FORM Options History — March 2015

In March 2015, FORM traded between $8.75 and $10.28. ATM implied volatility averaged 41.4%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 3.5% (HV 20d: 44.8%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-03-30: Highest Volume — 726 contracts
  • 2015-03-05: Largest IV drop — 26.1% change
  • 2015-03-04: Highest IV Rank — 26.1%
  • 2015-03-04: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.21$8.75$10.28$10.28$8.87
Max Pain$7.32$7.00$8.00$8.00$8.00
ATM IV41.4%36.1%48.8%38.9%40.0%
Expected Move11.9%10.3%14.0%11.1%11.5%
HV 20d44.8%25.9%52.2%37.7%25.9%
HV 60d40.9%37.6%42.1%37.6%40.5%
IV Rank17.4%11.2%26.1%14.5%15.8%
IV Percentile36.1%9.9%69.8%29.0%28.6%
Term Structure2.9%-31.1%10.5%9.7%8.2%
VWIV41.2%26.0%61.5%41.6%37.7%
Skew 25d0.3%-18.9%16.7%16.7%0.7%
Skew 10d5.1%-5.7%17.9%11.9%11.8%
Call IV 25d38.3%25.0%51.7%28.2%36.3%
Put IV 25d38.6%31.3%48.2%44.8%37.0%
Bid-Ask Spread %78.7639.78130.9352.31121.05
Gamma HHI0.360.280.460.380.30
Net GEX29.7K23.1K38.2K23.1K27.2K
Net DEX-1.0M-1.6M-720.7K-1.6M-848.9K
Net VEX-2.4K-2.7K-1.9K-1.9K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.002.330.260.30
Total Volume260.36410726610506
Total OI2,679.52,4372,9072,4672,907

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$10.28$8.0038.9%11.1%37.7%14.5%41.6%16.7%9.7%23.1K-1.6M-1.9K0.2652.31N/AN/A4841261,961506
2015-03-03$9.43$8.0046.7%13.4%52.2%23.7%61.5%-18.9%-31.1%26.8K-1.3M-2.4K0.5298.28N/AN/A2961541,972507
2015-03-04$9.43$8.0048.8%14.0%50.2%26.1%44.7%5.1%-2.9%26.7K-1.1M-2.5K0.4965.24N/AN/A3251591,961573
2015-03-05$9.19$7.0036.1%13.4%50.7%11.2%44.8%-4.4%1.7%27.9K-1.0M-2.6K0.3176.73N/AN/A4541422,001587
2015-03-06$9.01$7.0042.6%11.7%46.4%18.9%39.3%2.4%6.5%32.3K-973.4K-2.7K0.3161.09N/AN/A4641422,115601
2015-03-09$9.24$7.0040.3%10.8%47.0%16.2%37.3%6.9%10.5%33.1K-1.1M-2.6K2.3383.47N/AN/A372,126611
2015-03-10$9.12$7.0048.6%12.5%47.1%25.9%44.1%-6.9%5.5%31.9K-1.0M-2.6K1.7686.21N/AN/A17302,126614
2015-03-11$9.13$7.0044.4%12.7%47.0%21.0%44.0%-1.4%4.0%31.8K-1.1M-2.6K0.5062.45N/AN/A842,126614
2015-03-12$9.17$7.0041.3%11.9%46.9%17.4%0.0%0.2%8.4%33.5K-1.0M-2.5K0.0065.87N/AN/A0402,128612
2015-03-13$9.21$7.0042.8%12.3%46.9%19.1%0.0%-6.3%-0.0%32.6K-1.1M-2.4K0.0051.53N/AN/A0202,128642
2015-03-16$9.36$7.0045.3%13.0%47.1%22.0%43.2%5.4%-1.1%32.4K-1.2M-2.3K0.0072.64N/AN/A3002,128622
2015-03-17$9.48$7.0043.8%12.6%47.0%20.2%35.4%11.3%-0.5%33.9K-1.3M-2.3K0.33130.93N/AN/A932,158622
2015-03-18$9.33$7.0040.8%11.7%47.4%16.7%39.3%-2.2%4.1%37.4K-1.2M-2.2K0.0087.02N/AN/A7402,167625
2015-03-19$9.26$7.0039.1%11.2%45.7%14.7%46.0%-5.9%3.1%38.2K-1.1M-2.2K0.0071.62N/AN/A8002,128625
2015-03-20$9.13$7.0042.0%12.0%45.7%18.2%40.7%-3.8%0.0%28.2K-1.1M-2.2K1.0758.25N/AN/A1621732,159625
2015-03-23$9.29$7.0038.1%10.9%46.1%13.5%26.0%12.6%3.4%25.7K-901.3K-2.2K0.0066.85N/AN/A10101,794643
2015-03-24$9.29$7.0036.1%10.3%41.3%11.2%0.0%2.0%9.6%27.2K-962.8K-2.2K0.0039.78N/AN/A1001,844643
2015-03-25$8.92$7.0037.0%10.6%43.3%12.3%36.9%-1.2%8.0%25.7K-777.1K-2.2K0.37102.98N/AN/A123451,854643
2015-03-26$8.90$8.0036.8%10.5%42.8%12.0%40.0%-2.2%5.4%26.0K-787.8K-2.4K0.3392.34N/AN/A4261391,973685
2015-03-27$8.75$8.0042.8%12.3%43.0%19.1%42.8%-6.1%2.0%24.0K-720.7K-2.5K0.3776.22N/AN/A180662,003685
2015-03-30$8.86$8.0038.1%10.9%39.2%13.6%36.6%2.6%8.5%27.9K-821.1K-2.6K0.29109.85N/AN/A5631632,176729
2015-03-31$8.87$8.0040.0%11.5%25.9%15.8%37.7%0.7%8.2%27.2K-848.9K-2.7K0.30121.05N/AN/A3901162,176731