FORM Options History — September 2015

In September 2015, FORM traded between $6.37 and $6.85. ATM implied volatility averaged 57.6%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 23.5% (HV 20d: 34.0%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2015-09-18: Highest Volume — 641 contracts
  • 2015-09-28: Largest IV spike — 49.5% change
  • 2015-09-29: Highest IV Rank — 64.4%
  • 2015-09-29: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.64$6.37$6.85$6.52$6.77
Max Pain$7.90$7.00$8.00$7.00$8.00
ATM IV57.6%41.7%85.5%81.2%54.9%
Expected Move15.8%12.0%24.5%23.3%15.8%
HV 20d34.0%25.6%42.6%38.6%27.5%
HV 60d53.9%52.9%54.2%52.9%54.0%
IV Rank32.3%14.1%64.4%59.4%29.3%
IV Percentile70.4%29.8%96.8%96.4%73.0%
Term Structure-1.9%-29.4%7.4%-20.1%-1.8%
VWIV54.8%40.0%90.9%90.9%49.4%
Skew 25d10.5%-3.6%30.5%25.2%12.9%
Skew 10d11.5%-14.6%38.5%25.9%22.2%
Call IV 25d50.5%39.0%70.2%65.3%51.4%
Put IV 25d61.1%51.7%90.5%90.5%64.3%
Bid-Ask Spread %57.6421.00130.5264.2253.02
Gamma HHI0.290.240.430.260.25
Net GEX2.3K-736.5K1.8K1.5K
Net DEX108.3K59.1K163.1K63.6K116.3K
Net VEX-896-1.2K-647-1.2K-781
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.000.260.260.14
Total Volume521.8576641481540
Total OI1,801.2381,6831,8631,7491,781

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$6.52$7.0081.2%23.3%38.6%59.4%90.9%25.2%-20.1%1.8K63.6K-1.2K0.2664.22N/AN/A3811001,203546
2015-09-02$6.37$7.0068.5%19.6%38.9%44.8%66.2%15.3%-4.0%1.2K128.4K-9400.2358.43N/AN/A4421001,208546
2015-09-03$6.66$8.0060.4%14.4%42.6%35.6%58.7%6.0%1.0%2.1K79.5K-1.1K0.2361.54N/AN/A4391001,263546
2015-09-04$6.62$8.0067.4%14.9%42.4%43.5%59.8%-3.4%-0.2%2.0K80.6K-1.1K0.1994.01N/AN/A5191001,263546
2015-09-08$6.76$8.0080.0%14.7%40.8%58.0%52.7%6.3%-2.6%1.7K59.1K-1.1K0.0039.78N/AN/A1101,276544
2015-09-09$6.64$8.0052.8%15.1%38.1%26.8%60.1%-3.6%-0.2%2.3K88.6K-9940.1934.61N/AN/A5401001,282544
2015-09-10$6.63$8.0048.9%14.0%37.8%22.4%49.4%9.3%-0.2%2.6K116.4K-8930.1921.53N/AN/A5391001,311544
2015-09-11$6.60$8.0047.3%13.6%35.8%20.5%54.3%3.4%4.3%2.7K120.3K-9070.1938.11N/AN/A5391001,302544
2015-09-14$6.68$8.0050.3%14.4%36.0%24.0%43.2%9.8%-0.8%2.2K94.1K-9320.1935.38N/AN/A5391001,302544
2015-09-15$6.76$8.0048.1%13.8%35.8%21.4%0.0%19.4%0.1%3.2K96.6K-9070.0057.27N/AN/A601,302544
2015-09-16$6.85$8.0048.0%13.8%34.5%21.3%40.0%15.1%-1.2%6.5K105.2K-8290.1934.09N/AN/A5381001,299544
2015-09-17$6.81$8.0047.2%13.5%34.3%20.4%49.7%13.1%3.1%5.6K105.4K-8350.20130.52N/AN/A5251041,299544
2015-09-18$6.75$8.0041.7%12.0%30.0%14.1%41.6%11.3%7.4%62129.8K-8370.1940.29N/AN/A5371041,313550
2015-09-21$6.76$8.0046.5%13.3%29.6%19.7%48.4%15.0%7.1%-73123.9K-8300.1397.87N/AN/A472601,171512
2015-09-22$6.65$8.0050.2%14.4%30.5%23.9%49.0%11.4%3.1%1.3K105.2K-8850.1324.08N/AN/A472601,258512
2015-09-23$6.54$8.0048.3%13.8%31.3%21.7%53.4%6.6%4.0%2.4K132.6K-7770.1321.00N/AN/A472601,258512
2015-09-24$6.54$8.0046.8%13.4%29.7%19.9%41.5%7.2%4.7%1.9K131.3K-7820.1438.03N/AN/A472681,258512
2015-09-25$6.49$8.0054.2%15.5%28.6%28.4%52.0%4.8%4.5%2.7K145.8K-7360.1494.37N/AN/A472681,261520
2015-09-28$6.49$8.0081.0%23.2%26.4%59.2%66.6%30.5%-17.8%3.4K163.1K-6470.1460.68N/AN/A472681,261520
2015-09-29$6.54$8.0085.5%24.5%25.6%64.4%69.4%5.8%-29.4%1.5K89.2K-8650.14111.67N/AN/A472681,261520
2015-09-30$6.77$8.0054.9%15.8%27.5%29.3%49.4%12.9%-1.8%1.5K116.3K-7810.1453.02N/AN/A472681,261520