FTC Options History — July 2016 In July 2016, FTC traded between $49.98 and $51.58. ATM implied volatility averaged 12.8%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.7% (HV 20d: 14.5%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.76.
Notable Days 2016-07-22 : Highest Volume — 81 contracts2016-07-25 : Largest IV spike — 40.0% change2016-07-11 : Highest IV Rank — 19.7%2016-07-05 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $51.06 $49.98 $51.58 $50.00 $51.58 Max Pain $49.00 $49.00 $49.00 $49.00 $49.00 ATM IV 12.8% 9.0% 18.0% 12.2% 11.2% Expected Move 3.5% 2.6% 4.2% 3.5% 3.2% HV 20d 14.5% 7.9% 16.8% 16.0% 7.9% HV 60d 12.0% 11.8% 12.2% 11.9% 11.8% IV Rank 7.8% 0.0% 19.7% 5.9% 5.2% IV Percentile 18.0% 0.0% 58.7% 8.3% 4.4% Term Structure 13.7% -1.5% 44.9% 1.0% -1.5% VWIV 13.4% 13.4% 13.4% 13.4% 13.4% Skew 25d 2.8% -0.5% 7.9% 0.5% 2.4% Skew 10d 3.5% 0.1% 9.0% 3.2% 4.9% Call IV 25d 12.3% 9.2% 14.6% 13.0% 11.6% Put IV 25d 15.1% 12.3% 20.7% 13.5% 14.0% Bid-Ask Spread % 119.93 98.11 130.10 122.25 123.85 Gamma HHI 0.86 0.51 1.00 0.95 0.95 Net GEX -68 -2.7K 3.0K 2.9K -2.4K Net DEX 6.6K -23.7K 47.0K -18.3K 21.6K Net VEX -201 -669 0 -22 -638 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.20 1.70 0.20 1.70 Total Volume 30.5 1 81 6 81 Total OI 25.75 1 81 6 81
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 2016-07-01 $50.00 $49.00 12.2% 3.5% 16.0% 5.9% 13.4% 0.5% 1.0% 2.9K -18.3K -22 0.20 122.25 N/A N/A 5 1 5 1 2016-07-05 $49.98 $0.00 15.4% 4.2% 16.0% 13.5% 0.0% 7.9% 3.9% 3.0K -18.5K -20 0.20 98.11 N/A N/A 5 1 5 1 2016-07-06 $50.13 $0.00 15.4% 4.2% 16.0% 13.5% 0.0% 5.8% 37.7% 3.0K -19.0K -16 0.20 107.55 N/A N/A 5 1 5 1 2016-07-07 $50.17 $0.00 15.9% 4.2% 15.9% 14.8% 0.0% 3.4% 40.0% 2.7K -18.8K -18 0.20 109.97 N/A N/A 5 1 5 1 2016-07-08 $50.99 $0.00 13.7% 3.6% 16.8% 9.5% 0.0% 3.9% -0.2% 959 -23.7K -9 0.20 105.47 N/A N/A 5 1 5 1 2016-07-11 $51.13 $0.00 18.0% 3.5% 16.4% 19.7% 0.0% 3.1% 44.9% 325 -8.5K -9 0.20 124.09 N/A N/A 5 1 2 1 2016-07-12 $51.16 $0.00 17.5% 3.5% 16.0% 18.6% 0.0% 4.1% 42.5% 46 -9.1K -5 0.20 116.45 N/A N/A 5 1 2 1 2016-07-13 $51.23 $0.00 12.2% 3.5% 16.0% 5.8% 0.0% 2.2% 15.5% 46 -9.2K -7 0.20 119.03 N/A N/A 5 1 2 1 2016-07-14 $51.31 $0.00 12.6% 3.6% 15.9% 6.8% 0.0% 2.0% 40.6% 14 -8.9K -9 0.20 116.31 N/A N/A 5 1 2 1 2016-07-15 $51.18 $0.00 11.0% 3.2% 16.0% 3.0% 0.0% 2.6% 36.8% -48 -8.8K -9 0.20 122.98 N/A N/A 5 1 2 1 2016-07-18 $51.21 $0.00 11.6% 3.3% 15.8% 4.5% 0.0% 3.3% 1.1% -57 1.3K -8 0.00 124.37 N/A N/A 0 1 0 1 2016-07-19 $51.22 $0.00 11.6% 3.3% 15.7% 4.4% 0.0% 2.3% 0.9% 0 0 0 0.00 121.38 N/A N/A 0 21 0 1 2016-07-20 $51.49 $0.00 11.5% 3.3% 15.7% 4.3% 0.0% 2.8% 1.6% -1.5K 47.0K -212 0.00 130.10 N/A N/A 0 21 0 21 2016-07-21 $51.12 $0.00 11.9% 3.4% 15.9% 5.1% 0.0% -0.5% 1.6% -1.5K 46.9K -211 0.00 127.66 N/A N/A 0 21 0 21 2016-07-22 $51.51 $0.00 9.0% 2.6% 15.7% 0.0% 0.0% 5.6% 1.5% -1.6K 46.9K -210 1.70 126.11 N/A N/A 30 51 0 21 2016-07-25 $51.45 $0.00 12.6% 3.6% 13.1% 8.5% 0.0% 0.5% 3.2% -1.5K 26.6K -669 1.70 124.44 N/A N/A 30 51 30 51 2016-07-26 $51.56 $0.00 11.3% 3.2% 10.2% 5.3% 0.0% 1.2% -1.5% -1.5K 22.7K -656 1.70 123.26 N/A N/A 30 51 30 51 2016-07-27 $51.22 $0.00 11.4% 3.3% 10.2% 5.6% 0.0% 0.1% 2.4% -1.5K 35.5K -658 1.70 128.38 N/A N/A 30 51 30 51 2016-07-28 $51.51 $0.00 9.8% 2.8% 8.9% 1.9% 0.0% 2.3% 1.3% -2.7K 26.9K -641 1.70 126.93 N/A N/A 30 51 30 51 2016-07-29 $51.58 $0.00 11.2% 3.2% 7.9% 5.2% 0.0% 2.4% -1.5% -2.4K 21.6K -638 1.70 123.85 N/A N/A 30 51 30 51
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