FORM Options History — July 2014

In July 2014, FORM traded between $6.75 and $8.41. ATM implied volatility averaged 43.1%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 12.4% (HV 20d: 30.7%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.13.

Notable Days

  • 2014-07-01: Highest Volume — 150 contracts
  • 2014-07-10: Largest IV spike — 20.6% change
  • 2014-07-29: Highest IV Rank — 38.2%
  • 2014-07-29: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.65$6.75$8.41$8.41$6.75
Max Pain$7.09$6.00$8.00$6.00$6.00
ATM IV43.1%33.5%56.3%39.1%40.6%
Expected Move12.7%9.6%16.1%11.2%11.6%
HV 20d30.7%23.8%42.3%23.8%42.3%
HV 60d46.7%45.0%49.3%47.4%49.3%
IV Rank24.0%15.2%38.2%21.2%20.8%
IV Percentile75.0%26.2%98.0%65.1%67.9%
Term Structure-1.9%-14.2%11.5%-9.0%-0.4%
VWIV52.1%35.3%98.6%44.0%45.7%
Skew 25d1.3%-14.9%15.8%-0.7%-3.5%
Skew 10d3.9%-24.0%25.7%2.2%-1.2%
Call IV 25d42.1%31.0%63.4%31.0%42.6%
Put IV 25d43.4%30.3%53.8%30.3%39.1%
Bid-Ask Spread %72.7816.79131.7136.4822.72
Gamma HHI0.510.380.760.440.38
Net GEX36.6K14.4K72.0K39.8K17.5K
Net DEX-1.7M-3.0M-439.8K-3.0M-484.8K
Net VEX-2.6K-3.3K-2.3K-3.2K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.040.000.09
Total Volume48.091015015049
Total OI3,7951,6205,2705,2702,024

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$8.41$6.0039.1%11.2%23.8%21.2%44.0%-0.7%-9.0%39.8K-3.0M-3.2K0.0036.48N/AN/A15004,278992
2014-07-02$8.19$6.0038.6%11.1%26.1%20.7%98.6%3.8%-14.2%42.6K-2.7M-3.3K0.00104.28N/AN/A1704,202992
2014-07-03$8.35$6.0033.5%9.6%25.1%15.2%0.0%0.4%11.5%72.0K-3.0M-2.7K0.00114.38N/AN/A004,219992
2014-07-07$8.06$8.0035.1%12.3%29.0%16.9%44.0%-7.6%-0.1%48.3K-2.7M-3.0K0.2244.83N/AN/A46104,219992
2014-07-08$8.01$8.0036.0%13.4%28.9%15.7%42.7%-1.2%2.8%51.6K-2.7M-2.8K0.0954.09N/AN/A5754,199982
2014-07-09$8.13$8.0036.8%12.7%29.0%16.6%0.0%8.7%-0.8%45.3K-2.7M-2.8K0.0031.92N/AN/A404,184977
2014-07-10$7.96$8.0044.4%12.7%28.4%25.0%44.9%15.2%1.4%52.1K-2.6M-2.8K0.08110.33N/AN/A1314,184977
2014-07-11$8.00$8.0042.4%12.2%27.8%22.8%42.4%-2.1%7.4%47.7K-2.6M-3.0K0.00109.87N/AN/A904,197978
2014-07-14$8.00$8.0040.4%11.6%26.5%20.6%41.8%-5.0%3.5%55.7K-2.6M-2.7K1.0436.41N/AN/A25264,206978
2014-07-15$7.68$8.0044.2%12.7%30.2%24.8%0.0%-0.5%-6.0%49.8K-2.4M-2.4K0.00131.71N/AN/A6104,211999
2014-07-16$7.68$8.0045.9%13.2%29.4%26.7%45.1%4.1%-4.1%45.8K-2.3M-2.5K0.0030.22N/AN/A404,187999
2014-07-17$7.48$8.0051.4%14.7%30.6%32.8%61.7%10.0%-5.8%58.7K-2.1M-2.6K0.0035.34N/AN/A5404,187999
2014-07-18$7.64$8.0044.6%12.8%31.5%25.2%0.0%12.2%-2.1%50.1K-2.2M-2.5K0.0030.68N/AN/A9704,191999
2014-07-21$7.61$8.0046.8%13.4%31.5%27.7%35.3%-3.4%-1.7%15.6K-644.4K-2.3K0.00129.98N/AN/A501,479141
2014-07-22$7.66$7.0045.3%13.0%31.4%26.0%0.0%6.7%-3.6%16.5K-653.7K-2.3K0.00120.00N/AN/A0111,484141
2014-07-23$7.54$7.0037.3%10.7%31.3%17.2%62.8%4.8%-2.7%15.0K-623.1K-2.3K0.00121.47N/AN/A4701,484152
2014-07-24$7.26$6.0043.0%12.3%32.5%23.5%44.1%-4.6%-0.4%15.5K-598.7K-2.3K0.0047.27N/AN/A3501,531152
2014-07-25$6.94$6.0047.3%13.6%35.4%28.2%49.5%2.8%-2.7%14.4K-473.6K-2.3K0.09114.92N/AN/A111101,556152
2014-07-28$6.86$6.0052.4%15.0%35.2%33.9%56.9%-14.9%-5.6%16.2K-439.8K-2.3K0.3316.79N/AN/A42141,667162
2014-07-29$6.93$6.0056.3%16.1%33.2%38.2%75.1%-13.1%-10.8%16.8K-468.5K-2.3K0.0040.65N/AN/A9001,705176
2014-07-30$7.22$6.0047.7%13.7%37.1%28.6%50.3%15.8%2.2%17.2K-603.6K-2.3K0.63116.83N/AN/A40251,788176
2014-07-31$6.75$6.0040.6%11.6%42.3%20.8%45.7%-3.5%-0.4%17.5K-484.8K-2.3K0.0922.72N/AN/A4541,827197