FORM Options History — November 2016

In November 2016, FORM traded between $8.68 and $11.30. ATM implied volatility averaged 44.2%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 14.9% (HV 20d: 59.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2016-11-22: Highest Volume — 1,497 contracts
  • 2016-11-21: Largest IV spike — 49.7% change
  • 2016-11-21: Highest IV Rank — 54.0%
  • 2016-11-21: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.33$8.68$11.30$8.80$11.30
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV44.2%36.5%61.8%36.5%51.1%
Expected Move12.6%10.5%17.7%10.5%14.6%
HV 20d59.1%35.4%66.7%57.9%35.4%
HV 60d50.8%49.0%51.6%49.5%51.6%
IV Rank29.2%16.1%54.0%22.7%37.2%
IV Percentile41.9%4.8%94.0%4.8%71.0%
Term Structure-3.1%-46.6%18.8%8.4%-12.7%
VWIV44.9%39.2%57.5%39.5%57.5%
Skew 25d7.4%-5.3%28.5%-5.3%6.0%
Skew 10d20.3%-0.8%73.8%-0.8%8.4%
Call IV 25d42.0%30.5%51.3%41.9%51.3%
Put IV 25d49.4%36.7%66.5%36.7%57.3%
Bid-Ask Spread %89.3119.99124.7819.9988.61
Gamma HHI0.510.390.660.390.42
Net GEX14.7K2.2K28.6K2.9K28.6K
Net DEX-343.0K-699.1K103.7K71.6K-699.1K
Net VEX-2.1K-4.8K-859-939-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.030.720.570.04
Total Volume608.2861551,4972631,463
Total OI1,830.191,0122,3771,6182,377

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$8.80$10.0036.5%10.5%57.9%22.7%39.5%-5.3%8.4%2.9K71.6K-9390.5719.99N/AN/A167961,328290
2016-11-02$8.68$10.0047.0%13.5%54.7%37.5%41.9%8.8%18.8%2.2K103.7K-8590.7241.73N/AN/A133961,328313
2016-11-03$8.98$10.0037.8%11.8%57.2%24.4%43.3%9.2%-2.9%3.3K53.4K-1.1K0.6183.51N/AN/A158961,328313
2016-11-04$8.95$10.0049.8%12.2%57.2%41.4%43.7%3.5%-5.8%3.5K32.6K-1.1K0.6187.45N/AN/A158961,338313
2016-11-07$9.28$10.0040.0%12.2%59.5%27.6%41.8%28.5%6.7%4.2K-12.2K-1.2K0.4981.34N/AN/A133651,338313
2016-11-08$9.75$10.0044.3%11.5%61.9%33.7%46.3%21.4%-1.6%5.5K-79.2K-1.3K0.1695.25N/AN/A408651,344315
2016-11-09$9.60$10.0040.8%11.7%61.9%28.8%44.3%24.0%4.0%14.3K-125.8K-1.4K0.17119.89N/AN/A379651,541315
2016-11-10$9.68$10.0043.7%12.5%62.0%32.8%40.9%8.8%3.2%14.2K-151.9K-1.4K0.2385.95N/AN/A306701,542315
2016-11-11$10.23$10.0042.6%12.2%65.5%23.8%43.1%5.6%-0.3%21.9K-344.6K-1.6K0.33124.78N/AN/A212701,533323
2016-11-14$10.55$10.0045.3%13.0%66.2%28.2%45.8%9.6%-3.1%19.4K-502.7K-1.4K0.24105.27N/AN/A232551,568323
2016-11-15$10.85$10.0048.3%13.8%66.7%32.8%48.5%0.2%-5.5%12.1K-512.7K-1.4K0.3787.25N/AN/A150551,491328
2016-11-16$10.95$10.0046.0%13.2%66.5%29.3%46.0%2.9%-3.8%12.6K-530.7K-1.4K0.3592.41N/AN/A150521,494328
2016-11-17$11.25$10.0037.7%10.8%66.3%16.1%39.2%0.9%1.5%12.6K-559.4K-1.5K0.42100.80N/AN/A109461,441328
2016-11-18$11.25$10.0041.3%11.8%66.3%21.7%46.9%7.2%7.3%12.1K-551.1K-1.5K0.3397.73N/AN/A141461,440332
2016-11-21$11.05$10.0061.8%17.7%66.5%54.0%47.5%4.2%-46.6%12.2K-362.9K-1.4K0.25100.22N/AN/A16040774238
2016-11-22$11.18$10.0044.1%12.6%66.4%26.2%40.1%10.3%3.2%14.2K-368.5K-1.4K0.0389.44N/AN/A1,45740840241
2016-11-23$11.23$10.0040.3%11.6%65.1%20.3%44.2%2.4%-8.3%28.3K-679.6K-4.8K0.0389.99N/AN/A1,409402,119241
2016-11-25$11.25$10.0041.6%11.9%64.4%22.4%46.7%6.1%-6.4%28.6K-668.2K-4.6K0.03110.63N/AN/A1,409402,126241
2016-11-28$11.20$10.0043.1%12.4%37.1%24.7%45.2%-0.5%-8.0%27.7K-658.6K-4.4K0.0384.88N/AN/A1,407392,126241
2016-11-29$11.00$10.0045.4%13.0%36.8%28.3%49.7%1.6%-14.2%27.5K-656.0K-4.6K0.0488.44N/AN/A1,407542,126241
2016-11-30$11.30$10.0051.1%14.6%35.4%37.2%57.5%6.0%-12.7%28.6K-699.1K-4.6K0.0488.61N/AN/A1,409542,126251