FORM Options History — May 2016

In May 2016, FORM traded between $6.48 and $7.42. ATM implied volatility averaged 44.9%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 5.3% (HV 20d: 50.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2016-05-20: Highest Volume — 617 contracts
  • 2016-05-19: Largest IV spike — 37.0% change
  • 2016-05-19: Highest IV Rank — 39.3%
  • 2016-05-19: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.02$6.48$7.42$7.32$7.19
Max Pain$6.14$6.00$7.00$7.00$6.00
ATM IV44.9%33.1%58.3%55.8%41.9%
Expected Move12.7%9.5%16.7%16.0%12.0%
HV 20d50.2%43.0%58.0%46.1%43.0%
HV 60d44.7%43.1%46.5%44.7%46.5%
IV Rank25.3%13.1%39.3%36.6%22.2%
IV Percentile39.5%1.2%83.7%76.6%24.6%
Term Structure-1.8%-15.1%17.9%-15.1%3.9%
VWIV42.6%32.6%52.0%52.0%51.9%
Skew 25d5.1%-4.8%19.4%2.6%-3.3%
Skew 10d6.2%-5.0%22.8%0.0%-4.6%
Call IV 25d42.4%34.6%50.5%49.9%49.5%
Put IV 25d47.4%37.0%55.6%52.5%46.2%
Bid-Ask Spread %50.4021.68118.1640.4554.34
Gamma HHI0.490.400.620.490.43
Net GEX13.1K8.9K18.6K13.6K18.6K
Net DEX-346.1K-510.9K-140.7K-489.2K-413.3K
Net VEX-3.0K-3.4K-2.5K-3.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.380.850.850.38
Total Volume506.476390617393573
Total OI2,546.9522,4812,6902,4812,526

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$7.32$7.0055.8%16.0%46.1%36.6%52.0%2.6%-15.1%13.6K-489.2K-3.4K0.8540.45N/AN/A2121811,929552
2016-05-03$7.14$7.0049.1%14.1%46.8%29.8%47.9%-2.3%-7.3%12.0K-401.1K-3.3K0.8525.46N/AN/A2121801,929557
2016-05-04$6.87$7.0046.8%13.4%48.6%27.3%46.3%0.1%-3.9%11.3K-317.9K-3.2K0.7362.08N/AN/A2461801,929571
2016-05-05$6.85$6.0045.9%12.0%48.6%26.3%48.5%3.1%0.5%10.4K-282.6K-3.0K0.7172.61N/AN/A2311641,919571
2016-05-06$6.82$6.0044.5%12.1%48.6%25.0%35.7%12.6%-3.2%10.7K-253.6K-2.9K0.7236.87N/AN/A2311661,919571
2016-05-09$7.05$6.0048.3%12.5%50.2%28.8%39.0%7.5%-1.6%10.9K-359.1K-3.2K0.7441.23N/AN/A2241661,919567
2016-05-10$7.10$6.0044.0%12.6%50.3%24.5%40.4%6.4%-3.8%11.2K-354.8K-3.1K0.7427.14N/AN/A2241661,922567
2016-05-11$7.12$6.0044.2%12.7%48.8%24.6%38.3%-3.7%-3.0%10.6K-382.5K-3.1K0.7422.92N/AN/A2241661,922567
2016-05-12$6.89$6.0042.9%12.3%49.5%23.3%48.3%2.5%-3.4%10.9K-299.5K-3.0K0.7435.37N/AN/A2241661,922567
2016-05-13$6.96$6.0043.4%12.4%49.7%23.8%34.1%16.4%-2.2%8.9K-322.7K-3.0K0.3844.44N/AN/A4321661,922567
2016-05-16$6.88$6.0043.9%12.6%49.8%24.2%34.7%14.6%-3.4%10.1K-264.6K-2.9K0.3871.35N/AN/A4321662,122567
2016-05-17$6.91$6.0042.8%12.3%49.6%23.1%32.6%14.6%-0.7%9.1K-294.2K-2.9K0.3821.68N/AN/A4321662,122567
2016-05-18$6.75$6.0042.6%12.2%50.1%22.9%35.2%13.8%1.4%10.6K-229.1K-2.7K0.39107.40N/AN/A4391692,122567
2016-05-19$6.48$6.0058.3%16.7%51.4%39.3%45.4%8.8%-11.4%13.0K-140.7K-2.5K0.3929.74N/AN/A4381692,122567
2016-05-20$6.93$6.0041.9%12.0%57.6%22.2%39.0%19.4%-0.1%15.4K-222.5K-2.7K0.3834.98N/AN/A4481692,123567
2016-05-23$7.11$6.0042.1%12.1%58.0%22.5%41.6%0.4%1.6%16.8K-399.0K-2.9K0.3840.31N/AN/A4231592,086438
2016-05-24$7.25$6.0045.9%13.2%57.4%26.4%48.7%-3.7%-4.2%17.5K-451.4K-3.0K0.3835.61N/AN/A4141592,086438
2016-05-25$7.20$6.0041.5%11.9%57.3%21.8%47.0%-1.5%1.5%17.9K-433.5K-2.9K0.38101.26N/AN/A4141592,087438
2016-05-26$7.27$6.0043.1%12.3%48.0%23.4%48.2%-4.8%-2.3%18.0K-445.7K-2.9K0.3834.95N/AN/A4141592,088438
2016-05-27$7.42$6.0033.1%9.5%44.5%13.1%39.4%3.1%17.9%18.1K-510.9K-3.0K0.38118.16N/AN/A4141592,088438
2016-05-31$7.19$6.0041.9%12.0%43.0%22.2%51.9%-3.3%3.9%18.6K-413.3K-2.7K0.3854.34N/AN/A4141592,088438