FORM Options History — August 2016

In August 2016, FORM traded between $9.42 and $10.87. ATM implied volatility averaged 43.0%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 2.4% (HV 20d: 40.6%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.39.

Notable Days

  • 2016-08-05: Highest Volume — 839 contracts
  • 2016-08-08: Largest IV spike — 74.5% change
  • 2016-08-01: Highest IV Rank — 64.4%
  • 2016-08-01: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.39$9.42$10.87$9.42$10.37
Max Pain$9.91$9.00$10.00$10.00$10.00
ATM IV43.0%27.4%62.4%62.4%44.1%
Expected Move12.4%8.1%17.9%17.9%12.6%
HV 20d40.6%31.4%46.2%31.4%32.8%
HV 60d35.6%33.8%37.8%33.8%35.1%
IV Rank34.6%10.5%64.4%64.4%36.2%
IV Percentile32.8%0.4%92.5%92.5%37.3%
Term Structure-0.7%-22.0%23.4%-21.9%-2.8%
VWIV43.9%28.1%66.0%62.3%43.2%
Skew 25d8.2%-5.4%33.5%5.9%2.3%
Skew 10d15.5%-10.2%91.6%0.7%2.3%
Call IV 25d41.8%26.2%66.1%66.1%43.0%
Put IV 25d50.0%41.2%98.6%72.0%45.3%
Bid-Ask Spread %73.4339.04123.50119.6789.78
Gamma HHI0.340.310.390.390.35
Net GEX53.1K41.2K72.2K51.1K54.5K
Net DEX-2.9M-3.4M-2.0M-2.0M-2.8M
Net VEX-3.9K-4.9K-3.0K-4.9K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.000.550.400.55
Total Volume595.26111839583627
Total OI4,025.5653,7304,2473,7303,922

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$9.42$10.0062.4%17.9%31.4%64.4%62.3%5.9%-21.9%51.1K-2.0M-4.9K0.40119.67N/AN/A4171663,494236
2016-08-02$9.84$9.0059.5%17.1%32.7%60.0%66.0%33.5%-22.0%46.9K-2.3M-4.8K0.29114.80N/AN/A5661623,530237
2016-08-03$10.58$9.0028.2%8.1%40.3%11.8%60.5%1.4%13.7%46.1K-2.9M-4.5K0.38123.50N/AN/A5272003,663241
2016-08-04$10.49$10.0048.3%11.0%39.7%42.6%32.1%10.1%10.1%51.4K-3.0M-4.1K0.3962.77N/AN/A5452113,723251
2016-08-05$10.54$10.0027.4%11.8%37.2%10.5%41.4%-0.6%-3.7%55.5K-3.1M-4.1K0.3460.88N/AN/A6252143,836243
2016-08-08$10.75$10.0047.8%15.6%37.3%41.9%38.8%25.2%9.4%49.3K-3.3M-4.0K0.3859.11N/AN/A5632143,936236
2016-08-09$10.37$10.0049.0%12.0%39.2%43.8%42.5%-2.4%0.8%58.3K-3.0M-4.2K0.3767.15N/AN/A5762143,942236
2016-08-10$10.07$10.0040.8%11.7%40.8%31.1%41.5%-5.4%0.8%67.3K-2.7M-4.7K0.4759.67N/AN/A4632193,951242
2016-08-11$10.00$10.0039.8%11.4%40.7%29.6%39.4%13.1%6.3%68.9K-2.7M-4.6K0.4871.25N/AN/A4632243,953246
2016-08-12$10.21$10.0040.6%11.6%41.1%30.9%41.7%-2.3%-2.9%69.4K-2.8M-4.3K0.4678.06N/AN/A4812193,953251
2016-08-15$10.44$10.0034.8%10.0%41.7%21.9%33.8%25.3%23.4%55.7K-3.0M-3.9K0.4964.14N/AN/A4422163,955252
2016-08-16$10.66$10.0044.9%12.9%42.0%37.4%47.6%10.5%-7.9%55.3K-3.3M-3.6K0.4961.28N/AN/A4462203,961253
2016-08-17$10.52$10.0044.2%12.7%42.4%36.4%44.4%9.2%-6.9%56.5K-3.3M-3.7K0.0053.15N/AN/A1103,971240
2016-08-18$10.29$10.0038.1%10.9%42.2%27.0%0.0%5.3%3.0%72.2K-3.1M-3.8K0.2639.04N/AN/A3593,982240
2016-08-19$10.71$10.0041.4%11.9%44.1%32.1%40.6%7.8%-3.6%44.3K-3.4M-3.4K0.4370.68N/AN/A5332283,979268
2016-08-22$10.87$10.0042.9%12.3%44.3%34.4%40.6%5.5%1.6%41.2K-3.1M-3.0K0.4170.31N/AN/A4701913,583229
2016-08-23$10.64$10.0048.0%13.8%45.3%42.3%50.1%0.6%-19.5%44.6K-2.9M-3.5K0.4370.07N/AN/A4451913,639229
2016-08-24$10.41$10.0040.6%11.6%46.2%30.8%40.2%5.1%1.1%47.0K-2.9M-3.6K0.0070.77N/AN/A2803,657210
2016-08-25$10.41$10.0034.7%9.9%45.5%21.7%28.1%20.6%21.7%46.7K-2.9M-3.5K0.5176.36N/AN/A3771913,667229
2016-08-26$10.35$10.0041.9%12.0%43.4%32.8%41.6%7.4%-0.5%48.4K-2.8M-3.7K0.5086.84N/AN/A3791913,669229
2016-08-29$10.51$10.0045.8%13.1%43.6%38.9%45.6%4.4%-9.1%46.3K-2.9M-3.2K0.5356.71N/AN/A3872043,669229
2016-08-30$10.57$10.0045.0%12.9%41.2%37.6%44.4%5.6%-6.7%44.7K-3.0M-3.1K0.5162.93N/AN/A3972043,684242
2016-08-31$10.37$10.0044.1%12.6%32.8%36.2%43.2%2.3%-2.8%54.5K-2.8M-3.1K0.5589.78N/AN/A4052223,680242