FTC Options History — September 2016

In September 2016, FTC traded between $49.31 and $51.27. ATM implied volatility averaged 13.7%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.8% (HV 20d: 12.0%). Max pain ranged from $51.00 to $51.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-09-01: Highest Volume — 63 contracts
  • 2016-09-13: Largest IV spike — 28.9% change
  • 2016-09-13: Highest IV Rank — 45.5%
  • 2016-09-13: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.37$49.31$51.27$50.88$50.65
Max Pain$51.00$51.00$51.00$51.00$51.00
ATM IV13.7%10.6%22.6%12.6%11.4%
Expected Move3.8%3.0%5.0%3.6%3.3%
HV 20d12.0%5.6%14.8%5.6%14.8%
HV 60d11.3%10.2%12.8%10.8%10.3%
IV Rank15.8%5.3%45.5%12.0%7.8%
IV Percentile31.2%1.6%86.9%22.2%9.9%
Term Structure3.1%-2.2%52.0%-0.2%-0.1%
VWIV11.9%10.1%16.2%12.6%11.6%
Skew 25d5.0%1.1%10.6%1.8%1.7%
Skew 10d5.1%-0.8%15.1%1.7%3.1%
Call IV 25d11.9%9.6%15.5%12.2%12.2%
Put IV 25d16.9%12.6%22.5%14.0%13.9%
Bid-Ask Spread %119.99104.48146.28138.00122.37
Gamma HHI0.810.561.000.880.64
Net GEX-7.9K-10.1K-4.6K-8.4K-10.1K
Net DEX89.2K18.8K214.1K61.7K57.8K
Net VEX-189-401-91-401-117
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.181.031.030.18
Total Volume38.6672636313
Total OI56.66721828232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$50.88$51.0012.6%3.6%5.6%12.0%12.6%1.8%-0.2%-8.4K61.7K-4011.03138.00N/AN/A31323151
2016-09-02$51.24$51.0011.4%3.3%6.1%8.1%11.4%1.1%1.2%-8.2K28.4K-3851.03141.37N/AN/A31323151
2016-09-06$51.27$51.0012.8%3.4%6.1%12.6%12.0%1.8%2.4%-9.0K23.1K-3411.03117.70N/AN/A31323151
2016-09-07$51.26$51.0013.2%3.4%5.9%13.8%12.0%2.9%2.1%-9.1K18.8K-3311.03116.95N/AN/A31323151
2016-09-08$50.94$51.0013.1%3.4%6.3%13.5%11.8%6.4%0.9%-9.4K56.9K-3231.03119.36N/AN/A31323151
2016-09-09$49.60$51.0016.1%4.0%11.1%23.7%12.3%1.1%1.5%-7.8K176.0K-2111.03113.80N/AN/A31323151
2016-09-12$50.22$51.0017.5%4.2%12.2%28.5%10.1%5.6%0.1%-7.8K174.0K-1901.03104.48N/AN/A31323151
2016-09-13$49.43$51.0022.6%5.0%13.3%45.5%12.9%8.2%-0.7%-6.7K206.7K-1281.03111.67N/AN/A31323151
2016-09-14$49.31$51.0016.9%4.8%12.9%26.3%14.2%5.5%-0.7%-7.9K214.1K-1101.03112.28N/AN/A31323151
2016-09-15$49.89$51.0014.7%4.2%13.8%19.0%16.2%6.6%0.9%-8.1K190.9K-1351.03113.31N/AN/A31323151
2016-09-16$49.71$51.0014.0%4.0%13.8%16.6%13.0%9.1%0.9%-8.1K177.4K-911.03114.64N/AN/A31323141
2016-09-19$49.85$51.0013.4%3.8%13.8%14.5%10.2%7.8%52.0%-8.6K74.0K-960.00113.15N/AN/A02021
2016-09-20$49.89$51.0013.7%3.9%13.8%15.6%12.2%7.9%-2.2%-9.6K74.3K-920.18113.11N/AN/A112021
2016-09-21$50.39$51.0014.0%4.0%14.3%16.7%11.3%4.6%0.6%-5.9K55.2K-1510.18115.97N/AN/A1121121
2016-09-22$50.84$51.0010.6%3.0%14.6%5.3%10.3%6.4%0.5%-6.8K43.3K-1610.18120.05N/AN/A1121121
2016-09-23$50.60$51.0011.9%3.4%14.7%9.6%10.6%2.3%-1.1%-6.0K45.2K-1550.18120.28N/AN/A1121121
2016-09-26$50.35$51.0013.7%3.9%14.7%15.5%11.6%5.5%1.1%-6.5K52.4K-1390.18122.45N/AN/A1121121
2016-09-27$50.56$51.0011.9%3.4%14.6%9.6%11.4%7.3%-0.2%-7.2K50.9K-1380.18121.75N/AN/A1121121
2016-09-28$50.60$51.0011.0%3.2%14.6%6.7%11.6%1.5%0.7%-9.2K56.7K-1250.18120.88N/AN/A1121121
2016-09-29$50.38$51.0012.3%3.5%14.7%10.8%10.6%10.6%4.9%-4.6K36.6K-1480.18146.28N/AN/A1121121
2016-09-30$50.65$51.0011.4%3.3%14.8%7.8%11.6%1.7%-0.1%-10.1K57.8K-1170.18122.37N/AN/A1121121