FORM Options History — June 2015

In June 2015, FORM traded between $8.95 and $9.51. ATM implied volatility averaged 40.2%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 17.1% (HV 20d: 23.1%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2015-06-05: Highest Volume — 504 contracts
  • 2015-06-08: Largest IV spike — 57.5% change
  • 2015-06-04: Highest IV Rank — 31.9%
  • 2015-06-30: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.20$8.95$9.51$9.20$9.19
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV40.2%31.8%54.8%37.4%46.5%
Expected Move11.0%9.2%13.3%10.7%13.3%
HV 20d23.1%20.0%32.8%32.8%21.8%
HV 60d41.2%40.6%41.7%41.5%40.6%
IV Rank14.3%4.3%31.9%11.1%21.9%
IV Percentile31.0%1.2%81.7%17.9%61.5%
Term Structure3.9%-8.4%18.1%-8.4%3.3%
VWIV39.4%28.9%50.1%41.7%46.6%
Skew 25d4.0%-10.4%21.6%9.8%0.4%
Skew 10d7.3%-11.8%33.0%16.5%-4.4%
Call IV 25d36.5%25.9%46.3%33.4%46.3%
Put IV 25d40.5%27.4%57.5%43.1%46.8%
Bid-Ask Spread %90.8140.72145.5764.9068.23
Gamma HHI0.370.340.400.400.36
Net GEX23.1K20.2K26.8K26.4K20.2K
Net DEX-617.6K-754.0K-497.9K-689.7K-497.9K
Net VEX-2.0K-2.4K-1.7K-2.3K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.160.470.470.45
Total Volume40737504436403
Total OI1,979.2271,6442,1752,1341,705

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$9.20$8.0037.4%10.7%32.8%11.1%41.7%9.8%-8.4%26.4K-689.7K-2.3K0.4764.90N/AN/A2971391,762372
2015-06-02$9.22$8.0041.1%11.8%31.2%15.5%41.2%10.9%-2.8%26.8K-720.6K-2.4K0.4252.46N/AN/A26111,762372
2015-06-03$9.35$8.0037.0%10.6%20.0%10.5%36.2%2.1%1.6%25.3K-754.0K-2.4K0.40116.05N/AN/A3111251,778382
2015-06-04$9.05$8.0054.8%9.5%24.0%31.9%44.9%6.2%8.7%26.2K-682.2K-2.3K0.40145.57N/AN/A3141251,785382
2015-06-05$9.15$8.0031.8%9.5%24.1%4.3%33.0%-7.4%6.0%24.2K-660.0K-2.2K0.3398.63N/AN/A3791251,793382
2015-06-08$9.01$8.0050.0%10.1%24.7%26.2%34.7%-4.0%5.1%22.6K-612.1K-2.1K0.33130.51N/AN/A3791251,736382
2015-06-09$8.99$8.0045.0%10.8%24.7%20.1%34.8%-10.4%1.7%20.7K-550.7K-2.1K0.3984.51N/AN/A3211251,736382
2015-06-10$9.11$8.0036.7%10.5%25.0%10.2%28.9%3.9%1.6%21.7K-601.7K-2.0K0.3974.61N/AN/A3211251,736382
2015-06-11$9.03$8.0041.9%12.0%25.0%16.4%38.8%-1.3%-1.4%21.4K-575.4K-2.1K0.3847.20N/AN/A3251251,736372
2015-06-12$9.02$8.0035.5%10.2%21.5%8.8%36.6%-1.5%5.4%21.0K-558.1K-1.9K0.3864.42N/AN/A3251251,730372
2015-06-15$8.95$8.0036.3%10.4%21.7%9.6%39.8%21.6%6.1%20.7K-520.5K-1.9K0.37118.72N/AN/A3251201,730372
2015-06-16$9.00$8.0039.1%11.2%21.6%13.1%40.4%8.3%2.1%21.0K-575.8K-1.9K0.3442.72N/AN/A3251111,727367
2015-06-17$9.11$8.0041.8%12.0%20.3%16.3%43.4%19.9%0.7%23.6K-642.0K-2.0K0.32140.39N/AN/A3431111,727368
2015-06-18$9.23$8.0040.6%11.6%20.7%14.9%36.6%2.8%-0.3%22.9K-668.5K-1.9K0.3290.92N/AN/A3461111,726368
2015-06-19$9.31$8.0039.7%11.4%20.8%13.8%43.9%8.3%1.6%22.5K-723.7K-1.9K0.30121.00N/AN/A3861161,726368
2015-06-22$9.51$8.0035.4%10.1%21.8%8.6%42.8%7.0%18.1%24.0K-623.1K-1.8K0.16125.02N/AN/A317521,434233
2015-06-23$9.49$8.0036.1%10.3%21.9%9.4%35.3%0.8%9.5%26.0K-615.8K-1.7K0.1964.80N/AN/A268521,440233
2015-06-24$9.48$8.0038.9%11.1%20.9%12.8%37.1%3.8%3.7%23.7K-619.3K-1.8K0.2040.72N/AN/A266521,441233
2015-06-25$9.49$8.0039.7%11.4%20.8%13.7%44.2%7.2%3.3%23.4K-611.1K-1.8K0.2764.22N/AN/A284781,411233
2015-06-26$9.38$8.0032.1%9.2%20.4%4.7%35.8%-2.9%16.6%22.3K-570.5K-1.8K0.35100.07N/AN/A270951,418264
2015-06-29$9.15$8.0046.0%13.2%21.8%21.4%50.1%2.7%2.9%21.1K-515.3K-1.7K0.39142.22N/AN/A2701051,419266
2015-06-30$9.19$8.0046.5%13.3%21.8%21.9%46.6%0.4%3.3%20.2K-497.9K-1.7K0.4568.23N/AN/A2771261,419286