FORM Options History — December 2016

In December 2016, FORM traded between $10.25 and $11.93. ATM implied volatility averaged 51.4%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.5% (HV 20d: 49.0%). 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 18 of 21 days. Put/call ratio averaged 0.04.

Notable Days

  • 2016-12-05: Highest Volume — 2,075 contracts
  • 2016-12-12: Largest IV spike — 156.5% change
  • 2016-12-12: Highest IV Rank — 100.0%
  • 2016-12-01: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.28$10.25$11.93$10.25$11.23
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV51.4%37.8%136.4%50.6%39.4%
Expected Move11.9%10.8%14.5%14.5%11.3%
HV 20d49.0%38.8%53.9%52.2%38.8%
HV 60d52.1%49.2%55.4%55.4%50.3%
IV Rank27.6%9.5%100.0%36.4%11.0%
IV Percentile45.7%9.5%100.0%70.2%17.9%
Term Structure2.8%-9.2%10.0%-9.2%10.0%
VWIV48.7%37.6%66.1%52.2%55.9%
Skew 25d4.0%-12.4%19.8%8.8%10.9%
Skew 10d8.7%-5.3%33.1%18.1%22.3%
Call IV 25d42.9%37.4%52.1%46.8%46.5%
Put IV 25d46.9%29.3%57.5%55.6%57.5%
Bid-Ask Spread %75.1648.33116.60100.5366.05
Gamma HHI0.340.330.400.400.33
Net GEX36.2K17.7K43.7K17.9K38.5K
Net DEX-1.2M-1.6M-415.1K-415.1K-1.2M
Net VEX-5.9K-6.6K-3.5K-3.8K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.020.160.020.16
Total Volume1,121.1431082,0751,456111
Total OI2,929.6672,3773,0742,3772,981

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$10.25$10.0050.6%14.5%52.2%36.4%52.2%8.8%-9.2%17.9K-415.1K-3.8K0.02100.53N/AN/A1,423332,126251
2016-12-02$10.45$10.0048.2%13.8%51.5%32.7%48.2%2.2%-8.3%17.7K-421.2K-3.5K0.02107.25N/AN/A2,039332,131254
2016-12-05$10.65$10.0044.3%12.0%51.4%26.6%40.2%3.0%2.5%29.0K-939.2K-5.3K0.0255.28N/AN/A2,039362,742254
2016-12-06$10.90$10.0049.8%11.2%50.7%35.2%40.9%3.1%9.4%31.2K-1.1M-5.6K0.0279.64N/AN/A1,975362,747259
2016-12-07$11.18$10.0059.7%12.7%48.8%50.7%39.9%4.7%0.4%37.0K-1.2M-6.1K0.0279.13N/AN/A1,975362,747259
2016-12-08$11.50$10.0065.1%11.6%48.6%59.2%43.3%2.0%0.8%36.9K-1.4M-6.5K0.0255.35N/AN/A1,973362,747259
2016-12-09$11.40$10.0053.2%11.4%49.0%40.5%41.5%4.1%1.5%38.3K-1.3M-6.5K0.0252.32N/AN/A1,972362,737254
2016-12-12$11.13$10.00136.4%13.1%46.9%100.0%46.6%2.1%-1.1%35.2K-1.2M-5.7K0.0255.28N/AN/A1,981362,737254
2016-12-13$11.40$10.0091.9%11.4%46.5%59.2%43.5%6.2%0.6%34.8K-1.3M-6.5K0.0581.10N/AN/A783362,753254
2016-12-14$11.20$10.0043.4%12.4%46.2%14.7%42.3%1.7%1.6%35.9K-1.2M-5.8K0.0481.33N/AN/A845362,752254
2016-12-15$11.60$10.0038.0%10.9%47.6%9.8%53.7%5.3%3.9%39.1K-1.4M-6.6K0.0592.43N/AN/A698362,816254
2016-12-16$11.45$10.0040.3%11.6%47.1%11.9%59.4%2.0%1.7%37.3K-1.4M-6.2K0.0588.82N/AN/A726362,820254
2016-12-19$11.75$10.0037.8%10.8%47.9%9.5%47.8%10.3%2.8%41.6K-1.4M-6.1K0.0259.64N/AN/A714152,740188
2016-12-20$11.90$10.0040.5%11.6%47.4%12.0%42.8%-4.1%5.3%43.5K-1.6M-6.6K0.0248.33N/AN/A694152,736188
2016-12-21$11.43$10.0041.7%12.0%49.8%13.1%57.4%-12.4%3.4%40.4K-1.4M-6.4K0.0269.92N/AN/A689152,751188
2016-12-22$11.40$10.0038.9%11.2%49.8%10.6%51.4%0.2%7.2%39.7K-1.3M-6.1K0.0263.14N/AN/A729152,751188
2016-12-23$11.58$10.0038.1%10.9%50.1%9.8%37.6%8.7%7.1%41.1K-1.4M-6.2K0.02116.60N/AN/A731152,781188
2016-12-27$11.93$10.0040.7%11.7%51.0%12.2%48.7%19.8%8.2%43.7K-1.6M-6.4K0.0258.52N/AN/A710152,777188
2016-12-28$11.35$10.0043.9%12.6%53.9%15.2%62.8%1.3%5.4%40.6K-1.3M-5.9K0.1564.34N/AN/A98152,791188
2016-12-29$11.28$10.0038.1%10.9%53.1%9.8%66.1%5.2%4.4%39.9K-1.3M-6.2K0.16103.40N/AN/A93152,796188
2016-12-30$11.23$10.0039.4%11.3%38.8%11.0%55.9%10.9%10.0%38.5K-1.2M-5.7K0.1666.05N/AN/A96152,793188