FTC Options History — February 2016 In February 2016, FTC traded between $42.59 and $46.03. ATM implied volatility averaged 24.0%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.9% (HV 20d: 22.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.24.
Notable Days 2016-02-26 : Highest Volume — 42 contracts2016-02-08 : Largest IV spike — 24.3% change2016-02-09 : Highest IV Rank — 50.7%2016-02-11 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $44.57 $42.59 $46.03 $45.85 $45.75 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 24.0% 20.7% 31.2% 20.7% 21.0% Expected Move 6.9% 5.9% 8.7% 5.9% 6.0% HV 20d 22.1% 21.3% 23.4% 22.1% 21.4% HV 60d 19.1% 17.8% 19.9% 17.8% 19.7% IV Rank 33.3% 25.3% 50.7% 25.3% 26.0% IV Percentile 85.6% 74.2% 98.4% 80.2% 74.2% Term Structure 7.8% -4.9% 45.5% 0.1% -0.6% VWIV 21.9% 20.3% 24.4% 22.0% 22.0% Skew 25d 7.8% 2.4% 16.7% 9.0% 6.4% Skew 10d 8.7% 1.9% 22.3% 4.3% 3.8% Call IV 25d 19.7% 14.0% 24.5% 16.0% 19.7% Put IV 25d 27.4% 20.7% 33.8% 25.0% 26.1% Bid-Ask Spread % 94.59 74.34 111.61 108.46 106.04 Gamma HHI 0.48 0.28 1.00 1.00 0.51 Net GEX 1.7K -327 3.3K -205 798 Net DEX -8.8K -26.2K 5.9K 5.9K -1.5K Net VEX -71 -253 -23 -23 -253 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.24 0.09 1.00 0.10 1.00 Total Volume 13.9 1 42 1 42 Total OI 13.8 3 44 3 44
Daily Data (20 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 2016-02-01 $45.85 $0.00 20.7% 5.9% 22.1% 25.3% 0.0% 9.0% 0.1% -205 5.9K -23 0.00 108.46 N/A N/A 0 1 0 3 2016-02-02 $44.93 $0.00 21.8% 6.3% 21.8% 28.0% 0.0% 3.8% 0.4% -327 5.2K -23 0.00 109.72 N/A N/A 0 1 0 3 2016-02-03 $44.88 $0.00 20.9% 6.0% 21.5% 25.8% 0.0% 3.1% 1.6% -292 5.1K -23 0.10 103.95 N/A N/A 10 1 0 3 2016-02-04 $44.73 $45.00 22.4% 6.6% 21.3% 29.3% 22.0% 4.8% 3.2% 1.8K -13.6K -83 0.10 83.79 N/A N/A 10 1 10 3 2016-02-05 $43.51 $45.00 22.2% 7.1% 22.7% 28.8% 21.4% 4.2% 1.0% 1.6K -8.5K -74 0.10 76.74 N/A N/A 10 1 10 3 2016-02-08 $42.59 $45.00 27.6% 7.4% 23.2% 41.9% 22.8% 7.1% 6.6% 1.3K -2.1K -61 0.20 83.49 N/A N/A 10 2 10 3 2016-02-09 $42.92 $45.00 31.2% 8.0% 23.4% 50.7% 23.7% 8.1% 45.5% 1.3K -3.5K -68 0.20 74.34 N/A N/A 10 2 10 4 2016-02-10 $43.17 $45.00 27.9% 8.0% 23.3% 42.6% 23.3% 7.7% 39.8% 1.3K -4.4K -68 0.20 79.40 N/A N/A 10 2 10 4 2016-02-11 $42.79 $45.00 30.3% 8.7% 21.5% 48.6% 24.4% 9.4% -4.9% 805 -399 -62 0.20 80.64 N/A N/A 10 2 10 4 2016-02-12 $43.36 $45.00 29.1% 8.4% 21.7% 45.7% 20.4% 12.8% 42.6% 1.3K -4.0K -67 0.20 84.01 N/A N/A 10 2 10 4 2016-02-16 $44.17 $45.00 26.5% 7.6% 22.0% 39.3% 22.3% 10.3% 0.4% 1.8K -7.3K -66 0.20 87.73 N/A N/A 10 2 10 4 2016-02-17 $44.95 $45.00 23.5% 6.7% 22.8% 32.1% 22.4% 16.7% 9.6% 2.3K -12.9K -71 0.18 86.94 N/A N/A 11 2 10 4 2016-02-18 $44.67 $45.00 23.2% 6.6% 22.6% 31.2% 21.9% 8.5% 1.8% 2.7K -13.8K -74 0.18 101.72 N/A N/A 11 2 11 4 2016-02-19 $44.92 $45.00 22.9% 6.6% 22.7% 30.5% 20.9% 9.5% 10.4% 2.8K -13.0K -71 0.18 97.02 N/A N/A 11 2 11 4 2016-02-22 $45.48 $45.00 21.8% 6.2% 22.4% 27.9% 20.3% 10.5% -0.0% 3.0K -19.7K -70 0.09 109.35 N/A N/A 11 1 11 3 2016-02-23 $45.29 $45.00 21.9% 6.3% 21.9% 28.2% 20.7% 4.3% 0.4% 3.0K -18.7K -70 0.09 103.02 N/A N/A 11 1 11 3 2016-02-24 $45.44 $45.00 22.6% 6.5% 21.8% 29.8% 20.8% 11.4% -2.1% 3.3K -18.2K -67 0.09 101.35 N/A N/A 11 1 11 3 2016-02-25 $46.03 $45.00 21.6% 6.2% 21.5% 27.5% 21.7% 5.4% -0.1% 3.2K -24.0K -66 0.09 102.46 N/A N/A 11 1 11 3 2016-02-26 $46.02 $45.00 21.2% 6.1% 21.5% 26.5% 21.3% 2.4% -0.2% 3.2K -26.2K -64 1.00 111.61 N/A N/A 21 21 11 3 2016-02-29 $45.75 $45.00 21.0% 6.0% 21.4% 26.0% 22.0% 6.4% -0.6% 798 -1.5K -253 1.00 106.04 N/A N/A 21 21 21 23
« Jan 2016 | All History | Mar 2016 » Home FTC History February 2016