FORM Options History — September 2014

In September 2014, FORM traded between $7.03 and $8.41. ATM implied volatility averaged 42.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 30.2% (HV 20d: 72.9%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2014-09-02: Highest Volume — 343 contracts
  • 2014-09-29: Largest IV spike — 41.5% change
  • 2014-09-30: Highest IV Rank — 41.9%
  • 2014-09-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.63$7.03$8.41$8.41$7.17
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV42.7%30.6%59.7%46.1%59.7%
Expected Move11.7%9.6%13.4%12.1%13.4%
HV 20d72.9%31.7%76.9%74.7%31.7%
HV 60d53.5%52.8%54.0%52.8%53.7%
IV Rank23.2%9.7%41.9%26.9%41.9%
IV Percentile67.2%8.7%98.4%86.9%98.4%
Term Structure-1.7%-32.7%30.9%-3.9%-32.7%
VWIV37.0%31.9%40.3%34.3%40.3%
Skew 25d3.5%-15.2%17.6%13.8%-9.8%
Skew 10d6.4%-2.6%21.4%-1.0%2.2%
Call IV 25d38.7%20.6%49.6%42.0%49.4%
Put IV 25d42.2%32.1%57.2%55.8%39.6%
Bid-Ask Spread %103.6671.40132.63124.74114.74
Gamma HHI0.410.340.570.370.40
Net GEX22.7K14.9K29.2K14.9K18.2K
Net DEX-815.8K-1.1M-468.9K-1.1M-536.3K
Net VEX-2.1K-2.4K-1.9K-2.0K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.000.780.780.64
Total Volume3103433430
Total OI2,242.4292,0022,3902,0022,030

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$8.41$7.0046.1%12.1%74.7%26.9%34.3%13.8%-3.9%14.9K-1.1M-2.0K0.78124.74N/AN/A1931501,801201
2014-09-03$8.09$7.0043.2%12.6%75.6%23.7%0.0%-8.4%6.2%19.6K-1.1M-2.4K0.00102.22N/AN/A501,944351
2014-09-04$7.96$7.0035.0%11.1%75.9%14.6%0.0%8.1%6.1%21.6K-1.0M-2.2K0.2282.02N/AN/A64141,949351
2014-09-05$8.01$7.0038.6%11.8%75.7%18.6%31.9%-7.8%-9.6%21.2K-1.0M-2.4K0.6771.40N/AN/A30201,949365
2014-09-08$7.91$7.0049.6%11.2%76.0%30.7%0.0%0.3%-2.8%21.7K-1.0M-2.3K0.0087.71N/AN/A1001,979385
2014-09-09$7.69$7.0045.3%11.1%76.9%26.1%0.0%-9.1%-6.2%21.6K-952.2K-2.3K0.0098.08N/AN/A001,989385
2014-09-10$7.74$7.0044.5%11.3%75.6%25.2%0.0%-0.7%-2.9%22.8K-904.6K-2.3K0.00100.05N/AN/A2001,989385
2014-09-11$7.92$7.0040.9%11.6%75.5%21.2%0.0%10.9%-1.9%26.3K-1.0M-2.2K0.00102.50N/AN/A1002,005385
2014-09-12$7.74$7.0045.5%11.3%76.0%26.2%0.0%12.5%-4.7%22.7K-910.7K-2.3K0.0094.65N/AN/A1001,995385
2014-09-15$7.67$7.0038.4%12.8%74.8%18.4%0.0%6.1%2.2%26.1K-895.6K-2.2K0.00118.81N/AN/A1102,005385
2014-09-16$7.67$7.0038.1%11.8%74.6%18.1%0.0%-4.0%-0.7%26.2K-860.6K-2.1K0.00120.00N/AN/A001,995385
2014-09-17$7.62$7.0039.0%9.6%74.6%19.0%0.0%-4.1%-0.3%23.6K-878.5K-2.1K0.00115.92N/AN/A301,995385
2014-09-18$7.63$7.0037.6%11.3%74.5%17.5%39.3%7.6%-2.5%23.0K-868.1K-2.2K0.0096.68N/AN/A1001,984385
2014-09-19$7.37$7.0041.3%11.8%75.3%21.5%39.4%-15.2%-17.5%21.5K-726.1K-2.2K0.0083.92N/AN/A3401,994385
2014-09-22$7.21$7.0050.0%11.4%75.8%31.2%0.0%12.7%30.9%21.8K-564.6K-2.1K0.0091.59N/AN/A001,735321
2014-09-23$7.03$7.0047.0%11.5%75.4%27.9%40.3%17.4%-6.5%22.7K-468.9K-2.0K0.00108.03N/AN/A0211,735321
2014-09-24$7.18$7.0030.6%13.2%73.8%9.7%0.0%4.5%17.8%29.2K-512.9K-2.0K0.00117.77N/AN/A001,735341
2014-09-25$7.36$7.0038.7%12.4%74.3%18.7%0.0%9.9%2.1%20.5K-541.6K-2.0K0.00132.63N/AN/A001,735341
2014-09-26$7.46$7.0036.6%11.8%72.3%16.3%0.0%11.5%0.9%26.1K-654.2K-1.9K0.6488.23N/AN/A28181,735341
2014-09-29$7.43$7.0051.7%10.4%72.0%33.1%0.0%17.6%-9.4%24.4K-619.4K-1.9K0.00125.14N/AN/A001,707323
2014-09-30$7.17$7.0059.7%13.4%31.7%41.9%0.0%-9.8%-32.7%18.2K-536.3K-2.0K0.00114.74N/AN/A001,707323