FORM Options History — January 2015

In January 2015, FORM traded between $7.57 and $8.45. ATM implied volatility averaged 63.1%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 26.9% (HV 20d: 36.3%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2015-01-15: Highest Volume — 468 contracts
  • 2015-01-08: Largest IV spike — 67.5% change
  • 2015-01-12: Highest IV Rank — 99.4%
  • 2015-01-02: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.04$7.57$8.45$8.35$7.57
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV63.1%38.3%111.5%67.4%62.3%
Expected Move17.3%13.0%22.9%22.9%17.9%
HV 20d36.3%32.6%38.3%32.6%37.0%
HV 60d46.2%41.9%49.4%49.4%42.6%
IV Rank43.2%14.5%99.4%48.2%42.3%
IV Percentile86.0%34.1%99.6%95.2%91.3%
Term Structure-4.0%-30.1%16.0%16.0%-5.4%
VWIV66.3%48.0%115.7%115.7%50.1%
Skew 25d-8.8%-101.4%21.5%-8.3%-25.0%
Skew 10d-1.7%-67.4%17.2%1.6%-4.5%
Call IV 25d68.6%41.3%151.6%91.6%66.5%
Put IV 25d59.7%41.5%83.3%83.3%41.5%
Bid-Ask Spread %122.6789.32154.53123.63100.25
Gamma HHI0.460.340.760.380.35
Net GEX16.7K6.7K38.4K15.1K7.2K
Net DEX-492.8K-816.6K-252.2K-746.2K-252.2K
Net VEX-1.8K-2.5K-1.5K-2.5K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0014.500.600.53
Total Volume2380468393293
Total OI1,942.651,3102,4632,3771,390

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$8.35$7.0067.4%22.9%32.6%48.2%115.7%-8.3%16.0%15.1K-746.2K-2.5K0.60123.63N/AN/A2451481,801576
2015-01-05$8.45$7.0058.7%14.7%32.6%38.1%0.0%-101.4%0.4%21.7K-816.6K-2.2K0.00137.88N/AN/A001,808581
2015-01-06$8.01$7.0038.3%19.2%37.6%14.5%49.9%4.0%-8.3%38.4K-653.0K-2.0K14.50127.28N/AN/A4581,808581
2015-01-07$8.13$7.0051.4%19.2%37.5%29.7%0.0%5.0%-10.2%24.3K-710.8K-2.1K0.00154.53N/AN/A101,812639
2015-01-08$8.42$7.0086.2%16.9%38.2%70.0%54.2%-11.4%-10.8%22.9K-800.1K-2.1K0.84140.20N/AN/A2442061,811639
2015-01-09$8.27$7.0068.3%16.7%36.2%49.3%71.2%17.2%-13.6%23.0K-800.2K-2.0K0.80124.85N/AN/A2572061,811639
2015-01-12$7.98$7.00111.5%18.1%38.3%99.4%75.0%-5.5%-2.9%16.2K-652.8K-2.0K0.81134.27N/AN/A2552061,824639
2015-01-13$7.97$7.0099.6%22.7%37.9%85.6%80.6%-47.1%-30.1%20.9K-591.4K-2.0K0.96144.41N/AN/A2152061,824639
2015-01-14$7.90$7.0059.2%17.0%37.5%38.7%63.5%-7.4%-2.3%24.6K-544.9K-1.9K0.85119.87N/AN/A2412061,805639
2015-01-15$7.81$7.0055.6%15.9%36.9%34.5%62.7%-5.3%3.1%24.9K-481.5K-1.9K0.79132.80N/AN/A2622061,791639
2015-01-16$7.84$7.0045.5%13.0%34.8%22.8%0.0%-20.9%8.5%35.1K-341.9K-1.7K0.00148.53N/AN/A4501,780639
2015-01-20$8.12$7.0054.3%15.6%37.1%32.9%54.2%3.3%2.8%6.7K-300.1K-1.6K0.00127.42N/AN/A340925385
2015-01-21$8.00$7.0057.4%16.5%37.3%36.6%0.0%10.7%-3.7%7.3K-337.8K-1.6K0.00124.30N/AN/A200953385
2015-01-22$8.07$7.0059.5%17.1%35.7%39.1%62.9%3.5%-5.0%7.0K-311.7K-1.7K0.61115.92N/AN/A183112953385
2015-01-23$8.14$7.0059.1%16.9%35.7%38.6%71.0%15.0%-9.7%8.1K-324.7K-1.6K0.61117.25N/AN/A183112953385
2015-01-26$8.05$7.0056.6%16.2%35.6%35.7%0.0%-6.6%-3.3%7.3K-309.9K-1.6K0.0089.32N/AN/A00953385
2015-01-27$7.90$7.0061.2%17.5%35.5%41.0%76.3%21.5%-6.3%6.9K-279.7K-1.6K0.0093.51N/AN/A100953385
2015-01-28$7.96$7.0056.3%16.1%35.7%35.3%58.5%3.0%-2.4%7.5K-302.4K-1.6K0.5998.91N/AN/A189112963385
2015-01-29$7.90$7.0053.9%15.4%35.4%32.5%48.0%-20.8%3.2%8.1K-297.3K-1.6K0.5998.33N/AN/A1891121,005385
2015-01-30$7.57$7.0062.3%17.9%37.0%42.3%50.1%-25.0%-5.4%7.2K-252.2K-1.5K0.53100.25N/AN/A1911021,005385