FORM Options History — February 2016

In February 2016, FORM traded between $6.34 and $8.24. ATM implied volatility averaged 56.7%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 6.5% (HV 20d: 63.1%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2016-02-25: Highest Volume — 1,203 contracts
  • 2016-02-23: Largest IV spike — 40.7% change
  • 2016-02-03: Highest IV Rank — 62.9%
  • 2016-02-03: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.07$6.34$8.24$8.24$7.60
Max Pain$7.25$7.00$9.00$8.00$7.00
ATM IV56.7%44.6%80.9%71.5%44.6%
Expected Move15.1%12.8%23.2%20.5%12.8%
HV 20d63.1%48.2%69.5%48.4%62.9%
HV 60d45.4%35.6%48.1%35.6%48.0%
IV Rank37.6%25.0%62.9%53.0%25.0%
IV Percentile73.2%46.4%98.4%97.6%46.4%
Term Structure-4.8%-23.0%7.0%-13.9%-6.4%
VWIV50.8%42.0%79.1%69.0%43.8%
Skew 25d2.7%-8.7%17.1%-3.4%3.5%
Skew 10d6.8%-23.3%64.3%1.2%9.5%
Call IV 25d50.3%40.8%79.4%60.4%43.9%
Put IV 25d53.1%41.3%75.5%57.1%47.3%
Bid-Ask Spread %62.5932.1888.6574.7366.45
Gamma HHI0.520.230.870.230.39
Net GEX8.6K2.2K29.9K3.8K14.5K
Net DEX-155.7K-565.8K-7.7K-261.0K-565.8K
Net VEX-1.8K-3.9K-1.4K-1.8K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.070.560.400.56
Total Volume632.152001,203726219
Total OI1,574.31,1862,2601,1862,260

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$8.24$8.0071.5%20.5%48.4%53.0%69.0%-3.4%-13.9%3.8K-261.0K-1.8K0.4074.73N/AN/A519207798388
2016-02-02$7.83$8.0059.9%17.2%48.2%41.0%63.2%-3.3%-3.0%3.2K-205.2K-1.7K0.4048.86N/AN/A519206798388
2016-02-03$7.86$8.0080.9%23.2%48.2%62.9%79.1%-3.9%-23.0%3.5K-197.1K-1.7K0.4078.46N/AN/A519206798388
2016-02-04$6.87$9.0061.7%13.1%66.6%42.8%62.4%5.5%-2.7%2.2K-21.8K-1.4K0.3787.38N/AN/A557204798388
2016-02-05$7.03$7.0070.5%13.6%67.1%52.0%42.0%7.4%-0.9%9.8K-178.0K-1.8K0.3934.59N/AN/A5572161,245434
2016-02-08$6.71$7.0076.9%16.5%66.6%58.6%47.6%5.1%-9.4%8.9K-105.7K-1.7K0.3483.78N/AN/A5571911,250446
2016-02-09$6.55$7.0071.7%15.1%66.3%53.3%47.2%17.1%-1.4%9.0K-94.3K-1.6K0.3444.14N/AN/A5571911,250451
2016-02-10$6.45$7.0049.4%14.2%66.3%30.0%45.4%10.5%7.0%8.7K-78.8K-1.6K0.3556.50N/AN/A5491931,250451
2016-02-11$6.34$7.0055.7%16.0%66.4%36.6%48.8%0.1%-3.2%7.2K-18.6K-1.4K0.3551.06N/AN/A5571931,250453
2016-02-12$6.34$7.0049.4%14.2%65.8%30.1%46.6%5.1%5.3%8.0K-7.7K-1.4K0.3558.25N/AN/A5471931,253453
2016-02-16$6.60$7.0049.3%14.1%68.0%29.9%48.5%6.5%-4.4%11.0K-31.8K-1.5K0.3569.65N/AN/A5471931,263463
2016-02-17$6.85$7.0048.1%13.8%69.5%28.7%47.2%4.6%-2.1%12.8K-90.0K-1.5K0.3588.65N/AN/A5471931,263463
2016-02-18$6.95$7.0047.7%13.7%65.2%28.3%46.0%5.1%-2.3%29.9K-127.4K-1.5K0.3552.04N/AN/A5471931,263463
2016-02-19$6.92$7.0045.4%13.0%64.8%25.8%45.5%-8.7%1.4%4.3K-40.4K-1.5K0.3841.73N/AN/A5141931,263463
2016-02-22$7.00$7.0046.2%13.2%63.7%26.7%49.8%-7.8%-4.8%4.4K-106.7K-1.5K0.4887.94N/AN/A15172918349
2016-02-23$7.26$7.0065.0%18.6%65.6%46.2%49.1%5.0%-22.6%5.2K-147.6K-1.6K0.5669.52N/AN/A12872921356
2016-02-24$7.32$7.0047.3%13.6%65.8%27.8%44.8%2.1%-1.8%5.3K-156.7K-1.6K0.5551.68N/AN/A13072941356
2016-02-25$7.29$7.0045.4%13.0%63.4%25.9%44.9%-1.1%-2.1%5.4K-151.5K-1.6K0.0774.29N/AN/A1,12677938356
2016-02-26$7.46$7.0047.2%13.5%63.9%27.7%44.4%5.3%-6.1%13.9K-527.2K-3.9K0.5432.18N/AN/A150811,896361
2016-02-29$7.60$7.0044.6%12.8%62.9%25.0%43.8%3.5%-6.4%14.5K-565.8K-3.9K0.5666.45N/AN/A140791,896364