FTC Options History — October 2017 In October 2017, FTC traded between $57.72 and $59.56. ATM implied volatility averaged 11.8%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 5.7% (HV 20d: 6.1%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.31.
Notable Days 2017-10-16 : Highest Volume — 50 contracts2017-10-11 : Largest IV drop — 23.9% change2017-10-10 : Highest IV Rank — 9.0%2017-10-30 : Largest Expected Move — 3.8%Monthly Statistics Metric Avg Min Max Open Close Price $58.82 $57.72 $59.56 $57.72 $59.54 Max Pain $56.14 $56.00 $57.00 $57.00 $56.00 ATM IV 11.8% 10.1% 13.7% 12.5% 11.5% Expected Move 3.3% 2.9% 3.8% 3.6% 3.3% HV 20d 6.1% 4.7% 8.2% 8.2% 5.5% HV 60d 8.8% 8.6% 9.0% 9.0% 8.9% IV Rank 6.1% 3.2% 9.0% 7.2% 5.5% IV Percentile 25.3% 0.8% 62.3% 38.1% 17.5% Term Structure -1.0% -2.4% 1.0% -1.4% -1.1% VWIV 13.2% 6.1% 15.3% 13.4% 13.3% Skew 25d 0.9% -5.2% 3.5% 1.0% 1.1% Skew 10d 3.3% -2.4% 5.4% 3.7% 2.9% Call IV 25d 11.5% 9.8% 14.1% 13.4% 12.3% Put IV 25d 12.4% 6.2% 14.4% 14.4% 13.3% Bid-Ask Spread % 141.45 131.27 148.22 131.27 141.31 Gamma HHI 0.39 0.27 0.50 0.50 0.36 Net GEX 9.7K 903 19.2K 16.1K 903 Net DEX -159.4K -241.1K -98.4K -124.6K -121.1K Net VEX -286 -379 -208 -379 -230 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.31 0.25 0.33 0.33 0.33 Total Volume 42.273 40 50 40 40 Total OI 50 40 62 52 40
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 2017-10-02 $57.72 $57.00 12.5% 3.6% 8.2% 7.2% 13.4% 1.0% -1.4% 16.1K -124.6K -379 0.33 131.27 N/A N/A 30 10 42 10 2017-10-03 $57.86 $57.00 11.5% 3.3% 7.2% 5.5% 12.6% 1.6% -2.4% 19.2K -147.6K -345 0.33 132.34 N/A N/A 30 10 42 10 2017-10-04 $58.02 $57.00 11.6% 3.3% 7.2% 5.7% 13.4% 1.2% -0.5% 18.1K -152.4K -323 0.33 131.32 N/A N/A 30 10 42 10 2017-10-05 $58.44 $56.00 13.2% 3.2% 7.4% 8.2% 12.9% 1.9% 0.9% 14.5K -160.6K -326 0.33 138.74 N/A N/A 30 10 42 10 2017-10-06 $58.48 $56.00 13.0% 3.2% 7.4% 7.9% 12.7% 2.0% 1.0% 12.7K -163.7K -320 0.33 138.40 N/A N/A 30 10 42 10 2017-10-09 $58.52 $56.00 13.6% 3.1% 6.4% 8.9% 12.5% 2.3% -1.3% 12.2K -167.1K -297 0.33 144.65 N/A N/A 30 10 42 10 2017-10-10 $58.56 $56.00 13.7% 3.1% 6.4% 9.0% 14.1% 2.3% -2.1% 12.5K -169.0K -288 0.33 143.32 N/A N/A 30 10 42 10 2017-10-11 $58.69 $56.00 10.4% 3.0% 6.3% 3.7% 14.2% 2.1% -0.8% 11.6K -176.3K -273 0.33 143.68 N/A N/A 30 10 42 10 2017-10-12 $58.75 $56.00 10.1% 2.9% 6.2% 3.2% 14.4% 2.8% -1.3% 11.1K -179.8K -265 0.33 144.27 N/A N/A 30 10 42 10 2017-10-13 $58.86 $56.00 10.7% 3.1% 6.1% 4.3% 14.0% 1.3% -0.5% 8.1K -196.4K -215 0.33 140.99 N/A N/A 30 10 42 10 2017-10-16 $58.97 $56.00 12.0% 3.4% 5.9% 6.3% 13.8% 3.1% -1.8% 8.6K -193.3K -208 0.25 140.46 N/A N/A 40 10 42 10 2017-10-17 $58.88 $56.00 10.7% 3.1% 6.0% 4.2% 14.9% 2.8% -1.3% 14.8K -210.8K -336 0.25 143.71 N/A N/A 40 10 52 10 2017-10-18 $58.91 $56.00 11.6% 3.3% 6.0% 5.7% 12.8% 2.2% -1.3% 12.1K -221.8K -310 0.25 141.08 N/A N/A 40 10 52 10 2017-10-19 $58.96 $56.00 10.9% 3.1% 5.8% 4.5% 15.3% 3.5% -1.6% 13.1K -217.6K -314 0.25 143.68 N/A N/A 40 10 52 10 2017-10-20 $59.34 $56.00 12.4% 3.6% 6.0% 7.0% 14.2% 1.1% -0.2% 5.2K -241.1K -284 0.25 144.38 N/A N/A 40 10 52 10 2017-10-23 $59.20 $56.00 11.9% 3.4% 4.7% 6.1% 13.1% -0.7% -1.0% 3.3K -114.6K -264 0.33 138.06 N/A N/A 30 10 30 10 2017-10-24 $59.33 $56.00 12.0% 3.4% 4.7% 6.3% 13.6% 0.9% -1.4% 4.5K -115.7K -257 0.33 147.01 N/A N/A 30 10 30 10 2017-10-25 $58.95 $56.00 11.9% 3.4% 5.2% 6.1% 15.2% -3.5% 0.1% 5.2K -98.4K -289 0.33 147.71 N/A N/A 30 10 30 10 2017-10-26 $59.09 $56.00 11.5% 3.3% 5.2% 5.6% 13.0% 1.1% -1.5% 2.6K -110.3K -259 0.33 148.22 N/A N/A 30 10 30 10 2017-10-27 $59.56 $56.00 10.7% 3.1% 5.1% 4.2% 6.1% -5.2% -0.5% 1.6K -116.2K -246 0.33 142.38 N/A N/A 30 10 30 10 2017-10-30 $59.31 $56.00 13.2% 3.8% 5.5% 8.2% 10.9% -5.2% -1.7% 5.0K -107.7K -261 0.33 144.88 N/A N/A 30 10 30 10 2017-10-31 $59.54 $56.00 11.5% 3.3% 5.5% 5.5% 13.3% 1.1% -1.1% 903 -121.1K -230 0.33 141.31 N/A N/A 30 10 30 10
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