FTC Options History — September 2017

In September 2017, FTC traded between $55.96 and $57.48. ATM implied volatility averaged 16.8%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 7.1% (HV 20d: 9.7%). Max pain ranged from $57.00 to $57.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.34.

Notable Days

2017-09-26: Highest Volume — 40 contracts
2017-09-14: Largest IV spike — 553.1% change
2017-09-14: Highest IV Rank — 100.0%
2017-09-14: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.64	$55.96	$57.48	$56.49	$57.48
Max Pain	$57.00	$57.00	$57.00	$57.00	$57.00
ATM IV	16.8%	10.5%	70.8%	14.7%	12.9%
Expected Move	4.2%	3.0%	20.3%	4.2%	3.7%
HV 20d	9.7%	7.5%	12.6%	12.2%	8.1%
HV 60d	9.6%	9.2%	10.0%	9.9%	9.2%
IV Rank	27.9%	3.8%	100.0%	37.2%	7.8%
IV Percentile	48.9%	1.6%	100.0%	78.2%	45.6%
Term Structure	-2.4%	-31.4%	2.3%	-3.9%	-2.2%
VWIV	15.0%	10.4%	72.0%	12.0%	12.4%
Skew 25d	3.0%	-3.8%	24.7%	-3.0%	-3.8%
Skew 10d	3.6%	-1.9%	24.7%	4.5%	3.3%
Call IV 25d	15.0%	10.2%	74.8%	12.1%	11.1%
Put IV 25d	18.0%	7.4%	99.5%	9.1%	7.4%
Bid-Ask Spread %	135.76	128.35	176.07	156.04	128.35
Gamma HHI	0.84	0.48	1.00	1.00	0.48
Net GEX	9.5K	-2.7K	19.5K	5.5K	19.3K
Net DEX	-47.2K	-114.3K	-22.3K	-28.3K	-114.3K
Net VEX	-177	-413	-80	-96	-394
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.00	5.00	0.00	0.33
Total Volume	16	2	40	2	40
Total OI	24	12	52	12	52

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
2017-09-01	$56.49	$0.00	14.7%	4.2%	12.2%	37.2%	0.0%	-3.0%	-3.9%	5.5K	-28.3K	-96	0.00	156.04	N/A	N/A	2	0	12	0
2017-09-05	$55.96	$57.00	13.9%	3.3%	12.6%	32.4%	12.0%	2.0%	1.0%	6.4K	-26.6K	-92	0.00	131.41	N/A	N/A	2	0	12	0
2017-09-06	$56.01	$57.00	18.1%	3.2%	12.5%	56.2%	12.1%	5.3%	1.0%	6.1K	-25.3K	-89	0.00	132.20	N/A	N/A	2	0	12	0
2017-09-07	$56.00	$57.00	15.5%	3.2%	12.4%	41.4%	10.7%	6.1%	0.7%	5.6K	-22.3K	-83	0.00	133.76	N/A	N/A	2	0	12	0
2017-09-08	$56.02	$57.00	18.1%	3.1%	10.8%	56.2%	14.1%	3.4%	2.3%	5.7K	-24.9K	-85	0.00	130.64	N/A	N/A	2	0	12	0
2017-09-11	$56.70	$57.00	20.9%	3.1%	11.5%	71.5%	12.1%	3.8%	-0.6%	6.6K	-29.4K	-87	5.00	128.52	N/A	N/A	2	10	12	0
2017-09-12	$56.82	$57.00	22.4%	3.1%	10.5%	79.8%	10.8%	3.5%	1.0%	3.4K	-27.2K	-98	5.00	129.49	N/A	N/A	2	10	12	10
2017-09-13	$56.72	$57.00	10.8%	3.1%	10.5%	15.6%	11.1%	4.1%	0.6%	3.2K	-25.8K	-95	5.00	130.63	N/A	N/A	2	10	12	10
2017-09-14	$56.67	$57.00	70.8%	20.3%	10.5%	100.0%	72.0%	24.7%	-31.4%	-2.7K	-31.5K	-90	5.00	176.07	N/A	N/A	2	10	12	10
2017-09-15	$56.61	$57.00	10.7%	3.1%	8.8%	4.2%	11.3%	4.0%	-0.6%	7.3K	-31.0K	-83	5.00	135.31	N/A	N/A	2	10	12	10
2017-09-18	$56.97	$57.00	11.5%	3.3%	8.9%	5.4%	11.9%	1.2%	-1.1%	8.3K	-31.8K	-80	0.00	134.46	N/A	N/A	12	0	12	0
2017-09-19	$56.91	$57.00	10.5%	3.0%	8.8%	3.8%	10.4%	0.3%	-1.0%	11.3K	-65.6K	-211	0.00	131.19	N/A	N/A	12	0	22	0
2017-09-20	$56.96	$57.00	12.0%	3.4%	7.6%	6.3%	11.5%	1.0%	-2.3%	11.7K	-65.0K	-209	0.00	130.60	N/A	N/A	12	0	22	0
2017-09-21	$56.83	$57.00	11.6%	3.3%	7.5%	5.7%	11.4%	0.3%	0.9%	12.0K	-63.5K	-207	0.00	130.24	N/A	N/A	12	0	22	0
2017-09-22	$56.88	$57.00	11.9%	3.4%	7.5%	6.1%	11.7%	-0.7%	-1.8%	11.9K	-62.2K	-205	0.00	130.21	N/A	N/A	12	0	22	0
2017-09-25	$56.38	$57.00	12.0%	3.4%	8.3%	6.3%	12.0%	1.6%	-1.4%	12.5K	-52.2K	-193	0.50	139.63	N/A	N/A	20	10	22	0
2017-09-26	$56.49	$57.00	12.0%	3.4%	8.3%	6.3%	11.6%	-0.1%	-2.6%	17.4K	-26.5K	-313	0.33	138.31	N/A	N/A	30	10	32	10
2017-09-27	$56.97	$57.00	12.4%	3.6%	8.7%	7.0%	13.2%	3.6%	-3.7%	19.5K	-93.3K	-413	0.33	135.15	N/A	N/A	30	10	42	10
2017-09-28	$57.02	$57.00	13.4%	3.8%	8.4%	8.5%	13.4%	1.9%	-3.8%	18.8K	-96.6K	-408	0.33	132.95	N/A	N/A	30	10	42	10
2017-09-29	$57.48	$57.00	12.9%	3.7%	8.1%	7.8%	12.4%	-3.8%	-2.2%	19.3K	-114.3K	-394	0.33	128.35	N/A	N/A	30	10	42	10