FORM Options History — December 2015

In December 2015, FORM traded between $8.45 and $9.33. ATM implied volatility averaged 42.1%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 15.1% (HV 20d: 27.0%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-12-15: Highest Volume — 447 contracts
  • 2015-12-09: Largest IV drop — 22.7% change
  • 2015-12-08: Highest IV Rank — 34.2%
  • 2015-12-15: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.86$8.45$9.33$8.93$9.05
Max Pain$7.91$7.00$8.00$7.00$8.00
ATM IV42.1%38.5%53.4%41.7%42.5%
Expected Move11.7%11.0%12.8%12.0%12.2%
HV 20d27.0%25.0%29.0%27.7%27.5%
HV 60d38.7%36.8%39.7%38.2%36.8%
IV Rank22.4%18.6%34.2%22.0%22.8%
IV Percentile31.1%15.1%69.8%27.0%37.7%
Term Structure2.4%-1.8%8.7%-0.8%4.1%
VWIV42.0%36.4%48.9%41.7%44.4%
Skew 25d1.5%-14.4%13.6%-4.5%7.5%
Skew 10d3.1%-22.5%18.0%5.5%14.9%
Call IV 25d40.1%31.6%49.2%38.8%45.9%
Put IV 25d41.6%34.3%53.4%34.3%53.4%
Bid-Ask Spread %41.6726.1990.4237.8231.51
Gamma HHI0.380.310.480.340.42
Net GEX9.9K7.3K12.0K10.3K8.6K
Net DEX-311.0K-422.2K-210.5K-360.2K-298.3K
Net VEX-1.2K-1.3K-1.0K-1.0K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.002.060.701.37
Total Volume340.40911447107325
Total OI1,134.0451,0281,2051,0281,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$8.93$7.0041.7%12.0%27.7%22.0%41.7%-4.5%-0.8%10.3K-360.2K-1.0K0.7037.82N/AN/A6344825203
2015-12-02$9.11$7.0042.2%12.1%27.9%22.5%40.0%-8.8%-1.2%11.1K-422.2K-1.3K0.5231.88N/AN/A236123888247
2015-12-03$8.99$8.0042.7%11.9%28.4%23.0%41.3%1.8%0.3%11.1K-408.5K-1.3K0.5234.06N/AN/A236123903247
2015-12-04$9.00$8.0046.2%11.5%28.0%26.7%38.5%1.4%0.1%11.5K-398.4K-1.3K0.5132.76N/AN/A240123903247
2015-12-07$8.97$8.0045.7%11.9%26.9%26.2%0.0%0.1%-0.4%11.5K-388.1K-1.2K0.0034.75N/AN/A110909247
2015-12-08$8.78$8.0053.4%11.4%28.0%34.2%41.0%0.8%-0.4%10.9K-340.8K-1.2K0.5133.25N/AN/A243123908247
2015-12-09$8.59$8.0041.3%11.8%25.3%21.6%42.9%0.7%-0.4%10.7K-301.0K-1.2K0.4830.71N/AN/A254123908247
2015-12-10$8.80$8.0041.8%12.0%25.0%22.1%42.2%-0.2%-1.8%12.0K-337.0K-1.2K0.4837.43N/AN/A254123909247
2015-12-11$8.50$8.0040.2%11.5%28.3%20.4%43.1%-2.8%8.7%9.5K-273.3K-1.2K0.4836.41N/AN/A254123909247
2015-12-14$8.45$8.0043.2%12.4%28.3%23.6%43.3%0.4%4.9%10.4K-246.7K-1.1K0.6845.28N/AN/A254172909247
2015-12-15$8.50$8.0044.7%12.8%28.1%25.1%43.0%2.4%1.2%10.1K-244.4K-1.2K0.7049.53N/AN/A263184909296
2015-12-16$8.68$8.0040.2%11.5%29.0%20.4%48.9%10.3%2.3%8.0K-304.7K-1.2K0.7090.42N/AN/A263184917275
2015-12-17$8.70$8.0039.4%11.3%25.3%19.6%42.2%10.2%1.5%11.1K-298.2K-1.2K0.7029.24N/AN/A263184917275
2015-12-18$8.68$8.0040.1%11.5%25.0%20.3%42.7%6.7%3.2%7.3K-300.7K-1.1K0.7132.58N/AN/A260184917275
2015-12-21$8.76$8.0040.0%11.5%25.2%20.2%41.6%6.6%5.3%7.6K-210.5K-1.1K2.0638.47N/AN/A89183760274
2015-12-22$8.81$8.0038.5%11.0%25.0%18.6%40.7%5.9%4.5%7.8K-215.2K-1.1K1.8676.32N/AN/A103192754274
2015-12-23$9.03$8.0038.7%11.1%26.1%18.9%42.8%13.6%5.0%9.8K-279.8K-1.1K2.0253.62N/AN/A95192794274
2015-12-24$9.11$8.0039.1%11.2%26.2%19.3%36.4%-2.0%5.5%10.1K-302.9K-1.1K1.4826.19N/AN/A97144801274
2015-12-28$9.05$8.0039.9%11.4%26.4%20.2%37.0%-14.4%2.7%9.6K-280.3K-1.0K1.6161.46N/AN/A152244800275
2015-12-29$9.33$8.0043.0%12.3%28.2%23.4%44.0%-0.6%3.0%10.1K-332.5K-1.1K1.7643.76N/AN/A139244784375
2015-12-30$9.15$8.0042.1%12.1%28.1%22.4%44.1%-2.6%5.8%8.7K-298.9K-1.1K1.7629.30N/AN/A139244791375
2015-12-31$9.05$8.0042.5%12.2%27.5%22.8%44.4%7.5%4.1%8.6K-298.3K-1.1K1.3731.51N/AN/A137188791375