FORM Options History — June 2016

In June 2016, FORM traded between $7.38 and $9.10. ATM implied volatility averaged 41.9%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 6.5% (HV 20d: 35.4%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-06-23: Highest Volume — 3,470 contracts
  • 2016-06-28: Largest IV drop — 19.8% change
  • 2016-06-27: Highest IV Rank — 33.0%
  • 2016-06-27: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.18$7.38$9.10$7.41$8.99
Max Pain$6.95$6.00$7.00$6.00$7.00
ATM IV41.9%36.2%52.3%44.4%37.8%
Expected Move12.0%10.4%15.0%12.7%10.8%
HV 20d35.4%28.1%43.3%43.3%28.7%
HV 60d43.6%39.6%46.6%46.6%40.2%
IV Rank22.2%16.2%33.0%24.8%17.9%
IV Percentile24.6%1.2%63.5%38.9%4.4%
Term Structure4.7%-6.9%20.1%1.6%9.5%
VWIV44.9%37.2%69.6%48.7%48.7%
Skew 25d6.7%-11.1%22.2%-4.5%5.1%
Skew 10d13.2%-8.1%31.7%-5.6%8.1%
Call IV 25d39.7%32.2%54.1%48.4%34.8%
Put IV 25d46.4%33.1%55.4%43.9%39.9%
Bid-Ask Spread %78.0222.63145.47105.97145.47
Gamma HHI0.440.410.480.430.48
Net GEX23.6K15.6K39.6K18.1K39.6K
Net DEX-982.7K-1.9M-492.6K-492.9K-1.7M
Net VEX-3.6K-5.9K-2.7K-2.9K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.070.700.380.44
Total Volume924.4094783,4705731,133
Total OI2,984.9552,5074,2592,5264,246

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$7.41$6.0044.4%12.7%43.3%24.8%48.7%-4.5%1.6%18.1K-492.9K-2.9K0.38105.97N/AN/A4141592,088438
2016-06-02$7.40$7.0041.3%12.4%40.7%21.5%41.0%8.9%1.7%18.8K-492.6K-2.8K0.3847.88N/AN/A4141592,088438
2016-06-03$7.38$7.0045.6%13.3%40.7%26.1%51.8%11.6%-6.9%18.3K-514.9K-2.9K0.39103.72N/AN/A4061592,088438
2016-06-06$7.39$7.0043.2%12.0%40.6%23.6%41.7%6.9%1.8%19.2K-492.6K-2.7K0.3922.63N/AN/A4061592,090438
2016-06-07$7.55$7.0045.1%12.0%39.6%25.5%44.4%13.7%4.0%18.0K-554.7K-2.8K0.3933.22N/AN/A4011562,090438
2016-06-08$7.63$7.0039.7%11.4%39.7%19.9%42.7%4.5%1.0%19.5K-581.5K-2.9K0.3982.11N/AN/A4011562,090443
2016-06-09$7.90$7.0038.6%11.1%41.2%18.7%37.2%11.9%3.7%18.9K-692.8K-2.9K0.4645.89N/AN/A3421562,090443
2016-06-10$7.73$7.0039.8%11.4%40.0%20.0%41.9%11.8%3.3%18.0K-659.9K-2.9K0.4695.25N/AN/A3421562,100443
2016-06-13$7.75$7.0044.2%12.7%40.0%24.6%42.4%13.6%-3.2%18.4K-644.5K-2.9K0.4635.86N/AN/A3421562,100443
2016-06-14$7.85$7.0042.4%12.2%39.6%22.7%40.0%5.9%3.3%18.4K-683.4K-2.8K0.4442.33N/AN/A3561562,100443
2016-06-15$7.92$7.0045.2%13.0%39.6%25.6%45.5%10.1%6.1%17.0K-769.2K-2.9K0.44137.09N/AN/A3561562,100443
2016-06-16$8.06$7.0044.1%12.7%38.1%24.5%42.2%-11.1%1.4%19.5K-766.1K-2.7K0.4426.42N/AN/A3581562,100443
2016-06-17$8.18$7.0044.1%12.7%33.2%24.6%42.5%-9.3%-0.7%18.2K-838.5K-2.7K0.4323.27N/AN/A3621562,103443
2016-06-20$8.52$7.0038.0%10.9%28.4%18.2%39.1%11.9%-3.6%18.5K-954.9K-2.7K0.4233.56N/AN/A3371412,064443
2016-06-21$8.73$7.0036.2%10.4%28.3%16.2%39.2%5.1%0.6%15.6K-1.1M-2.7K0.70125.01N/AN/A3182242,071449
2016-06-22$8.79$7.0037.7%10.8%28.1%17.8%40.1%2.9%12.6%16.5K-1.1M-2.7K0.07127.38N/AN/A3,1842242,071509
2016-06-23$9.10$7.0039.2%11.3%28.7%19.4%41.6%8.2%9.3%37.9K-1.9M-5.8K0.0781.54N/AN/A3,2442263,509509
2016-06-24$8.96$7.0045.0%12.9%30.3%25.5%49.0%-1.9%9.9%36.0K-1.9M-5.9K0.29118.12N/AN/A7702263,573509
2016-06-27$8.75$7.0052.3%15.0%32.3%33.0%69.6%6.7%11.3%37.9K-1.5M-5.8K0.45113.78N/AN/A7783483,576683
2016-06-28$8.97$7.0041.9%12.0%29.2%22.3%51.3%22.2%20.1%38.4K-1.7M-5.7K0.4581.74N/AN/A7733483,567683
2016-06-29$8.90$7.0036.3%10.4%29.0%16.4%47.0%13.3%16.6%38.6K-1.6M-5.6K0.4588.12N/AN/A7753483,563683
2016-06-30$8.99$7.0037.8%10.8%28.7%17.9%48.7%5.1%9.5%39.6K-1.7M-5.6K0.44145.47N/AN/A7853483,563683