FORM Options History — July 2016

In July 2016, FORM traded between $8.73 and $10.03. ATM implied volatility averaged 48.4%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 17.3% (HV 20d: 31.1%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2016-07-13: Highest Volume — 1,284 contracts
  • 2016-07-08: Largest IV spike — 38.3% change
  • 2016-07-29: Highest IV Rank — 53.2%
  • 2016-07-05: Largest Expected Move — 27.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.61$8.73$10.03$8.96$9.35
Max Pain$8.60$7.00$10.00$7.00$10.00
ATM IV48.4%34.3%59.6%35.5%55.1%
Expected Move14.6%10.2%27.6%10.2%15.8%
HV 20d31.1%27.4%33.4%28.8%31.4%
HV 60d39.8%33.8%41.7%40.3%33.8%
IV Rank37.9%14.3%53.2%15.5%53.2%
IV Percentile52.9%0.8%86.9%0.8%77.0%
Term Structure59.3%-14.0%155.6%13.9%-6.4%
VWIV50.9%35.7%78.9%35.7%53.9%
Skew 25d9.3%-12.1%36.3%-2.4%18.7%
Skew 10d11.1%-5.4%38.0%-2.9%28.4%
Call IV 25d48.9%20.9%68.9%35.1%40.8%
Put IV 25d58.3%32.7%75.8%32.7%59.5%
Bid-Ask Spread %119.82108.15148.50109.12124.23
Gamma HHI0.410.360.500.490.39
Net GEX45.1K39.2K49.6K39.3K49.6K
Net DEX-2.2M-2.7M-1.5M-1.7M-1.9M
Net VEX-5.1K-5.5K-4.7K-5.5K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.370.500.430.42
Total Volume862.255511,2841,160590
Total OI4,010.653,5794,5854,2553,711

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$8.96$7.0035.5%10.2%28.8%15.5%35.7%-2.4%13.9%39.3K-1.7M-5.5K0.43109.12N/AN/A8123483,572683
2016-07-05$8.73$7.5034.3%27.6%31.3%14.3%78.9%25.8%79.7%39.2K-1.5M-5.3K0.46148.50N/AN/A7623483,558683
2016-07-06$8.85$7.5040.3%12.2%31.0%20.5%56.1%4.7%128.4%39.3K-1.6M-5.3K0.45119.41N/AN/A7803483,548683
2016-07-07$9.15$7.5043.1%14.1%32.3%23.4%52.3%11.1%139.0%41.3K-1.8M-5.2K0.43115.58N/AN/A7623283,557683
2016-07-08$9.56$7.5059.6%13.4%33.4%40.6%54.4%22.1%138.1%42.2K-2.1M-5.2K0.42117.39N/AN/A8053353,583673
2016-07-11$9.72$7.5049.6%13.7%31.4%30.2%51.3%24.2%132.2%43.9K-2.3M-5.1K0.42130.96N/AN/A7983353,659681
2016-07-12$9.97$7.5050.5%13.6%31.5%31.1%47.3%4.5%145.0%45.2K-2.5M-4.7K0.43116.96N/AN/A7723353,664681
2016-07-13$9.98$7.5047.2%13.5%31.8%27.7%39.3%17.0%154.7%44.4K-2.6M-4.8K0.37125.83N/AN/A9403443,685681
2016-07-14$9.90$7.5046.8%13.4%32.6%40.4%42.7%9.0%155.6%48.6K-2.6M-5.3K0.42116.66N/AN/A8263443,901684
2016-07-15$10.03$7.5048.5%13.9%32.5%43.0%47.3%27.7%147.0%44.5K-2.7M-5.1K0.41122.27N/AN/A8313443,869684
2016-07-18$9.95$7.5046.5%13.3%33.2%39.9%46.9%1.5%-6.9%44.5K-2.3M-5.1K0.46126.02N/AN/A4141923,401178
2016-07-19$9.87$10.0048.2%13.8%31.6%42.6%51.0%12.3%1.2%46.5K-2.3M-5.2K0.50114.59N/AN/A3821923,460194
2016-07-20$9.88$10.0049.3%14.1%31.0%44.2%51.9%2.0%0.9%45.9K-2.3M-5.0K0.45112.82N/AN/A3821723,476194
2016-07-21$9.64$10.0050.9%14.6%32.9%46.8%49.6%36.3%-2.5%46.2K-2.1M-5.3K0.42117.65N/AN/A3871643,476204
2016-07-22$9.65$10.0048.6%13.9%30.9%43.2%47.6%-12.1%-11.7%47.4K-2.1M-5.2K0.44108.15N/AN/A3871713,463212
2016-07-25$9.72$10.0052.7%15.1%30.2%49.5%55.3%-0.0%-1.2%48.3K-2.2M-5.0K0.41113.63N/AN/A4151713,463225
2016-07-26$9.80$10.0053.6%15.4%28.3%50.9%55.2%-6.3%-14.0%48.3K-2.2M-5.1K0.40119.09N/AN/A4231713,499225
2016-07-27$9.86$10.0052.5%15.1%27.4%49.2%47.0%-3.8%-1.4%48.8K-2.3M-4.9K0.44119.88N/AN/A3891713,485225
2016-07-28$9.68$10.0054.7%15.7%28.3%52.6%53.7%-5.4%-5.9%48.4K-2.2M-4.9K0.45117.75N/AN/A3971783,485225
2016-07-29$9.35$10.0055.1%15.8%31.4%53.2%53.9%18.7%-6.4%49.6K-1.9M-5.1K0.42124.23N/AN/A4151753,479232