FORM Options History — August 2015

In August 2015, FORM traded between $5.98 and $7.20. ATM implied volatility averaged 47.4%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 22.0% (HV 20d: 69.4%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-08-10: Highest Volume — 2,532 contracts
  • 2015-08-28: Largest IV drop — 30.7% change
  • 2015-08-27: Highest IV Rank — 38.0%
  • 2015-08-27: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.58$5.98$7.20$6.99$6.65
Max Pain$7.14$7.00$8.00$8.00$7.00
ATM IV47.4%39.3%62.5%42.3%56.0%
Expected Move13.4%11.3%17.9%12.1%16.0%
HV 20d69.4%38.1%82.6%81.6%38.3%
HV 60d51.5%50.6%52.9%50.7%52.9%
IV Rank21.2%12.5%38.0%15.9%30.5%
IV Percentile52.8%25.8%90.5%36.9%79.0%
Term Structure-1.5%-11.5%3.6%-1.0%-9.3%
VWIV48.1%27.8%68.3%42.3%68.3%
Skew 25d3.5%-10.6%21.6%2.6%21.6%
Skew 10d8.9%-13.5%36.9%4.2%36.9%
Call IV 25d47.8%30.2%62.2%40.0%56.2%
Put IV 25d51.3%40.8%77.8%42.6%77.8%
Bid-Ask Spread %88.2025.99140.6255.51128.84
Gamma HHI0.630.280.910.840.29
Net GEX-31.9K-83.6K757-82.0K757
Net DEX680.8K92.3K1.1M1.1M92.3K
Net VEX-1.6K-3.3K-577-3.3K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.004.860.350.27
Total Volume697.14302,532400477
Total OI3,747.1431,6475,8025,8021,747

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$6.99$8.0042.3%12.1%81.6%15.9%42.3%2.6%-1.0%-82.0K1.1M-3.3K0.0055.51N/AN/A04002,1603,642
2015-08-04$7.02$8.0039.3%11.3%81.2%12.5%39.7%4.2%3.6%-80.5K968.2K-3.0K0.35104.97N/AN/A4891692,1603,253
2015-08-05$6.89$8.0040.4%11.6%81.1%13.8%41.0%3.0%0.3%-78.0K1.1M-2.8K0.35109.57N/AN/A4871692,1653,238
2015-08-06$6.89$7.0047.5%12.3%81.2%21.8%47.2%0.5%0.6%-64.3K1.1M-2.9K0.4070.01N/AN/A4241692,1683,238
2015-08-07$6.94$7.0041.1%11.4%80.9%14.6%27.8%14.7%2.5%-83.6K1.1M-2.8K4.8425.99N/AN/A4302,0832,1743,240
2015-08-10$7.20$7.0045.6%11.8%82.6%19.6%41.1%6.0%-0.3%-47.7K451.3K-2.1K4.8670.59N/AN/A4322,1002,1742,097
2015-08-11$6.88$7.0042.5%11.5%74.5%16.2%0.0%3.2%0.6%-52.8K699.8K-1.9K0.00108.92N/AN/A302,1762,097
2015-08-12$6.96$7.0039.3%11.3%74.7%12.6%44.8%1.1%2.1%-64.3K666.6K-1.9K1.5544.97N/AN/A4336722,1762,097
2015-08-13$6.72$7.0040.1%11.5%75.4%13.4%39.1%1.3%-0.7%-40.4K653.0K-1.7K0.25113.60N/AN/A4291092,1711,877
2015-08-14$6.66$7.0042.0%12.0%73.2%15.6%47.1%0.1%-0.0%-28.8K730.5K-1.5K0.32138.94N/AN/A3831232,1711,887
2015-08-17$6.57$7.0040.0%11.5%69.1%13.4%45.4%5.4%0.4%-33.1K850.4K-1.2K0.32140.62N/AN/A3831232,1751,870
2015-08-18$6.40$7.0044.9%12.9%69.6%18.9%37.5%0.2%-1.2%-5.7K998.9K-7840.30117.00N/AN/A4041232,1751,855
2015-08-19$6.34$7.0051.1%14.7%69.1%24.9%0.0%6.8%-11.5%-1.2K1.0M-6670.00114.67N/AN/A002,2031,855
2015-08-20$6.07$7.0043.6%12.5%70.4%16.3%44.3%-8.4%1.2%-1.1K996.2K-5770.4395.26N/AN/A4041752,2031,855
2015-08-21$6.02$7.0054.3%15.6%69.4%28.5%55.4%2.5%-3.2%-8.3K907.3K-6300.4277.30N/AN/A4041712,2031,755
2015-08-24$6.00$7.0061.2%17.5%69.3%36.4%60.8%5.3%2.4%44193.5K-6620.30118.33N/AN/A3681101,101546
2015-08-25$5.98$7.0057.0%16.4%69.1%31.7%51.1%0.6%2.9%76182.7K-7390.2663.93N/AN/A3791001,119546
2015-08-26$6.17$7.0060.5%17.4%69.9%35.7%60.9%-10.6%-7.5%125176.5K-7890.2458.96N/AN/A4121001,125546
2015-08-27$6.33$7.0062.5%17.9%38.1%38.0%60.9%-1.5%-10.8%556159.5K-8560.2462.79N/AN/A4171001,178546
2015-08-28$6.53$7.0043.3%12.4%38.7%16.0%59.5%14.8%-1.7%-112161.5K-7820.2631.43N/AN/A3861001,180546
2015-08-31$6.65$7.0056.0%16.0%38.3%30.5%68.3%21.6%-9.3%75792.3K-1.1K0.27128.84N/AN/A3771001,201546