FORM Options History — March 2017

In March 2017, FORM traded between $10.85 and $11.85. ATM implied volatility averaged 41.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 12.4% (HV 20d: 29.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.42.

Notable Days

  • 2017-03-30: Highest Volume — 500 contracts
  • 2017-03-13: Largest IV spike — 34.7% change
  • 2017-03-14: Highest IV Rank — 30.2%
  • 2017-03-02: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.22$10.85$11.85$11.10$11.85
Max Pain$10.33$10.00$12.50$12.50$10.00
ATM IV41.6%29.9%60.4%44.1%29.9%
Expected Move11.2%8.6%13.6%12.6%8.6%
HV 20d29.1%26.2%33.1%29.1%30.1%
HV 60d33.0%31.1%35.1%35.1%31.8%
IV Rank13.0%2.3%30.2%15.3%2.3%
IV Percentile31.8%0.8%93.7%46.0%0.8%
Term Structure8.0%-1.8%23.8%9.8%10.7%
VWIV40.3%34.6%47.2%37.5%35.9%
Skew 25d3.4%-6.0%22.3%22.3%-0.3%
Skew 10d12.7%-5.1%76.8%29.0%-1.0%
Call IV 25d38.3%31.7%43.0%31.7%35.5%
Put IV 25d41.8%32.3%54.5%54.0%35.2%
Bid-Ask Spread %43.9328.3989.1928.3967.71
Gamma HHI0.400.370.430.380.38
Net GEX31.2K29.0K38.6K30.0K38.6K
Net DEX-753.2K-997.0K-639.3K-659.9K-997.0K
Net VEX-3.8K-4.3K-3.4K-4.0K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.250.900.250.55
Total Volume339.087220500320500
Total OI3,143.9133,0113,2543,1453,240

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$11.10$12.5044.1%12.6%29.1%15.3%37.5%22.3%9.8%30.0K-659.9K-4.0K0.2528.39N/AN/A256642,805340
2017-03-02$11.10$12.5047.5%13.6%27.9%18.5%41.1%20.4%3.2%30.1K-708.1K-4.1K0.2629.07N/AN/A250642,805340
2017-03-03$11.13$12.5035.5%10.2%28.0%7.4%34.6%4.7%9.3%29.2K-713.3K-4.3K0.2533.25N/AN/A255642,789340
2017-03-06$10.98$10.0044.3%12.1%27.4%15.5%42.3%1.1%5.5%29.2K-653.8K-3.9K0.2553.48N/AN/A255642,794340
2017-03-07$10.95$10.0054.3%12.2%27.3%24.7%43.9%-1.6%2.9%29.1K-639.3K-3.7K0.2541.11N/AN/A255642,794340
2017-03-08$11.10$10.0039.6%11.9%28.3%11.2%40.3%2.1%4.8%29.0K-650.5K-3.8K0.2565.78N/AN/A260642,794340
2017-03-09$10.95$10.0051.7%12.0%28.1%22.3%39.8%0.1%5.4%30.1K-672.1K-3.8K0.2540.51N/AN/A260642,804340
2017-03-10$11.05$10.0043.8%12.1%27.2%15.0%41.7%0.5%3.1%29.4K-665.8K-3.7K0.2540.91N/AN/A260642,804340
2017-03-13$10.95$10.0059.0%11.8%26.9%29.0%40.9%-1.7%4.7%29.6K-674.8K-3.9K0.2538.33N/AN/A260642,804340
2017-03-14$10.93$10.0060.4%12.0%26.4%30.2%39.7%1.8%4.1%29.7K-640.5K-3.4K0.2545.21N/AN/A260642,804340
2017-03-15$10.85$10.0043.2%12.4%26.2%14.5%43.1%1.1%4.5%29.9K-640.2K-3.5K0.2949.27N/AN/A214632,804340
2017-03-16$10.90$10.0039.4%11.3%26.2%11.0%39.2%-1.3%14.1%30.3K-681.7K-3.5K0.2950.59N/AN/A182522,806340
2017-03-17$11.18$10.0044.7%12.8%27.4%15.9%42.1%4.1%-1.8%29.3K-694.3K-3.5K0.3033.39N/AN/A175522,816337
2017-03-20$11.53$10.0034.5%9.9%29.8%6.5%37.9%9.0%9.3%31.6K-859.6K-4.2K0.2932.37N/AN/A170502,685326
2017-03-21$11.05$10.0034.4%9.9%33.1%6.5%42.3%6.9%23.8%30.5K-740.3K-3.5K0.8231.33N/AN/A1801482,698326
2017-03-22$11.10$10.0037.6%10.8%33.1%9.4%45.4%8.5%20.1%29.0K-722.0K-3.8K0.8389.19N/AN/A1781482,708406
2017-03-23$11.40$10.0035.7%10.2%32.9%7.6%45.1%10.1%10.9%29.7K-772.0K-3.8K0.9038.03N/AN/A1641482,708406
2017-03-24$11.58$10.0035.8%10.3%32.0%7.7%47.2%11.4%8.6%31.6K-880.5K-4.3K0.8232.43N/AN/A1801482,709406
2017-03-27$11.80$10.0037.7%10.8%32.5%9.4%37.3%-4.1%6.8%33.7K-986.2K-4.1K0.5240.30N/AN/A2851482,728406
2017-03-28$11.43$10.0037.8%10.8%31.3%9.5%36.2%-6.0%9.2%35.8K-889.6K-4.1K0.5245.01N/AN/A2851482,848406
2017-03-29$11.53$10.0033.0%9.4%29.5%5.1%36.0%-5.7%7.2%35.5K-860.7K-3.9K0.4644.14N/AN/A3221482,848406
2017-03-30$11.70$10.0032.5%9.3%29.8%4.7%37.3%-4.1%6.5%36.8K-922.1K-3.8K0.5540.65N/AN/A3221782,804406
2017-03-31$11.85$10.0029.9%8.6%30.1%2.3%35.9%-0.3%10.7%38.6K-997.0K-4.0K0.5567.71N/AN/A3221782,804436