FORM Options History — May 2017

In May 2017, FORM traded between $11.33 and $14.65. ATM implied volatility averaged 39.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 36.1% (HV 20d: 75.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2017-05-31: Highest Volume — 1,510 contracts
  • 2017-05-05: Largest IV drop — 28.8% change
  • 2017-05-01: Highest IV Rank — 27.0%
  • 2017-05-01: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.58$11.33$14.65$11.78$14.61
Max Pain$12.16$10.00$12.50$10.00$12.50
ATM IV39.2%30.9%56.8%56.8%35.8%
Expected Move11.1%8.8%16.3%16.3%10.3%
HV 20d75.3%45.0%83.2%45.0%73.5%
HV 60d50.7%35.1%54.2%35.1%52.9%
IV Rank10.8%3.2%27.0%27.0%7.7%
IV Percentile24.8%1.2%90.9%90.9%9.1%
Term Structure-0.7%-11.8%10.7%-11.8%0.1%
VWIV38.3%28.9%59.5%57.4%36.0%
Skew 25d-0.6%-17.2%11.6%-17.0%-4.7%
Skew 10d10.8%-8.3%45.2%4.6%-3.0%
Call IV 25d37.6%28.9%56.9%53.4%33.3%
Put IV 25d37.0%24.5%47.5%36.4%28.6%
Bid-Ask Spread %26.1614.6359.3117.1719.20
Gamma HHI0.700.490.910.520.65
Net GEX67.8K22.8K117.9K28.1K117.9K
Net DEX-1.5M-2.7M-218.4K-360.6K-2.7M
Net VEX-6.4K-13.2K-2.0K-2.9K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.101.680.880.10
Total Volume488.9092331,5104061,510
Total OI3,247.2732,2154,8762,2154,876

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$11.78$10.0056.8%16.3%45.0%27.0%57.4%-17.0%-11.8%28.1K-360.6K-2.9K0.8817.17N/AN/A2161902,019196
2017-05-02$11.40$10.0047.7%13.7%45.8%18.7%55.0%-17.2%-9.7%29.5K-337.6K-2.8K0.8841.08N/AN/A2161902,144196
2017-05-03$11.33$10.0052.3%15.0%45.3%22.8%59.5%-9.4%-11.8%22.8K-218.4K-2.0K0.8859.31N/AN/A2161902,144196
2017-05-04$13.55$12.5048.4%11.9%77.8%19.3%42.3%8.2%-2.2%64.8K-1.2M-4.3K0.5646.33N/AN/A4062282,144203
2017-05-05$14.35$12.5034.5%10.1%79.6%6.5%35.4%8.1%-0.4%65.9K-1.8M-6.0K0.8625.71N/AN/A2772372,445269
2017-05-08$13.70$12.5037.9%10.8%82.2%9.7%38.0%0.0%-0.7%62.5K-1.5M-6.1K0.5124.84N/AN/A4002042,666274
2017-05-09$13.73$12.5036.9%10.2%81.7%8.7%30.0%3.9%10.7%67.4K-1.8M-6.1K1.6323.05N/AN/A1712792,814290
2017-05-10$13.73$12.5037.2%10.7%81.7%9.0%35.7%0.2%0.8%65.6K-1.8M-6.2K1.5824.08N/AN/A1772792,831358
2017-05-11$13.60$12.5037.2%10.7%80.4%9.0%36.4%0.6%-2.2%68.2K-1.6M-6.1K1.4327.93N/AN/A1962812,842358
2017-05-12$13.68$12.5036.1%10.4%80.1%8.0%34.3%1.0%3.1%64.2K-1.7M-5.9K1.6027.02N/AN/A1762812,842358
2017-05-15$14.10$12.5035.4%10.2%80.3%7.4%34.2%6.2%0.5%75.7K-2.0M-6.5K1.0424.76N/AN/A2692812,859358
2017-05-16$13.93$12.5034.5%9.9%80.0%6.5%33.0%1.9%1.0%66.8K-2.0M-6.8K1.5731.01N/AN/A1792813,079358
2017-05-17$13.25$12.5040.8%11.7%83.2%12.3%41.0%-1.0%1.3%71.8K-1.5M-5.7K1.3227.65N/AN/A2002643,102358
2017-05-18$13.15$12.5039.7%11.4%81.9%11.3%31.6%9.2%0.3%58.3K-1.3M-5.8K1.6114.63N/AN/A1061713,104557
2017-05-19$13.35$12.5038.2%10.9%80.9%9.9%28.9%0.8%0.1%54.2K-1.5M-5.9K1.2425.76N/AN/A1191483,092556
2017-05-22$13.75$12.5038.0%10.9%81.0%9.7%35.8%-2.5%1.6%63.4K-1.1M-6.3K1.6824.28N/AN/A871462,615516
2017-05-23$14.18$12.5030.9%8.8%81.2%3.2%32.8%8.5%0.8%71.1K-1.5M-7.2K0.2222.71N/AN/A6831512,641526
2017-05-24$14.23$12.5037.5%10.8%81.3%9.3%37.2%-10.6%-0.8%81.0K-1.8M-8.2K0.3916.48N/AN/A3531393,067609
2017-05-25$14.40$12.5031.8%9.1%81.2%4.0%31.7%-5.5%4.6%95.9K-2.0M-8.4K0.6821.79N/AN/A1891293,219621
2017-05-26$14.38$12.5034.6%9.9%76.7%6.6%37.7%11.6%1.0%93.1K-2.0M-8.6K0.9915.29N/AN/A1401383,234621
2017-05-30$14.65$12.5039.5%11.3%75.1%11.1%39.5%-5.1%-2.0%102.8K-2.3M-8.5K1.1015.46N/AN/A1251383,268615
2017-05-31$14.61$12.5035.8%10.3%73.5%7.7%36.0%-4.7%0.1%117.9K-2.7M-13.2K0.1019.20N/AN/A1,3721384,261615