FORM Options History — March 2014

In March 2014, FORM traded between $6.24 and $7.15. ATM implied volatility averaged 39.2%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 11.8% (HV 20d: 27.4%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2014-03-04: Highest Volume — 1,066 contracts
  • 2014-03-31: Largest IV spike — 93.8% change
  • 2014-03-31: Highest IV Rank — 100.0%
  • 2014-03-31: Largest Expected Move — 32.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.83$6.24$7.15$7.15$6.39
Max Pain$5.38$5.00$7.00$7.00$5.00
ATM IV39.2%27.4%112.0%33.9%112.0%
Expected Move11.5%7.9%32.1%9.7%32.1%
HV 20d27.4%21.0%37.3%37.3%33.9%
HV 60d34.9%31.6%39.8%39.7%35.4%
IV Rank37.4%17.2%100.0%30.7%100.0%
IV Percentile49.6%10.3%100.0%38.9%100.0%
Term Structure-11.2%-153.6%8.3%4.1%-153.6%
VWIV34.7%25.5%56.0%34.1%25.5%
Skew 25d-0.8%-12.9%21.0%-1.0%-6.6%
Skew 10d0.9%-15.3%26.2%-3.2%0.2%
Call IV 25d37.5%29.4%50.6%36.9%50.6%
Put IV 25d36.7%24.7%50.7%35.9%44.0%
Bid-Ask Spread %127.20106.33156.83133.20156.83
Gamma HHI0.400.330.560.540.33
Net GEX46.6K34.3K55.1K36.1K36.6K
Net DEX-1.5M-1.8M-928.4K-1.6M-1.0M
Net VEX-4.2K-4.9K-3.2K-3.2K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.001.450.001.45
Total Volume69.85701,06600
Total OI4,336.5243,3844,5243,3844,524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$7.15$7.0033.9%9.7%37.3%30.7%0.0%-1.0%4.1%36.1K-1.6M-3.2K0.00133.20N/AN/A003,099285
2014-03-04$7.14$7.0032.2%9.2%32.1%27.2%34.1%-0.4%-9.9%34.3K-1.6M-3.3K0.00113.27N/AN/A1,06153,099285
2014-03-05$7.14$7.0031.1%8.9%31.9%24.9%31.1%-6.6%6.7%49.4K-1.8M-4.7K1.00133.10N/AN/A20204,066290
2014-03-06$6.98$7.0037.0%10.6%31.0%37.3%0.0%0.8%-4.3%47.9K-1.7M-4.8K1.00110.64N/AN/A22224,086310
2014-03-07$7.03$5.0032.9%10.4%22.1%28.7%0.0%21.0%1.3%48.0K-1.7M-4.9K0.00112.50N/AN/A004,086332
2014-03-10$6.93$5.0031.8%11.3%22.3%26.3%0.0%7.3%-3.4%46.4K-1.6M-4.8K0.00106.69N/AN/A004,086332
2014-03-11$6.93$5.0033.2%10.2%21.5%29.3%34.0%-1.0%3.8%46.3K-1.7M-4.7K0.00117.14N/AN/A4004,086332
2014-03-12$7.04$5.0031.7%11.0%21.0%26.2%0.0%-1.7%-2.5%51.9K-1.7M-4.5K0.00114.08N/AN/A004,100332
2014-03-13$6.81$5.0036.1%10.3%24.7%35.3%0.0%-0.3%-2.5%49.0K-1.5M-4.6K0.00120.09N/AN/A004,100332
2014-03-14$6.77$5.0035.8%10.3%24.8%34.8%0.0%-7.1%2.3%47.4K-1.4M-4.5K0.00106.33N/AN/A004,100332
2014-03-17$6.81$5.0036.4%10.4%24.9%36.0%0.0%2.0%1.4%49.5K-1.4M-4.3K0.00110.03N/AN/A004,100332
2014-03-18$7.00$5.0030.0%8.6%26.3%22.7%0.0%2.3%8.3%55.1K-1.6M-4.1K0.00130.43N/AN/A004,100332
2014-03-19$6.95$5.0033.7%9.7%25.1%30.4%56.0%-12.9%-1.2%51.9K-1.6M-4.4K0.00139.97N/AN/A3004,100332
2014-03-20$7.02$5.0041.5%11.9%23.8%46.7%0.0%1.8%-5.3%53.6K-1.7M-4.2K0.00143.74N/AN/A0124,130332
2014-03-21$6.83$5.0027.4%7.9%25.8%17.2%27.4%-3.7%5.3%54.2K-1.6M-4.1K1.00138.75N/AN/A994,130332
2014-03-24$6.80$5.0032.6%9.4%25.6%28.1%0.0%-5.1%2.9%52.1K-1.4M-4.0K0.00129.86N/AN/A0924,045296
2014-03-25$6.80$5.0029.0%8.3%24.6%20.4%0.0%0.4%6.3%53.1K-1.5M-4.1K1.00139.21N/AN/A22224,045376
2014-03-26$6.37$5.0045.5%13.0%32.9%55.0%25.5%2.7%-12.9%39.5K-1.1M-4.0K1.45130.99N/AN/A33484,045398
2014-03-27$6.39$5.0042.2%12.1%31.6%48.2%0.0%-6.7%-24.5%42.0K-982.7K-3.7K0.00134.49N/AN/A004,078446
2014-03-28$6.24$5.0057.8%16.6%32.2%80.8%0.0%-0.8%-58.2%34.6K-928.4K-3.9K0.00149.82N/AN/A004,078446
2014-03-31$6.39$5.00112.0%32.1%33.9%100.0%0.0%-6.6%-153.6%36.6K-1.0M-3.9K0.00156.83N/AN/A004,078446