FTC Options History — March 2016

In March 2016, FTC traded between $46.20 and $48.37. ATM implied volatility averaged 16.2%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.1% (HV 20d: 13.1%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2016-03-22: Highest Volume — 76 contracts
2016-03-02: Largest IV spike — 22.8% change
2016-03-08: Highest IV Rank — 28.6%
2016-03-10: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.25	$46.20	$48.37	$46.52	$48.31
Max Pain	$45.91	$45.00	$46.00	$45.00	$46.00
ATM IV	16.2%	11.4%	22.1%	14.8%	14.0%
Expected Move	4.6%	3.3%	6.0%	4.2%	4.0%
HV 20d	13.1%	8.4%	21.1%	21.1%	8.4%
HV 60d	18.8%	17.6%	20.0%	20.0%	17.6%
IV Rank	14.2%	2.6%	28.6%	10.8%	8.9%
IV Percentile	42.9%	0.8%	79.0%	38.9%	27.4%
Term Structure	10.0%	-1.8%	35.1%	1.8%	2.1%
VWIV	17.7%	11.9%	21.3%	21.3%	17.9%
Skew 25d	5.7%	-0.3%	12.3%	7.2%	0.7%
Skew 10d	4.6%	0.8%	15.2%	15.2%	4.1%
Call IV 25d	14.1%	11.0%	18.8%	16.1%	14.6%
Put IV 25d	19.8%	12.6%	25.1%	23.3%	15.3%
Bid-Ask Spread %	111.25	95.54	121.32	106.36	118.05
Gamma HHI	0.51	0.30	0.74	0.44	0.51
Net GEX	-397	-3.1K	2.3K	551	-1.2K
Net DEX	-41.7K	-95.1K	-12.1K	-12.1K	-77.9K
Net VEX	-271	-451	-146	-247	-365
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.81	1.40	1.00	1.17
Total Volume	55.045	36	76	42	76
Total OI	54.318	38	78	44	78

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
2016-03-01	$46.52	$45.00	14.8%	4.2%	21.1%	10.8%	21.3%	7.2%	1.8%	551	-12.1K	-247	1.00	106.36	N/A	N/A	21	21	21	23
2016-03-02	$46.57	$45.00	18.1%	5.2%	19.6%	19.0%	16.2%	1.5%	-1.8%	1.4K	-19.0K	-240	1.00	112.73	N/A	N/A	21	21	21	23
2016-03-03	$46.74	$46.00	17.5%	4.7%	19.6%	17.5%	18.5%	6.9%	32.8%	1.6K	-23.8K	-227	1.00	103.89	N/A	N/A	21	21	21	23
2016-03-04	$46.75	$46.00	16.8%	4.6%	19.5%	15.9%	18.6%	7.3%	10.9%	865	-26.8K	-227	0.81	95.54	N/A	N/A	26	21	21	23
2016-03-07	$46.47	$46.00	19.1%	5.3%	16.4%	21.3%	18.5%	6.7%	1.9%	2.1K	-27.5K	-274	0.81	107.19	N/A	N/A	26	21	26	23
2016-03-08	$46.20	$46.00	22.1%	5.7%	14.0%	28.6%	19.8%	11.5%	14.2%	1.8K	-25.2K	-271	0.81	103.00	N/A	N/A	26	21	26	23
2016-03-09	$46.37	$46.00	19.9%	5.7%	13.9%	23.4%	20.0%	7.1%	12.8%	2.2K	-23.4K	-270	0.81	104.26	N/A	N/A	26	21	26	23
2016-03-10	$46.45	$46.00	21.0%	6.0%	13.9%	26.0%	21.1%	7.2%	35.1%	2.3K	-26.0K	-263	0.81	100.41	N/A	N/A	26	21	26	23
2016-03-11	$47.20	$46.00	18.2%	5.2%	13.8%	19.3%	19.5%	11.5%	-1.2%	2.3K	-47.2K	-240	0.81	107.83	N/A	N/A	26	21	26	23
2016-03-14	$47.25	$46.00	19.3%	5.5%	13.5%	21.7%	20.2%	12.3%	2.7%	609	-40.0K	-221	0.81	107.72	N/A	N/A	26	21	23	23
2016-03-15	$47.14	$46.00	19.0%	5.4%	12.6%	21.0%	20.4%	9.4%	34.4%	692	-38.3K	-220	0.81	110.22	N/A	N/A	26	21	23	23
2016-03-16	$47.45	$46.00	16.7%	4.8%	11.5%	15.4%	18.2%	6.8%	32.0%	-829	-51.2K	-202	0.81	112.87	N/A	N/A	26	21	23	23
2016-03-17	$47.54	$46.00	15.3%	4.4%	11.0%	12.2%	18.4%	7.4%	24.0%	-1.5K	-58.8K	-189	0.81	113.83	N/A	N/A	26	21	23	23
2016-03-18	$47.76	$46.00	14.5%	4.2%	11.0%	10.2%	18.1%	6.5%	10.3%	-2.8K	-65.3K	-172	0.81	115.73	N/A	N/A	26	21	23	23
2016-03-21	$47.79	$46.00	13.7%	3.9%	10.4%	8.3%	11.9%	-0.3%	2.0%	-3.1K	-27.7K	-169	1.40	118.04	N/A	N/A	15	21	15	23
2016-03-22	$47.80	$46.00	13.1%	3.8%	10.2%	6.8%	12.9%	1.0%	1.1%	-2.9K	-33.6K	-146	1.17	118.21	N/A	N/A	35	41	15	23
2016-03-23	$47.62	$46.00	12.2%	3.5%	10.4%	4.5%	12.6%	0.6%	1.0%	-3.1K	-52.1K	-444	1.17	114.83	N/A	N/A	35	41	35	43
2016-03-24	$47.45	$46.00	13.2%	3.8%	9.8%	7.0%	17.2%	4.3%	3.7%	-3.1K	-35.1K	-451	1.17	118.10	N/A	N/A	35	41	35	43
2016-03-28	$47.67	$46.00	13.4%	3.8%	9.9%	7.4%	14.0%	1.2%	-1.5%	-3.0K	-45.8K	-420	1.17	116.92	N/A	N/A	35	41	35	43
2016-03-29	$48.15	$46.00	11.4%	3.3%	9.8%	2.6%	16.8%	6.3%	1.5%	-2.5K	-64.9K	-386	1.17	120.43	N/A	N/A	35	41	35	43
2016-03-30	$48.37	$46.00	12.5%	3.6%	8.4%	5.4%	17.9%	1.2%	1.1%	-1.3K	-95.1K	-314	1.17	121.32	N/A	N/A	35	41	35	43
2016-03-31	$48.31	$46.00	14.0%	4.0%	8.4%	8.9%	17.9%	0.7%	2.1%	-1.2K	-77.9K	-365	1.17	118.05	N/A	N/A	35	41	35	43