FORM Options History — October 2016

In October 2016, FORM traded between $8.98 and $11.11. ATM implied volatility averaged 48.7%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 3.1% (HV 20d: 45.7%). 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 15 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2016-10-06: Highest Volume — 987 contracts
  • 2016-10-31: Largest IV spike — 49.8% change
  • 2016-10-19: Highest IV Rank — 49.8%
  • 2016-10-19: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.37$8.98$11.11$10.70$8.98
Max Pain$9.57$7.00$10.00$7.00$10.00
ATM IV48.7%36.8%55.7%42.4%55.1%
Expected Move14.5%10.5%16.0%12.2%15.8%
HV 20d45.7%28.4%57.8%54.9%57.8%
HV 60d43.5%40.5%49.5%42.3%49.5%
IV Rank39.9%23.0%49.8%31.0%49.0%
IV Percentile57.7%5.6%85.7%33.7%83.3%
Term Structure64.6%-18.5%149.0%11.3%-16.8%
VWIV51.4%35.9%58.4%44.9%54.7%
Skew 25d1.0%-8.9%13.1%13.1%-8.9%
Skew 10d2.9%-11.8%19.7%19.7%18.4%
Call IV 25d51.0%34.5%62.6%35.0%53.0%
Put IV 25d52.0%44.1%55.7%48.1%44.1%
Bid-Ask Spread %70.9525.85114.48107.2143.85
Gamma HHI0.440.230.930.240.42
Net GEX33.9K4.5K60.0K51.2K4.6K
Net DEX-2.3M-3.6M6.2K-3.2M6.2K
Net VEX-1.8K-2.7K-1.2K-2.2K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.210.880.370.48
Total Volume639.429247987629247
Total OI3,870.7621,4015,0344,3991,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$10.70$7.0042.4%12.2%54.9%31.0%44.9%13.1%11.3%51.2K-3.2M-2.2K0.37107.21N/AN/A4601694,116283
2016-10-04$10.66$7.0039.1%11.2%54.9%26.2%41.2%10.3%10.7%50.3K-3.2M-2.0K0.3693.86N/AN/A4741694,143283
2016-10-05$11.11$7.0041.6%11.9%56.8%29.8%46.7%8.1%7.6%35.0K-3.6M-1.6K0.34114.48N/AN/A5441854,143283
2016-10-06$10.99$10.0039.3%14.8%56.3%26.6%48.8%3.6%130.6%52.9K-3.6M-2.5K0.2287.60N/AN/A8071804,552299
2016-10-07$10.84$10.0043.4%14.8%50.9%32.4%47.9%4.7%132.1%56.2K-3.4M-2.7K0.2257.62N/AN/A8071804,562299
2016-10-10$10.74$10.0039.5%14.6%51.1%26.8%49.8%3.4%140.3%53.2K-3.4M-2.3K0.2187.30N/AN/A8101694,562299
2016-10-11$10.39$10.0045.9%14.8%50.7%35.9%52.0%1.9%148.6%47.7K-3.1M-1.9K0.3294.93N/AN/A5231694,570304
2016-10-12$10.45$10.0052.2%15.0%50.3%44.8%56.0%-0.5%149.0%52.6K-3.1M-2.0K0.3595.17N/AN/A4861694,560305
2016-10-13$10.48$10.0053.9%15.5%49.7%47.3%51.5%3.0%132.8%46.5K-3.2M-1.7K0.4592.09N/AN/A4862184,560305
2016-10-14$10.44$10.0050.4%14.5%49.7%42.4%50.8%3.1%86.9%36.1K-3.2M-1.8K0.4295.06N/AN/A5152184,560365
2016-10-17$10.27$10.0052.9%15.2%47.9%45.8%58.4%-2.0%90.2%35.4K-3.1M-1.7K0.4192.12N/AN/A5382184,582365
2016-10-18$10.19$10.0053.8%15.4%48.0%47.1%57.3%-4.3%75.9%36.5K-3.0M-1.7K0.4152.04N/AN/A5382184,618365
2016-10-19$10.38$10.0055.7%16.0%47.2%49.8%56.9%-2.3%139.4%60.0K-3.0M-2.0K0.3945.58N/AN/A5552184,618365
2016-10-20$10.13$10.0053.7%15.4%28.7%47.0%55.9%-4.8%95.4%42.6K-3.0M-1.6K0.5453.97N/AN/A4892634,627365
2016-10-21$10.18$10.0052.4%15.0%28.7%45.2%50.4%6.8%80.9%9.4K-3.1M-1.6K0.5199.49N/AN/A5112634,635399
2016-10-24$10.38$10.0051.3%14.7%28.7%43.5%53.3%-6.9%-10.0%9.2K-214.1K-1.6K0.7532.14N/AN/A1761321,194207
2016-10-25$10.56$10.0054.5%15.6%28.4%48.2%55.6%-3.4%-18.5%11.0K-246.5K-1.7K0.8832.12N/AN/A1761551,204207
2016-10-26$10.22$10.0054.8%15.7%29.0%48.5%57.4%-7.8%-13.6%8.2K-169.2K-1.6K0.7731.40N/AN/A1991531,204243
2016-10-27$10.53$10.0054.4%15.6%31.2%47.9%54.8%-6.5%-15.5%9.6K-235.5K-1.8K0.5225.85N/AN/A2171131,227271
2016-10-28$9.17$10.0036.8%10.5%57.7%23.0%35.9%9.7%-0.4%4.5K-3.9K-1.2K0.3356.02N/AN/A233781,333288
2016-10-31$8.98$10.0055.1%15.8%57.8%49.0%54.7%-8.9%-16.8%4.6K6.2K-1.2K0.4843.85N/AN/A167801,328288