FORM Options History — March 2016

In March 2016, FORM traded between $7.26 and $8.15. ATM implied volatility averaged 41.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 0.7% (HV 20d: 41.1%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2016-03-30: Highest Volume — 321 contracts
  • 2016-03-30: Largest IV spike — 72.3% change
  • 2016-03-30: Highest IV Rank — 46.2%
  • 2016-03-30: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.63$7.26$8.15$7.72$7.26
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV41.8%36.5%64.9%44.3%51.2%
Expected Move12.0%10.5%18.6%12.7%14.7%
HV 20d41.1%29.9%63.3%63.3%52.6%
HV 60d49.6%47.6%54.2%47.9%53.3%
IV Rank22.1%16.6%46.2%24.7%31.9%
IV Percentile29.5%8.7%93.3%44.8%67.9%
Term Structure3.0%-6.7%33.1%-5.0%-1.0%
VWIV41.7%36.0%71.0%45.6%50.6%
Skew 25d5.3%-13.4%19.7%7.8%-5.0%
Skew 10d8.1%-11.2%25.8%11.6%-10.1%
Call IV 25d41.4%34.1%73.2%43.3%55.3%
Put IV 25d46.7%37.2%66.2%51.1%50.4%
Bid-Ask Spread %59.8621.88146.0136.2947.19
Gamma HHI0.420.370.500.380.50
Net GEX14.7K11.7K17.3K14.6K11.7K
Net DEX-589.6K-771.2K-423.9K-601.1K-423.9K
Net VEX-3.8K-4.0K-3.4K-3.9K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.441.650.631.65
Total Volume249.955204321204307
Total OI2,286.4552,2402,4042,2542,404

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$7.72$7.0044.3%12.7%63.3%24.7%45.6%7.8%-5.0%14.6K-601.1K-3.9K0.6336.29N/AN/A125791,890364
2016-03-02$7.73$7.0042.0%12.0%60.8%22.3%45.9%7.8%-3.0%14.9K-608.4K-3.9K0.5445.60N/AN/A147791,893364
2016-03-03$7.85$7.0041.8%11.1%61.0%22.1%39.4%3.7%2.1%15.5K-653.1K-4.0K0.4465.23N/AN/A183801,897364
2016-03-04$7.75$7.0042.8%11.5%35.3%23.1%41.2%3.5%2.4%15.4K-646.7K-4.0K0.4446.69N/AN/A183801,930365
2016-03-07$7.53$7.0042.2%11.9%36.7%22.6%37.1%6.9%0.6%14.5K-570.5K-3.9K0.4436.59N/AN/A183801,925365
2016-03-08$7.49$7.0038.6%13.2%31.9%18.8%46.2%3.2%33.1%12.1K-639.5K-3.9K0.44146.01N/AN/A183801,925365
2016-03-09$7.57$7.0040.7%11.7%29.9%21.0%38.6%8.4%3.5%14.5K-545.0K-3.8K0.4436.78N/AN/A183801,925365
2016-03-10$7.36$7.0046.0%13.2%31.5%26.5%41.9%-0.1%0.6%13.6K-531.6K-3.7K0.4457.15N/AN/A183801,925365
2016-03-11$7.63$7.0037.3%10.7%31.8%17.5%37.0%8.0%4.4%14.4K-563.9K-3.8K0.4426.09N/AN/A183801,925365
2016-03-14$7.61$7.0039.6%11.4%32.0%19.8%36.0%7.7%0.0%14.8K-581.8K-3.7K0.4421.88N/AN/A183801,925365
2016-03-15$7.76$7.0039.4%11.3%30.1%19.6%36.7%10.4%1.8%14.6K-637.0K-3.8K0.5989.83N/AN/A157921,926365
2016-03-16$7.41$7.0036.5%10.5%33.7%16.6%36.2%1.5%5.0%15.7K-545.8K-3.6K0.59126.42N/AN/A157921,931371
2016-03-17$7.65$7.0039.1%11.2%35.0%19.3%37.2%6.8%1.0%15.1K-575.9K-3.7K0.5838.30N/AN/A158921,931371
2016-03-18$7.72$7.0036.7%10.5%34.8%16.8%37.5%11.4%2.7%16.0K-610.9K-3.7K0.5863.77N/AN/A158921,937371
2016-03-21$8.15$7.0037.7%10.8%38.9%17.8%39.7%6.2%-3.0%17.3K-771.2K-3.8K0.6768.23N/AN/A122821,879361
2016-03-22$7.85$7.0039.4%11.3%40.4%19.6%39.4%13.5%3.0%15.8K-666.8K-3.7K0.5556.59N/AN/A155851,884364
2016-03-23$7.61$7.0038.3%11.0%42.2%18.5%40.4%6.0%6.5%15.6K-594.0K-3.7K0.5470.71N/AN/A158851,903364
2016-03-24$7.56$7.0038.1%10.9%42.3%18.3%39.4%1.9%4.9%15.2K-555.4K-3.7K0.6334.59N/AN/A133841,915364
2016-03-28$7.48$7.0045.9%13.2%41.7%26.4%40.7%1.6%6.1%14.0K-545.5K-3.5K0.6354.99N/AN/A133841,920364
2016-03-29$7.86$7.0037.7%10.8%44.9%17.8%40.5%19.7%7.0%15.9K-654.4K-3.7K0.6856.83N/AN/A130881,920364
2016-03-30$7.27$7.0064.9%18.6%52.7%46.2%71.0%-13.4%-6.7%13.0K-447.9K-3.4K1.4791.18N/AN/A1301911,922364
2016-03-31$7.26$7.0051.2%14.7%52.6%31.9%50.6%-5.0%-1.0%11.7K-423.9K-3.6K1.6547.19N/AN/A1161911,922482