 30.3% 21.5% 27.9% Bid-Ask Spread % 96.64 85.38 108.52 93.26 108.52 Gamma HHI 0.80 0.32 1.00 0.37 1.00 Net GEX -10.1K -37.1K -145 -10.8K -213 Net DEX 70.7K 5.1K 236.9K 45.1K 5.5K Net VEX -85 -252 -24 -252 -24 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.25 0.25 0.25 0.25 0.25 Total Volume 11 1 20 20 1 Total OI 65.105 3 121 121 3
Daily Data (19 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 2016-01-04 $47.29 $0.00 24.1% 6.0% 18.3% 33.6% 0.0% 5.1% 30.3% -10.8K 45.1K -252 0.25 93.26 N/A N/A 16 4 66 55 2016-01-05 $47.59 $0.00 20.9% 5.4% 16.6% 25.8% 0.0% 9.1% 2.2% -6.8K 39.4K -213 0.25 85.38 N/A N/A 16 4 66 55 2016-01-06 $47.07 $0.00 22.0% 5.9% 16.9% 28.4% 0.0% 2.2% 35.1% -14.6K 60.9K -206 0.25 88.95 N/A N/A 16 4 66 55 2016-01-07 $46.34 $0.00 26.3% 6.5% 17.5% 38.7% 0.0% 7.6% 7.4% -17.7K 109.1K -187 0.25 92.20 N/A N/A 16 4 66 55 2016-01-08 $45.61 $0.00 28.2% 6.5% 17.6% 43.5% 0.0% 1.3% 4.2% -21.4K 137.7K -159 0.25 92.67 N/A N/A 16 4 66 55 2016-01-11 $45.82 $0.00 27.2% 7.2% 17.7% 40.9% 0.0% 0.9% 3.2% -30.8K 158.5K -115 0.25 97.61 N/A N/A 16 4 66 55 2016-01-12 $46.17 $0.00 24.4% 6.5% 17.4% 34.3% 0.0% 4.7% 6.8% -37.1K 135.3K -105 0.25 91.26 N/A N/A 16 4 66 55 2016-01-13 $44.89 $0.00 24.1% 6.9% 19.5% 33.4% 0.0% 1.3% 5.7% -19.1K 171.5K -84 0.25 100.52 N/A N/A 16 4 66 55 2016-01-14 $45.37 $0.00 23.8% 6.8% 19.7% 32.6% 0.0% 6.5% 29.0% -31.0K 199.2K -55 0.25 102.06 N/A N/A 16 4 66 55 2016-01-15 $44.55 $0.00 25.7% 7.4% 19.1% 37.4% 0.0% 3.3% 32.7% -199 236.9K -26 0.25 90.83 N/A N/A 16 4 66 55 2016-01-19 $44.80 $0.00 23.8% 6.8% 19.2% 32.8% 0.0% 6.3% 1.2% -194 5.3K -25 0.00 92.23 N/A N/A 0 1 0 3 2016-01-20 $44.31 $0.00 27.7% 7.9% 18.8% 42.3% 0.0% 11.7% -2.9% -317 5.8K -25 0.00 94.77 N/A N/A 0 1 0 3 2016-01-21 $44.45 $0.00 26.1% 7.5% 18.8% 38.4% 0.0% 9.5% 0.1% -177 5.7K -25 0.00 95.13 N/A N/A 0 1 0 3 2016-01-22 $45.17 $0.00 23.0% 6.6% 19.7% 30.8% 0.0% 6.4% -0.7% -507 5.1K -25 0.00 101.77 N/A N/A 0 1 0 3 2016-01-25 $44.62 $0.00 23.5% 6.7% 19.6% 32.1% 0.0% 8.8% 0.1% -373 5.3K -24 0.00 95.86 N/A N/A 0 1 0 3 2016-01-26 $45.01 $0.00 22.7% 6.5% 20.1% 30.1% 0.0% 8.5% 0.5% -172 5.6K -25 0.00 103.61 N/A N/A 0 1 0 3 2016-01-27 $44.39 $0.00 24.5% 7.0% 20.4% 34.4% 0.0% 6.3% -1.2% -145 5.3K -24 0.00 106.78 N/A N/A 0 1 0 3 2016-01-28 $44.51 $0.00 22.3% 6.4% 19.8% 29.2% 0.0% 5.6% -0.2% -472 6.4K -24 0.00 102.87 N/A N/A 0 1 0 3 2016-01-29 $44.97 $0.00 22.2% 6.4% 20.5% 28.9% 0.0% 9.0% -0.2% -213 5.5K -24 0.00 108.52 N/A N/A 0 1 0 3
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