FORM Options History — July 2015

In July 2015, FORM traded between $6.40 and $9.17. ATM implied volatility averaged 57.2%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 15.4% (HV 20d: 41.8%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-07-15: Highest Volume — 4,777 contracts
  • 2015-07-14: Largest IV spike — 87.5% change
  • 2015-07-14: Highest IV Rank — 100.0%
  • 2015-07-16: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.70$6.40$9.17$9.16$7.21
Max Pain$8.36$8.00$9.00$8.00$8.00
ATM IV57.2%37.1%116.6%44.0%42.4%
Expected Move14.4%10.6%18.8%12.6%12.2%
HV 20d41.8%17.3%81.3%21.2%81.3%
HV 60d44.9%39.0%50.6%40.6%50.4%
IV Rank33.5%10.7%100.0%19.0%16.1%
IV Percentile74.9%17.1%100.0%48.4%38.1%
Term Structure-4.9%-29.4%11.4%3.4%0.0%
VWIV52.8%37.4%70.6%44.0%42.5%
Skew 25d0.7%-11.0%14.6%-0.4%-4.7%
Skew 10d10.1%-13.2%123.0%-4.2%-6.0%
Call IV 25d53.0%33.9%65.0%43.8%47.8%
Put IV 25d53.7%37.2%65.3%43.3%43.1%
Bid-Ask Spread %93.5730.95147.1970.0661.49
Gamma HHI0.530.260.870.380.75
Net GEX-16.3K-70.7K20.9K20.3K-70.7K
Net DEX399.5K-506.2K1.6M-506.2K837.7K
Net VEX-2.8K-4.8K-1.2K-1.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.232.750.460.38
Total Volume805.2734054,777405677
Total OI3,941.4551,7516,1411,7515,777

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$9.16$8.0044.0%12.6%21.2%19.0%44.0%-0.4%3.4%20.3K-506.2K-1.7K0.4670.06N/AN/A2771281,442309
2015-07-02$9.17$8.0037.1%10.6%17.6%10.7%37.4%3.2%11.4%20.9K-483.1K-1.7K0.46138.12N/AN/A2771281,442311
2015-07-06$9.12$9.0059.3%13.7%17.3%37.3%48.7%1.9%-6.0%19.1K-478.0K-1.6K0.4662.96N/AN/A2791281,442311
2015-07-07$8.77$9.0055.5%13.1%21.6%32.8%47.1%-4.0%-1.9%16.1K-367.7K-1.5K0.4676.62N/AN/A2791281,440311
2015-07-08$8.56$9.0066.6%14.1%23.1%46.1%49.1%-6.3%-6.3%14.5K-329.7K-1.5K0.81122.71N/AN/A2792271,440311
2015-07-09$8.52$9.0059.3%12.5%22.3%37.4%45.0%-7.1%-1.3%12.6K-268.5K-1.6K0.9430.95N/AN/A2942751,440411
2015-07-10$8.64$9.0054.2%12.8%23.0%31.2%46.0%-2.1%-3.2%12.4K-249.7K-1.7K0.9457.81N/AN/A2942751,450463
2015-07-13$8.65$9.0062.2%13.2%23.1%40.8%47.0%-0.3%-8.8%14.0K-227.9K-1.5K0.8940.50N/AN/A3102751,460463
2015-07-14$7.73$9.00116.6%12.5%45.5%100.0%70.6%-1.1%-9.1%4.9K-28.5K-1.2K0.75147.19N/AN/A3072311,476463
2015-07-15$7.76$9.0055.9%16.0%45.4%31.4%55.9%6.6%-15.6%3.2K-19.8K-1.3K2.75133.46N/AN/A1,2733,5041,491464
2015-07-16$7.74$8.0065.6%18.8%44.9%42.3%68.2%8.7%-29.4%-21.2K210.6K-4.8K0.23133.77N/AN/A1,2702982,4893,645
2015-07-17$7.32$8.0055.3%15.9%47.2%30.6%56.6%-4.6%9.2%-33.2K550.4K-4.7K1.27127.18N/AN/A2513182,5063,635
2015-07-20$6.82$8.0051.6%14.8%50.9%26.4%52.3%2.9%-4.7%-41.4K1.1M-4.1K1.12109.05N/AN/A2743081,8353,525
2015-07-21$6.83$8.0050.9%14.6%49.5%25.6%51.4%5.6%-6.1%-43.5K1.1M-4.0K0.9096.79N/AN/A2832561,8933,557
2015-07-22$6.96$8.0051.5%14.8%50.8%26.3%55.3%1.1%-4.7%-45.5K1.0M-4.2K0.8948.05N/AN/A2882571,9503,573
2015-07-23$6.87$8.0051.0%14.6%50.6%25.8%57.6%2.8%-4.3%-45.5K1.0M-4.1K0.6850.64N/AN/A3182151,9623,573
2015-07-24$6.61$8.0057.6%16.5%50.7%33.2%57.1%-11.0%-12.2%-38.9K1.3M-3.7K0.70130.19N/AN/A3182241,9923,574
2015-07-27$6.50$8.0061.3%17.6%50.7%37.5%59.4%6.3%-10.7%-42.4K1.4M-3.2K0.5099.80N/AN/A4762371,9923,584
2015-07-28$6.55$8.0059.2%17.0%51.4%35.0%59.5%3.3%-8.2%-43.1K1.4M-3.4K0.55103.62N/AN/A4762612,1673,584
2015-07-29$6.40$8.0058.2%16.7%50.9%33.9%53.9%0.9%-9.1%-48.9K1.6M-2.7K0.5590.60N/AN/A4782612,1673,587
2015-07-30$7.50$8.0044.0%12.6%80.8%17.8%57.8%14.6%10.9%-22.4K411.7K-4.5K0.63126.90N/AN/A4933112,1683,637
2015-07-31$7.21$8.0042.4%12.2%81.3%16.1%42.5%-4.7%0.0%-70.7K837.7K-3.7K0.3861.49N/AN/A4891882,1403,637