FTC Options History — August 2016

In August 2016, FTC traded between $50.78 and $51.48. ATM implied volatility averaged 11.7%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.9% (HV 20d: 6.8%). Max pain ranged from $51.00 to $51.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-08-01: Highest Volume — 81 contracts
  • 2016-08-03: Largest IV drop — 15.7% change
  • 2016-08-31: Highest IV Rank — 12.6%
  • 2016-08-02: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.13$50.78$51.48$51.48$50.94
Max Pain$51.00$51.00$51.00$51.00$51.00
ATM IV11.7%10.9%13.9%12.1%12.8%
Expected Move3.3%3.1%4.0%3.5%3.7%
HV 20d6.8%5.6%8.7%7.9%5.6%
HV 60d11.1%10.6%11.9%11.8%10.8%
IV Rank7.0%4.5%12.6%7.3%12.6%
IV Percentile9.3%2.0%27.8%10.7%23.8%
Term Structure20.2%-1.5%53.2%1.0%-1.5%
VWIV11.5%10.9%12.8%12.3%12.8%
Skew 25d3.1%0.8%5.5%1.4%1.7%
Skew 10d2.7%1.2%6.7%2.2%1.4%
Call IV 25d10.8%10.0%12.0%11.7%11.8%
Put IV 25d13.9%11.3%16.4%13.0%13.5%
Bid-Ask Spread %131.92113.85144.54130.54138.36
Gamma HHI0.880.590.980.940.89
Net GEX-4.4K-9.2K-1.1K-1.6K-9.2K
Net DEX39.7K17.0K61.1K21.4K61.1K
Net VEX-530-629-409-629-409
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.081.031.701.701.03
Total Volume55.1740818163
Total OI81.52281828182

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$51.48$0.0012.1%3.5%7.9%7.3%0.0%1.4%1.0%-1.6K21.4K-6291.70130.54N/AN/A30513051
2016-08-02$51.04$0.0013.9%4.0%8.7%11.5%0.0%2.0%-1.5%-1.7K36.9K-6231.07125.77N/AN/A30323051
2016-08-03$51.03$0.0011.7%3.4%8.7%6.4%0.0%1.0%0.8%-1.5K43.8K-6191.07133.23N/AN/A30323051
2016-08-04$51.07$51.0012.4%3.5%8.7%7.9%12.3%5.3%46.9%-1.5K44.5K-6121.07113.85N/AN/A30323051
2016-08-05$51.22$51.0011.3%3.3%6.6%5.5%11.6%4.9%47.8%-2.4K38.1K-6011.07122.52N/AN/A30323051
2016-08-08$51.12$51.0011.3%3.3%6.5%5.3%11.4%3.2%4.2%-5.5K37.3K-5851.07128.46N/AN/A30323051
2016-08-09$51.31$51.0012.5%3.3%6.7%8.2%11.5%4.4%48.9%-1.6K26.7K-5791.07125.44N/AN/A30323051
2016-08-10$51.27$51.0011.7%3.3%6.7%6.2%11.7%4.7%49.0%-1.6K26.8K-5731.07130.16N/AN/A30323051
2016-08-11$51.43$51.0011.3%3.2%6.7%5.3%11.3%4.6%49.8%-1.6K17.5K-5601.07127.34N/AN/A30323051
2016-08-12$51.42$51.0011.2%3.2%6.7%5.2%11.2%4.0%50.1%-1.6K17.0K-5531.07131.60N/AN/A30323051
2016-08-15$51.43$51.0011.7%3.4%6.7%6.3%11.7%4.3%52.6%-1.6K22.0K-5341.03124.83N/AN/A31323051
2016-08-16$50.92$51.0010.9%3.1%7.6%4.5%10.9%3.5%11.0%-4.8K48.5K-5341.03135.76N/AN/A31323151
2016-08-17$50.95$51.0011.7%3.3%7.3%6.2%0.0%1.8%47.6%-1.2K52.1K-5300.00137.45N/AN/A003151
2016-08-18$51.04$51.0011.1%3.2%6.9%4.8%0.0%1.8%0.6%-8.1K50.6K-5180.00137.00N/AN/A003151
2016-08-19$51.08$51.0011.0%3.1%6.3%4.6%11.0%3.7%53.2%-1.1K43.9K-5171.03134.51N/AN/A31323151
2016-08-22$51.14$51.0011.1%3.2%6.3%4.8%11.1%0.8%1.9%-7.3K40.5K-4891.03137.13N/AN/A31323151
2016-08-23$51.26$51.0011.6%3.3%6.3%6.0%11.6%1.6%0.8%-7.7K26.2K-4801.03133.61N/AN/A31323151
2016-08-24$50.96$51.0011.5%3.3%6.2%8.2%0.0%2.1%1.4%-7.4K50.4K-4730.00137.35N/AN/A003151
2016-08-25$51.00$51.0011.7%3.3%5.8%8.8%11.6%5.5%0.2%-7.6K52.7K-4641.03129.28N/AN/A31323151
2016-08-26$50.78$51.0012.2%3.5%5.9%10.7%12.2%2.5%-0.6%-7.8K57.8K-4551.03137.95N/AN/A31323151
2016-08-29$51.07$51.0011.1%3.2%6.4%7.0%11.1%5.0%0.8%-7.9K48.2K-4281.03137.42N/AN/A31323151
2016-08-30$50.96$51.0011.1%3.2%5.6%6.9%11.1%1.1%0.6%-8.5K49.8K-4211.03144.54N/AN/A31323151
2016-08-31$50.94$51.0012.8%3.7%5.6%12.6%12.8%1.7%-1.5%-9.2K61.1K-4091.03138.36N/AN/A31323151