FORM Options History — May 2015

In May 2015, FORM traded between $8.19 and $9.32. ATM implied volatility averaged 38.9%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 24.1% (HV 20d: 63.0%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2015-05-06: Highest Volume — 764 contracts
  • 2015-05-08: Largest IV spike — 38.0% change
  • 2015-05-08: Highest IV Rank — 31.8%
  • 2015-05-07: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.78$8.19$9.32$8.44$9.32
Max Pain$8.05$8.00$9.00$9.00$8.00
ATM IV38.9%32.7%53.5%41.8%35.0%
Expected Move10.5%9.4%12.3%12.0%10.0%
HV 20d63.0%37.1%65.6%59.0%37.1%
HV 60d46.4%41.6%48.0%47.3%41.8%
IV Rank14.1%5.4%31.8%18.0%8.2%
IV Percentile24.3%2.4%79.4%37.3%6.3%
Term Structure0.6%-18.1%23.0%12.4%1.7%
VWIV36.0%27.3%44.6%34.2%44.6%
Skew 25d7.2%-4.2%34.4%34.4%32.6%
Skew 10d9.4%-2.3%25.5%21.9%15.9%
Call IV 25d31.1%21.8%41.2%22.4%21.8%
Put IV 25d38.4%25.9%56.8%56.8%54.4%
Bid-Ask Spread %83.8231.93141.1731.93131.28
Gamma HHI0.350.300.390.320.38
Net GEX21.9K18.0K30.0K23.2K25.2K
Net DEX-492.9K-693.4K-276.1K-361.3K-693.4K
Net VEX-2.5K-3.0K-2.2K-2.6K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.000.490.160.47
Total Volume419.90764723436
Total OI2,3512,0102,6482,5572,116

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$8.44$9.0041.8%12.0%59.0%18.0%34.2%34.4%12.4%23.2K-361.3K-2.6K0.1631.93N/AN/A625982,165392
2015-05-04$8.71$8.0037.5%11.5%60.3%13.0%0.0%15.2%-1.7%28.2K-563.6K-3.0K0.0042.47N/AN/A9802,149410
2015-05-05$8.19$8.0047.7%9.5%63.8%24.9%27.3%6.2%23.0%19.8K-331.4K-2.5K0.1443.65N/AN/A629882,125410
2015-05-06$8.33$8.0049.8%11.6%63.9%27.4%40.2%-4.2%-2.8%20.5K-305.1K-2.5K0.2160.59N/AN/A6291352,110423
2015-05-07$8.35$8.0038.7%12.3%63.8%14.4%42.8%-3.7%-0.0%18.3K-276.1K-2.5K0.3942.81N/AN/A3451352,109473
2015-05-08$8.48$8.0053.5%12.1%64.1%31.8%0.0%12.8%-18.1%23.5K-393.6K-2.7K0.00139.12N/AN/A002,152473
2015-05-11$8.54$8.0051.9%11.0%64.2%30.0%38.7%3.6%-4.2%24.6K-380.1K-2.5K0.0089.61N/AN/A4302,152473
2015-05-12$8.56$8.0037.0%10.0%64.1%12.4%41.0%4.5%0.0%22.4K-354.8K-2.5K0.36141.17N/AN/A3451242,154473
2015-05-13$8.68$8.0038.0%10.9%64.5%13.5%35.7%10.5%-2.0%26.9K-467.3K-2.5K0.46119.38N/AN/A3451592,154473
2015-05-14$9.00$8.0036.1%10.4%65.5%11.3%36.7%10.9%1.3%30.0K-687.1K-2.7K0.3044.48N/AN/A5331582,154494
2015-05-15$9.01$8.0035.7%10.2%65.4%10.9%40.4%16.4%-1.8%18.9K-616.4K-2.6K0.3475.47N/AN/A5331792,146494
2015-05-18$9.07$8.0033.8%9.7%65.2%8.7%33.8%0.2%1.4%18.4K-568.0K-2.6K0.44132.45N/AN/A45201,636374
2015-05-19$8.86$8.0033.3%9.5%65.5%8.0%0.0%-2.1%1.8%19.3K-532.4K-2.5K0.00103.51N/AN/A0101,666362
2015-05-20$8.90$8.0034.0%9.7%65.5%8.8%32.1%2.8%-0.7%18.5K-513.4K-2.5K0.42120.97N/AN/A3311391,666372
2015-05-21$8.95$8.0033.8%9.7%65.4%8.6%28.6%-3.4%1.2%18.0K-519.0K-2.4K0.4658.00N/AN/A3001391,666372
2015-05-22$8.95$8.0032.7%9.4%65.3%5.4%30.0%-2.1%2.2%19.6K-545.2K-2.5K0.46101.22N/AN/A3001391,676372
2015-05-26$8.98$8.0037.5%10.8%65.3%11.2%36.0%-1.9%-3.1%19.6K-548.0K-2.4K0.4944.96N/AN/A2851391,676372
2015-05-27$9.17$8.0033.9%9.7%65.6%6.8%32.3%3.7%0.9%21.7K-591.8K-2.2K0.49105.87N/AN/A2851391,696372
2015-05-28$9.15$8.0036.0%10.3%65.6%9.3%38.3%8.5%0.2%22.1K-610.9K-2.4K0.4047.43N/AN/A3511391,696372
2015-05-29$9.32$8.0035.0%10.0%37.1%8.2%44.6%32.6%1.7%25.2K-693.4K-2.3K0.47131.28N/AN/A2971391,744372