FORM Options History — January 2014

In January 2014, FORM traded between $6.01 and $6.77. ATM implied volatility averaged 36.8%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 1.7% (HV 20d: 38.5%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2014-01-14: Highest Volume — 717 contracts
  • 2014-01-21: Largest IV spike — 32.6% change
  • 2014-01-15: Highest IV Rank — 64.2%
  • 2014-01-31: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.50$6.01$6.77$6.01$6.44
Max Pain$5.89$5.00$6.00$5.00$6.00
ATM IV36.8%28.3%49.9%34.8%47.1%
Expected Move11.1%8.3%13.5%10.0%13.5%
HV 20d38.5%32.8%51.3%48.2%34.3%
HV 60d46.5%38.9%51.6%50.1%39.1%
IV Rank36.7%19.1%64.2%32.7%58.3%
IV Percentile55.8%12.7%98.4%46.4%97.2%
Term Structure-1.6%-28.2%13.4%4.1%-28.2%
VWIV38.0%27.6%44.2%27.6%40.0%
Skew 25d0.1%-8.3%18.1%-6.0%-8.3%
Skew 10d3.2%-9.4%13.1%-9.4%5.3%
Call IV 25d38.2%21.9%50.0%40.8%50.0%
Put IV 25d38.3%31.0%48.6%34.8%41.7%
Bid-Ask Spread %94.7221.72159.6690.62120.50
Gamma HHI0.520.460.650.650.46
Net GEX36.0K26.1K48.3K45.4K27.7K
Net DEX-1.2M-1.7M-873.9K-873.9K-973.3K
Net VEX-3.7K-4.2K-3.4K-3.6K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.000.001.00
Total Volume77.333071700
Total OI3,995.7143,0464,8944,5923,090

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$6.01$5.0034.8%10.0%48.2%32.7%0.0%-6.0%4.1%45.4K-873.9K-3.6K0.0090.62N/AN/A004,168424
2014-01-03$6.37$5.0028.8%8.3%51.3%20.0%27.6%-2.8%10.2%45.5K-1.3M-3.6K0.0089.35N/AN/A7904,168424
2014-01-06$6.27$0.0035.7%11.9%51.2%34.4%0.0%1.4%-3.4%45.1K-1.2M-3.7K0.0037.18N/AN/A10904,161424
2014-01-07$6.32$0.0028.3%11.9%51.2%19.1%0.0%2.4%-3.5%45.0K-1.3M-3.6K0.0726.28N/AN/A7154,255424
2014-01-08$6.44$0.0032.8%11.8%51.3%28.5%41.1%4.8%-5.0%43.0K-1.4M-3.5K0.0039.42N/AN/A33004,226424
2014-01-09$6.34$6.0034.3%10.8%37.3%31.7%0.0%2.1%0.1%44.4K-1.3M-3.6K0.0027.49N/AN/A004,261424
2014-01-10$6.41$6.0029.1%10.9%36.8%20.7%36.9%1.6%1.6%36.7K-1.4M-3.4K0.0027.76N/AN/A8604,261424
2014-01-13$6.38$6.0032.4%11.2%35.7%27.7%0.0%18.1%0.5%32.7K-1.3M-3.4K0.0021.72N/AN/A104,216424
2014-01-14$6.71$6.0042.6%11.4%35.7%49.0%44.2%4.9%-0.3%44.4K-1.6M-3.5K0.0096.23N/AN/A71704,216424
2014-01-15$6.73$6.0049.9%12.9%35.8%64.2%0.0%-6.3%-3.7%48.0K-1.6M-4.1K0.00102.38N/AN/A10604,370424
2014-01-16$6.70$6.0042.4%12.2%36.1%48.5%0.0%-5.4%-4.7%48.3K-1.7M-4.2K0.00136.55N/AN/A004,470424
2014-01-17$6.54$6.0033.3%9.5%34.4%29.4%0.0%8.8%-0.1%26.1K-1.5M-4.0K0.00129.27N/AN/A2704,470424
2014-01-21$6.66$6.0044.1%12.6%32.8%52.1%0.0%-4.5%1.7%29.2K-1.1M-3.7K0.00111.11N/AN/A5102,813233
2014-01-22$6.77$6.0038.5%11.0%33.0%40.4%0.0%-3.8%-5.1%28.6K-1.2M-3.8K0.00116.50N/AN/A602,828233
2014-01-23$6.76$6.0038.9%11.1%33.0%41.2%0.0%-4.8%-4.1%28.5K-1.2M-3.9K0.00135.19N/AN/A702,832233
2014-01-24$6.62$6.0031.1%8.9%33.9%24.8%0.0%2.5%13.4%26.7K-1.1M-3.9K0.00130.55N/AN/A002,829233
2014-01-27$6.52$6.0033.9%9.7%34.5%30.8%0.0%-2.8%4.1%27.6K-1.1M-3.9K0.00159.66N/AN/A002,829233
2014-01-28$6.52$6.0037.7%10.8%34.4%38.6%0.0%-1.0%-1.3%27.2K-1.1M-3.9K0.00127.34N/AN/A002,829233
2014-01-29$6.50$6.0037.9%10.9%33.9%39.0%0.0%-0.5%-17.6%27.1K-1.0M-3.9K0.50123.08N/AN/A632,829233
2014-01-30$6.53$6.0038.5%11.0%33.7%40.3%40.0%1.1%8.4%28.2K-1.0M-3.8K1.00140.98N/AN/A10102,834236
2014-01-31$6.44$6.0047.1%13.5%34.3%58.3%0.0%-8.3%-28.2%27.7K-973.3K-3.8K0.00120.50N/AN/A002,844246