FORM Options History — December 2014

In December 2014, FORM traded between $7.76 and $8.65. ATM implied volatility averaged 57.6%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 17.5% (HV 20d: 40.2%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-12-03: Highest Volume — 854 contracts
  • 2014-12-29: Largest IV spike — 65.3% change
  • 2014-12-29: Highest IV Rank — 78.8%
  • 2014-12-03: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.32$7.76$8.65$7.76$8.60
Max Pain$7.40$7.00$9.00$7.00$7.00
ATM IV57.6%42.9%93.7%51.5%51.8%
Expected Move16.9%13.3%26.8%14.6%15.6%
HV 20d40.2%31.0%56.2%53.0%31.0%
HV 60d50.0%48.8%50.7%48.8%49.1%
IV Rank37.6%21.3%78.8%31.2%30.1%
IV Percentile88.0%59.9%98.4%90.5%86.1%
Term Structure0.5%-44.6%20.9%-1.4%-9.2%
VWIV64.4%47.8%112.2%48.7%71.3%
Skew 25d-0.6%-74.4%25.1%-8.1%-6.0%
Skew 10d-3.3%-61.3%35.4%-0.4%1.5%
Call IV 25d58.7%33.6%97.8%61.3%63.2%
Put IV 25d58.0%23.4%95.0%53.3%57.2%
Bid-Ask Spread %128.7295.40157.19101.06144.28
Gamma HHI0.440.390.490.430.40
Net GEX24.6K15.8K38.0K25.0K20.5K
Net DEX-936.4K-1.1M-757.9K-757.9K-898.6K
Net VEX-2.8K-3.5K-2.3K-3.3K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.003.640.900.00
Total Volume553.3181985481919
Total OI3,037.1822,3023,4523,3672,384

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$7.76$7.0051.5%14.6%53.0%31.2%48.7%-8.1%-1.4%25.0K-757.9K-3.3K0.90101.06N/AN/A4323872,567800
2014-12-02$8.21$7.0065.2%18.8%56.2%46.7%47.8%25.1%0.5%27.1K-950.7K-3.4K0.95127.65N/AN/A4244032,577800
2014-12-03$8.32$7.0063.0%26.8%56.1%44.2%54.6%3.7%20.1%25.1K-981.0K-3.5K0.89128.26N/AN/A4514032,591830
2014-12-04$8.43$7.0047.0%14.4%37.0%26.0%0.0%18.1%9.0%33.8K-1.1M-3.4K3.64113.55N/AN/A451642,622830
2014-12-05$8.47$7.0057.2%14.6%37.0%37.7%49.1%5.0%-0.9%34.7K-1.1M-3.3K0.6499.39N/AN/A4152652,617752
2014-12-08$8.29$7.0055.1%14.7%37.3%35.2%48.0%-12.9%-2.1%32.1K-1.1M-3.2K0.6296.99N/AN/A4252652,617752
2014-12-09$8.53$7.0057.0%13.3%38.8%37.5%48.9%4.2%2.5%38.0K-1.1M-2.9K0.6395.40N/AN/A4212652,617752
2014-12-10$8.21$7.0062.8%14.3%40.8%43.9%49.2%14.4%8.2%34.9K-1.1M-2.9K0.63115.18N/AN/A4212652,599739
2014-12-11$8.16$7.0069.1%14.7%40.3%51.2%65.5%-6.0%2.7%27.2K-961.7K-3.1K0.59134.51N/AN/A4512652,594739
2014-12-12$8.02$7.0068.9%21.7%39.7%51.0%112.2%-74.4%-44.6%22.9K-905.7K-2.7K0.58157.19N/AN/A4562652,594720
2014-12-15$7.88$7.0051.9%16.7%38.5%31.6%57.3%-9.3%10.5%27.8K-795.9K-2.8K0.5496.44N/AN/A5242822,595720
2014-12-16$8.04$7.0042.9%18.7%37.1%21.3%82.7%-8.7%-1.5%21.8K-843.1K-2.8K0.64145.44N/AN/A4382822,640737
2014-12-17$8.30$7.0050.6%18.5%38.5%30.1%74.1%11.6%18.3%18.4K-908.8K-2.6K0.59137.69N/AN/A4762822,638737
2014-12-18$8.39$7.0068.9%16.0%37.3%49.9%90.3%15.4%-32.6%18.4K-1.0M-2.6K0.59129.09N/AN/A4812822,598721
2014-12-19$8.32$7.0047.3%17.2%37.2%24.8%0.0%10.7%20.9%19.8K-996.1K-2.6K0.00151.21N/AN/A5502,626721
2014-12-22$8.57$0.0048.6%14.3%38.6%26.4%0.0%-8.3%6.1%20.7K-816.7K-2.4K1.12154.96N/AN/A2302571,746556
2014-12-23$8.46$0.0054.5%15.5%38.9%33.3%57.2%0.5%-4.2%18.6K-891.3K-2.5K1.22145.86N/AN/A2102571,762556
2014-12-24$8.53$9.0059.4%15.5%38.3%38.9%69.5%-1.8%13.6%17.7K-814.3K-2.6K1.19145.27N/AN/A2162571,766556
2014-12-26$8.65$9.0056.7%18.9%38.4%35.8%65.6%-3.2%8.9%19.3K-827.3K-2.5K0.67115.00N/AN/A2131431,776556
2014-12-29$8.57$9.0093.7%19.7%38.2%78.8%67.9%8.4%-20.4%15.8K-826.5K-2.4K0.67153.09N/AN/A2131431,783576
2014-12-30$8.44$9.0044.8%16.8%36.1%21.9%71.3%7.0%6.9%21.6K-853.8K-2.3K0.00144.34N/AN/A2501,783576
2014-12-31$8.60$7.0051.8%15.6%31.0%30.1%0.0%-6.0%-9.2%20.5K-898.6K-2.3K0.00144.28N/AN/A1901,808576