FORM Options History — December 2013

In December 2013, FORM traded between $5.17 and $6.15. ATM implied volatility averaged 34.7%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 10.0% (HV 20d: 44.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2013-12-10: Highest Volume — 2,253 contracts
  • 2013-12-18: Largest IV spike — 82.6% change
  • 2013-12-18: Highest IV Rank — 52.0%
  • 2013-12-18: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.71$5.17$6.15$5.39$6.01
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV34.7%24.1%44.0%35.8%32.8%
Expected Move10.1%6.9%12.6%10.3%9.4%
HV 20d44.7%29.6%50.7%33.8%49.0%
HV 60d48.0%43.1%50.8%43.7%50.1%
IV Rank32.3%10.3%52.0%34.7%28.5%
IV Percentile46.9%3.2%95.2%55.6%32.5%
Term Structure1.4%-12.5%20.5%-2.1%5.5%
VWIV35.8%19.1%45.4%38.0%32.8%
Skew 25d0.5%-20.4%17.6%-0.0%1.8%
Skew 10d8.4%-5.2%29.9%21.4%2.8%
Call IV 25d34.9%19.8%54.7%32.1%31.1%
Put IV 25d35.4%29.1%48.7%32.1%32.8%
Bid-Ask Spread %71.6719.10125.86100.9533.70
Gamma HHI0.550.340.720.340.65
Net GEX36.7K12.6K66.6K12.6K45.3K
Net DEX-732.1K-1.3M-286.6K-286.6K-885.1K
Net VEX-3.4K-4.4K-1.8K-1.8K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.003.000.030.00
Total Volume249.85702,25318530
Total OI4,404.0482,9355,2612,9354,576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$5.39$5.0035.8%10.3%33.8%34.7%0.0%-0.0%-2.1%12.6K-286.6K-1.8K0.03100.95N/AN/A17962,650285
2013-12-03$5.29$5.0036.1%10.4%34.6%35.5%0.0%-20.4%-12.5%13.0K-287.1K-2.0K0.00125.86N/AN/A36702,796291
2013-12-04$5.26$5.0034.8%10.0%34.6%32.6%0.0%-13.0%-4.7%14.2K-320.9K-2.2K0.05104.12N/AN/A19993,059275
2013-12-05$5.17$5.0033.6%9.6%35.0%30.2%0.0%-12.5%-3.6%14.6K-313.0K-2.4K0.00111.52N/AN/A12003,209284
2013-12-06$5.20$5.0028.7%11.1%34.1%19.8%0.0%10.2%-0.2%15.3K-333.6K-2.5K0.0050.57N/AN/A003,259284
2013-12-09$5.26$5.0030.7%10.7%29.6%24.0%0.0%13.3%2.4%15.1K-330.9K-2.4K0.0019.10N/AN/A003,259284
2013-12-10$5.85$5.0042.3%10.9%48.1%48.4%38.0%-0.9%1.3%21.8K-636.4K-3.2K0.0532.53N/AN/A2,1411123,259284
2013-12-11$5.77$5.0040.0%11.0%47.4%43.5%38.5%-0.6%-0.1%46.5K-857.7K-4.2K0.0030.49N/AN/A15704,721396
2013-12-12$5.65$5.0041.6%11.9%48.1%46.8%41.9%-8.1%-3.7%42.5K-804.5K-4.2K0.0019.71N/AN/A3904,750396
2013-12-13$5.46$5.0031.3%9.0%49.6%25.3%45.4%-15.3%6.6%35.5K-643.1K-3.8K3.0051.42N/AN/A8244,776396
2013-12-16$5.53$5.0032.3%9.3%48.8%27.4%36.8%-2.3%0.3%38.4K-609.2K-3.7K0.0054.34N/AN/A1604,784417
2013-12-17$5.57$5.0024.1%6.9%48.6%10.3%19.1%16.8%20.5%42.1K-611.4K-3.6K0.0069.19N/AN/A14504,775417
2013-12-18$5.86$5.0044.0%12.6%50.7%52.0%44.1%-1.9%-5.9%54.2K-928.8K-4.1K0.0040.74N/AN/A13504,761417
2013-12-19$6.08$5.0036.0%10.3%50.3%35.1%35.9%8.6%1.7%66.6K-1.2M-4.4K0.0049.78N/AN/A19504,844417
2013-12-20$6.08$5.0036.3%10.4%49.6%35.7%36.3%17.3%0.2%65.4K-1.3M-4.4K0.0188.83N/AN/A920104,812417
2013-12-23$6.15$5.0031.7%9.1%49.6%26.1%31.8%5.2%5.6%49.0K-1.0M-4.0K0.0389.37N/AN/A331104,205414
2013-12-24$6.09$5.0029.1%8.3%49.7%20.7%29.1%-3.6%7.6%45.3K-990.3K-3.9K0.00119.06N/AN/A2004,158424
2013-12-26$6.15$5.0036.0%10.3%49.7%35.1%36.1%-0.1%2.4%45.3K-999.4K-3.9K0.00115.68N/AN/A4004,158424
2013-12-27$6.14$5.0034.5%9.9%48.5%31.9%34.6%-1.2%4.0%44.3K-1.0M-3.9K0.00102.30N/AN/A1804,152424
2013-12-30$6.05$5.0036.3%10.4%49.0%35.7%36.3%17.6%3.2%44.1K-956.1K-3.7K0.0095.83N/AN/A1604,152424
2013-12-31$6.01$5.0032.8%9.4%49.0%28.5%32.8%1.8%5.5%45.3K-885.1K-3.6K0.0033.70N/AN/A3004,152424