FORM Options History — August 2014

In August 2014, FORM traded between $6.61 and $7.31. ATM implied volatility averaged 42.1%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 2.5% (HV 20d: 44.6%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2014-08-15: Highest Volume — 317 contracts
  • 2014-08-14: Largest IV drop — 53.5% change
  • 2014-08-13: Highest IV Rank — 63.1%
  • 2014-08-20: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.98$6.61$7.31$6.70$7.04
Max Pain$6.74$6.00$8.00$6.00$7.00
ATM IV42.1%28.2%78.8%43.1%35.3%
Expected Move12.0%8.6%14.5%12.4%11.0%
HV 20d44.6%40.0%47.8%41.0%42.2%
HV 60d44.3%35.8%49.5%49.1%38.1%
IV Rank22.4%7.1%63.1%23.6%14.9%
IV Percentile62.6%3.6%99.2%79.8%34.9%
Term Structure11.1%-3.2%82.1%-3.2%24.7%
VWIV39.5%33.9%46.5%46.5%39.3%
Skew 25d1.6%-8.9%11.7%0.8%-2.2%
Skew 10d2.5%-12.1%58.0%6.6%-3.8%
Call IV 25d35.4%28.7%47.2%44.6%37.7%
Put IV 25d37.0%27.0%45.6%45.4%35.5%
Bid-Ask Spread %93.8015.02151.4748.0890.97
Gamma HHI0.420.360.490.380.44
Net GEX19.6K14.5K24.5K17.7K18.3K
Net DEX-586.9K-732.7K-458.8K-477.5K-569.9K
Net VEX-2.1K-2.2K-2.0K-2.2K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.001.290.001.00
Total Volume32.429031796
Total OI2,066.8571,9382,2442,0731,999

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$6.70$6.0043.1%12.4%41.0%23.6%0.0%0.8%-3.2%17.7K-477.5K-2.2K0.0048.08N/AN/A901,872201
2014-08-04$6.61$8.0037.3%12.5%40.0%17.1%0.0%7.0%1.3%18.5K-458.8K-2.1K0.00105.19N/AN/A601,881176
2014-08-05$6.93$8.0049.7%13.3%44.8%30.9%46.5%-1.0%-2.5%19.6K-515.6K-2.1K1.0039.84N/AN/A881,881164
2014-08-06$6.91$7.0043.4%12.1%44.1%23.8%0.0%4.7%-0.0%20.2K-543.4K-2.2K0.00115.24N/AN/A1401,889172
2014-08-07$6.85$7.0042.6%8.6%43.8%23.1%33.9%-4.5%15.2%18.8K-582.3K-2.2K0.87138.25N/AN/A38331,903172
2014-08-08$6.83$6.0032.6%12.0%43.6%11.9%41.5%-3.5%3.1%19.8K-537.4K-2.1K0.0062.69N/AN/A10001,931205
2014-08-11$6.95$6.0048.7%11.7%44.5%29.7%0.0%0.2%2.2%22.2K-641.6K-2.2K0.00108.83N/AN/A4002,031205
2014-08-12$6.73$6.0051.4%11.5%43.7%32.8%0.0%-6.2%2.4%21.6K-559.3K-2.1K0.0015.02N/AN/A002,036205
2014-08-13$6.92$6.0078.8%11.5%45.3%63.1%0.0%-0.4%-0.7%22.2K-583.5K-2.0K0.0055.17N/AN/A002,036205
2014-08-14$6.86$6.0036.6%10.5%44.7%16.4%36.7%-0.9%3.4%23.7K-576.9K-2.0K0.3030.04N/AN/A2062,032205
2014-08-15$7.17$6.0040.2%11.5%47.1%20.3%38.9%11.7%4.8%24.5K-732.7K-2.1K0.11126.04N/AN/A286312,036208
2014-08-18$7.31$0.0028.2%11.0%47.8%7.1%0.0%3.0%16.4%20.4K-653.9K-2.2K0.00134.17N/AN/A001,763175
2014-08-19$7.29$0.0041.0%11.3%47.7%21.2%39.3%10.8%0.2%21.6K-655.4K-2.1K1.2986.33N/AN/A14181,763175
2014-08-20$7.22$7.0042.3%14.5%47.5%22.7%0.0%11.2%-0.1%20.9K-641.9K-2.2K0.0088.13N/AN/A1001,777193
2014-08-21$7.08$7.0038.6%11.7%46.1%18.6%0.0%2.1%5.7%18.7K-580.8K-2.2K0.00122.67N/AN/A0101,777193
2014-08-22$7.07$7.0039.1%12.2%43.1%19.1%0.0%-8.9%6.5%19.8K-565.7K-2.1K0.00109.59N/AN/A001,777198
2014-08-25$6.85$7.0042.8%13.4%44.4%23.2%0.0%1.7%40.5%14.5K-583.2K-2.1K0.0091.23N/AN/A2001,777198
2014-08-26$7.19$7.0037.2%13.2%47.6%17.0%0.0%7.1%6.4%15.9K-626.9K-2.1K0.00133.13N/AN/A401,797198
2014-08-27$7.19$7.0040.0%12.4%45.3%20.1%0.0%5.2%24.6%17.0K-646.6K-2.2K0.00151.47N/AN/A001,801198
2014-08-28$6.87$7.0035.1%13.3%41.5%14.7%0.0%-4.5%82.1%15.0K-592.2K-2.1K0.00117.75N/AN/A001,801198
2014-08-29$7.04$7.0035.3%11.0%42.2%14.9%0.0%-2.2%24.7%18.3K-569.9K-2.0K1.0090.97N/AN/A331,801198