FORM Options History — January 2017

In January 2017, FORM traded between $10.93 and $12.58. ATM implied volatility averaged 51.6%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 12.2% (HV 20d: 39.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-01-20: Highest Volume — 528 contracts
  • 2017-01-11: Largest IV spike — 38.0% change
  • 2017-01-30: Highest IV Rank — 30.8%
  • 2017-01-30: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.65$10.93$12.58$11.30$12.48
Max Pain$10.13$10.00$12.50$10.00$12.50
ATM IV51.6%41.1%61.0%42.1%60.4%
Expected Move15.2%12.1%17.5%12.1%17.3%
HV 20d39.4%35.5%43.6%38.4%35.5%
HV 60d49.6%42.1%52.6%50.3%42.1%
IV Rank22.2%12.6%30.8%13.5%30.3%
IV Percentile69.7%26.2%93.3%31.7%92.9%
Term Structure-7.1%-12.8%1.9%1.4%-12.5%
VWIV53.1%40.0%59.9%46.4%59.9%
Skew 25d6.1%-5.2%16.3%9.3%6.0%
Skew 10d14.7%-9.5%54.5%12.6%9.1%
Call IV 25d49.8%42.6%60.3%45.9%51.4%
Put IV 25d56.0%41.5%65.2%55.3%57.4%
Bid-Ask Spread %70.1043.2699.7159.9883.30
Gamma HHI0.380.340.500.340.37
Net GEX35.4K23.5K43.4K40.5K42.7K
Net DEX-1.3M-1.7M-930.5K-1.3M-1.6M
Net VEX-5.7K-6.4K-5.2K-6.0K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.102.000.150.56
Total Volume236.55121528125145
Total OI2,960.952,6933,1062,9802,908

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$11.30$10.0042.1%12.1%38.4%13.5%46.4%9.3%1.4%40.5K-1.3M-6.0K0.1559.98N/AN/A109162,792188
2017-01-04$11.53$10.0046.8%13.4%38.5%17.8%40.0%-5.2%1.9%42.6K-1.4M-6.0K0.1555.23N/AN/A109162,770189
2017-01-05$11.35$10.0043.5%14.4%38.4%14.7%53.3%6.0%-5.2%41.0K-1.3M-5.6K1.7961.10N/AN/A961722,770189
2017-01-06$10.93$10.0046.2%15.1%39.8%17.3%52.8%0.5%-6.2%30.7K-1.0M-5.6K1.7992.83N/AN/A961722,770336
2017-01-09$10.98$10.0051.4%15.5%38.4%22.0%53.3%3.3%-8.0%30.6K-1.0M-5.9K1.7999.71N/AN/A961722,718336
2017-01-10$11.05$10.0041.1%16.3%38.4%12.6%55.2%4.8%-9.0%26.6K-972.6K-5.3K1.6193.12N/AN/A1071722,718336
2017-01-11$11.25$10.0056.8%16.3%38.0%26.9%55.4%5.4%-10.7%32.8K-1.1M-5.4K1.6159.06N/AN/A1071722,711336
2017-01-12$10.98$10.0054.6%15.7%38.0%25.0%53.6%3.1%-8.4%23.5K-930.5K-5.2K1.6160.83N/AN/A1071722,711336
2017-01-13$11.48$10.0048.3%13.8%40.8%19.1%54.4%7.4%-3.9%37.9K-1.2M-5.6K1.8365.37N/AN/A941722,711336
2017-01-17$11.15$10.0057.3%16.4%40.1%27.5%56.8%2.0%-9.8%28.2K-1.0M-5.2K1.8380.36N/AN/A941722,711336
2017-01-18$11.70$10.0049.4%14.1%43.6%20.1%48.8%7.3%-5.3%42.9K-1.3M-5.4K1.3999.37N/AN/A1221692,711336
2017-01-19$11.60$10.0052.7%15.1%42.7%23.2%52.5%7.9%-7.4%25.2K-1.2M-5.4K1.7683.49N/AN/A961692,736334
2017-01-20$11.60$10.0050.4%14.5%42.4%21.1%50.5%2.6%-7.3%25.7K-1.2M-5.4K0.4666.47N/AN/A3611672,760334
2017-01-23$11.95$10.0052.1%14.9%41.2%22.7%54.3%13.2%-5.5%35.3K-1.2M-5.8K2.0049.17N/AN/A891782,452241
2017-01-24$12.00$10.0052.9%15.2%41.1%23.4%53.8%11.5%-8.4%36.6K-1.3M-5.9K0.2052.94N/AN/A101202,483255
2017-01-25$12.23$10.0054.5%15.6%41.3%24.9%54.9%16.3%-7.4%37.5K-1.4M-6.1K0.1043.26N/AN/A194202,483255
2017-01-26$12.40$10.0053.7%15.4%40.3%24.1%53.6%4.9%-7.2%43.4K-1.5M-6.1K0.1648.81N/AN/A189302,610255
2017-01-27$12.58$10.0057.1%16.4%35.5%27.2%52.8%11.6%-10.9%41.9K-1.7M-6.4K0.3362.50N/AN/A92302,613265
2017-01-30$12.48$10.0061.0%17.5%35.6%30.8%59.6%5.0%-12.8%42.5K-1.6M-6.4K0.6285.16N/AN/A84522,623265
2017-01-31$12.48$12.5060.4%17.3%35.5%30.3%59.9%6.0%-12.5%42.7K-1.6M-6.3K0.5683.30N/AN/A93522,623285