FORM Options History — June 2014

In June 2014, FORM traded between $7.05 and $8.32. ATM implied volatility averaged 40.4%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 13.7% (HV 20d: 54.0%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2014-06-25: Highest Volume — 601 contracts
  • 2014-06-06: Largest IV drop — 33.6% change
  • 2014-06-05: Highest IV Rank — 34.8%
  • 2014-06-05: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.81$7.05$8.32$7.18$8.32
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV40.4%34.3%51.6%40.5%46.5%
Expected Move11.4%10.1%14.8%11.6%13.3%
HV 20d54.0%25.1%67.4%66.7%25.7%
HV 60d50.3%48.4%51.4%50.8%48.4%
IV Rank22.6%16.0%34.8%22.8%29.2%
IV Percentile68.1%33.3%97.2%74.6%91.7%
Term Structure1.6%-10.9%16.1%-1.3%-4.2%
VWIV39.7%32.6%52.0%40.5%43.2%
Skew 25d5.0%-0.6%21.8%9.0%20.1%
Skew 10d2.3%-6.2%19.0%10.8%10.6%
Call IV 25d33.2%25.2%40.5%37.3%25.2%
Put IV 25d38.2%33.9%51.3%46.2%45.4%
Bid-Ask Spread %86.9415.34129.83112.2121.80
Gamma HHI0.480.390.610.390.45
Net GEX58.1K39.8K72.2K56.0K41.3K
Net DEX-2.6M-3.0M-1.8M-1.8M-2.9M
Net VEX-4.1K-5.2K-3.1K-5.2K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.002.502.500.00
Total Volume113.333060135142
Total OI5,594.2385,2295,8075,5965,229

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$7.18$6.0040.5%11.6%66.7%22.8%40.5%9.0%-1.3%56.0K-1.8M-5.2K2.50112.21N/AN/A10254,628968
2014-06-03$7.05$6.0035.4%10.1%67.4%17.2%0.0%7.8%2.8%54.4K-1.8M-5.0K0.00116.61N/AN/A004,623983
2014-06-04$7.23$6.0042.5%12.2%67.4%24.9%42.8%2.2%-5.1%61.3K-1.8M-4.7K0.00121.08N/AN/A0204,623983
2014-06-05$7.45$6.0051.6%14.8%66.6%34.8%52.0%21.8%-10.9%56.1K-2.1M-4.6K0.20114.37N/AN/A100204,6231,003
2014-06-06$7.50$6.0034.3%10.6%64.3%16.0%37.6%0.3%1.8%60.1K-2.2M-4.9K0.00113.51N/AN/A5204,6801,013
2014-06-09$7.60$6.0041.6%10.1%64.1%24.0%0.0%0.9%5.2%65.6K-2.3M-4.4K0.00111.21N/AN/A004,7081,013
2014-06-10$7.70$6.0046.3%12.2%63.0%29.0%39.9%2.1%-0.1%57.6K-2.4M-4.6K0.00125.47N/AN/A13304,7081,013
2014-06-11$7.93$6.0042.6%11.1%62.5%25.0%36.2%-0.6%2.8%69.6K-2.8M-4.2K0.00115.21N/AN/A1204,7941,013
2014-06-12$7.81$6.0037.9%10.9%58.7%20.0%0.0%1.6%3.3%57.4K-2.7M-4.4K0.00113.27N/AN/A004,7451,013
2014-06-13$8.00$6.0041.0%11.7%56.1%23.2%40.3%-0.1%-4.7%72.2K-2.8M-3.9K0.00129.83N/AN/A10304,7451,013
2014-06-16$7.95$6.0041.0%11.8%56.8%23.3%0.0%-0.6%0.6%64.4K-2.8M-4.2K0.00116.44N/AN/A004,7831,013
2014-06-17$8.08$6.0043.3%12.4%56.8%25.8%43.3%6.2%-1.4%58.5K-2.9M-4.2K0.05115.61N/AN/A220104,7831,013
2014-06-18$8.09$6.0039.9%11.5%55.9%22.1%40.0%4.0%-0.1%60.0K-3.0M-4.1K0.0060.59N/AN/A17504,7731,003
2014-06-19$7.97$6.0036.7%10.5%57.0%18.6%37.6%1.2%4.7%60.1K-2.8M-3.7K0.00114.24N/AN/A29304,5491,001
2014-06-20$7.99$6.0037.5%10.8%56.4%19.5%0.0%0.3%2.9%58.0K-2.8M-3.8K0.0041.23N/AN/A004,5641,001
2014-06-23$8.06$6.0039.4%11.3%56.4%21.5%36.2%7.7%2.2%59.4K-2.8M-3.6K0.0015.34N/AN/A18004,463936
2014-06-24$7.92$6.0038.7%11.1%57.3%20.8%37.7%3.6%5.5%59.2K-2.7M-3.7K0.0020.34N/AN/A14404,562936
2014-06-25$8.08$6.0039.3%11.3%25.1%21.5%39.4%5.4%16.1%60.8K-2.8M-3.5K0.1196.68N/AN/A543584,560936
2014-06-26$8.06$6.0035.2%10.1%25.3%17.0%32.6%7.2%8.8%39.8K-2.7M-3.1K0.0333.76N/AN/A7424,259994
2014-06-27$8.09$6.0036.2%10.4%25.3%18.1%36.2%5.0%5.3%47.8K-2.7M-3.3K0.0016.96N/AN/A6404,237992
2014-06-30$8.32$6.0046.5%13.3%25.7%29.2%43.2%20.1%-4.2%41.3K-2.9M-3.2K0.0021.80N/AN/A14204,237992