FORM Options History — September 2016

In September 2016, FORM traded between $9.20 and $10.85. ATM implied volatility averaged 43.8%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 2.3% (HV 20d: 41.5%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-09-23: Highest Volume — 1,009 contracts
  • 2016-09-13: Largest IV spike — 65.7% change
  • 2016-09-13: Highest IV Rank — 100.0%
  • 2016-09-01: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.15$9.20$10.85$10.45$10.83
Max Pain$7.29$7.00$10.00$10.00$7.00
ATM IV43.8%34.4%91.1%44.8%36.4%
Expected Move11.4%9.9%12.9%12.9%10.4%
HV 20d41.5%28.9%55.5%32.8%55.0%
HV 60d38.8%34.2%43.7%35.1%43.0%
IV Rank34.0%19.7%100.0%37.4%22.5%
IV Percentile28.9%2.0%100.0%42.1%4.4%
Term Structure57.2%-4.4%132.1%-4.4%12.2%
VWIV40.2%33.3%57.4%45.3%36.7%
Skew 25d2.2%-6.7%7.0%1.2%-3.2%
Skew 10d5.9%-5.0%21.8%1.7%-2.0%
Call IV 25d39.3%32.3%44.6%43.5%40.3%
Put IV 25d41.5%35.4%49.5%44.8%37.1%
Bid-Ask Spread %75.5435.71114.7979.33114.79
Gamma HHI0.350.230.470.340.23
Net GEX54.8K32.1K68.8K49.8K38.2K
Net DEX-2.7M-3.4M-1.8M-2.9M-3.4M
Net VEX-2.9K-3.7K-1.6K-3.3K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.220.610.550.36
Total Volume709.5715651,009627632
Total OI4,1403,9604,4173,9604,399

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$10.45$10.0044.8%12.9%32.8%37.4%45.3%1.2%-4.4%49.8K-2.9M-3.3K0.5579.33N/AN/A4052223,700260
2016-09-02$10.64$10.0037.7%10.8%33.4%26.4%37.8%2.6%3.7%51.3K-3.0M-3.2K0.6160.20N/AN/A3622213,700260
2016-09-06$10.63$7.0044.7%11.3%32.6%37.1%36.1%0.3%117.5%49.0K-3.1M-2.7K0.5267.36N/AN/A4272213,700260
2016-09-07$10.62$7.0040.7%10.9%29.8%31.0%36.5%4.0%119.1%48.0K-3.1M-2.5K0.5156.29N/AN/A4272183,766260
2016-09-08$10.39$7.0046.5%11.0%28.9%39.9%36.6%3.7%125.3%50.3K-2.9M-3.0K0.4947.96N/AN/A4432183,766266
2016-09-09$9.74$7.0047.1%11.1%37.2%40.9%41.2%4.2%127.8%61.9K-2.3M-3.5K0.4043.95N/AN/A4801933,769266
2016-09-12$9.82$7.0055.0%12.1%36.5%53.0%41.5%2.5%121.4%61.0K-2.3M-3.5K0.3435.71N/AN/A5761933,765265
2016-09-13$9.46$7.0091.1%12.8%37.4%100.0%42.8%4.9%131.1%65.6K-2.1M-3.7K0.3497.30N/AN/A5581913,901265
2016-09-14$9.34$7.0039.6%11.4%36.2%27.0%35.3%6.9%132.1%68.2K-2.2M-3.1K0.4247.35N/AN/A4601913,890265
2016-09-15$9.59$7.0040.5%11.6%37.9%28.3%43.0%-0.1%117.5%65.3K-2.2M-3.6K0.4470.52N/AN/A4301913,880265
2016-09-16$9.55$7.0038.6%11.1%37.4%25.6%42.4%5.6%123.0%63.6K-2.1M-3.4K0.4643.77N/AN/A4161913,875265
2016-09-19$9.20$7.0043.5%12.5%35.4%32.6%57.4%-1.9%2.9%68.3K-1.8M-3.4K0.46101.06N/AN/A3881773,750243
2016-09-20$9.32$7.0044.4%12.7%35.2%33.8%43.2%-6.7%2.7%68.8K-1.9M-3.3K0.3687.87N/AN/A4851773,751252
2016-09-21$9.62$7.0039.0%11.2%37.5%26.1%43.3%6.9%9.1%65.1K-2.3M-3.2K0.3683.99N/AN/A4791733,801252
2016-09-22$10.70$7.0034.4%9.9%53.9%19.7%38.1%1.4%11.7%40.7K-3.3M-1.9K0.2351.63N/AN/A7801813,804250
2016-09-23$10.60$7.0038.1%10.9%54.0%24.9%33.3%7.0%9.8%54.3K-3.1M-2.7K0.2299.15N/AN/A8301794,081270
2016-09-26$10.37$7.0042.8%12.3%54.6%31.6%36.7%3.7%5.0%55.4K-2.9M-2.7K0.22104.15N/AN/A8301794,081276
2016-09-27$10.58$7.0038.3%11.0%54.8%25.1%39.9%-1.3%12.5%46.3K-3.2M-1.9K0.2699.36N/AN/A6971834,081276
2016-09-28$10.85$7.0037.5%10.7%55.5%24.0%38.6%2.0%12.1%32.1K-3.4M-1.6K0.3996.13N/AN/A4771884,061286
2016-09-29$10.77$7.0039.6%11.3%55.1%26.9%39.0%3.5%9.5%47.4K-3.4M-1.8K0.3698.47N/AN/A4631694,135282
2016-09-30$10.83$7.0036.4%10.4%55.0%22.5%36.7%-3.2%12.2%38.2K-3.4M-1.7K0.36114.79N/AN/A4631694,116283