FORM Options History — June 2017

In June 2017, FORM traded between $12.48 and $15.38. ATM implied volatility averaged 38.8%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 0.3% (HV 20d: 39.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2017-06-05: Highest Volume — 1,612 contracts
  • 2017-06-12: Largest IV spike — 29.6% change
  • 2017-06-27: Highest IV Rank — 17.9%
  • 2017-06-27: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.69$12.48$15.38$14.70$12.48
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV38.8%28.9%46.9%34.6%44.7%
Expected Move11.2%9.4%13.5%9.9%12.8%
HV 20d39.1%30.0%73.2%73.2%43.1%
HV 60d54.6%52.9%56.3%52.9%56.3%
IV Rank10.4%1.4%17.9%6.6%15.9%
IV Percentile29.4%0.8%63.5%5.6%55.2%
Term Structure5.5%1.1%23.2%1.9%4.4%
VWIV39.1%32.8%47.8%34.5%44.8%
Skew 25d0.9%-8.3%14.1%-2.5%7.2%
Skew 10d2.0%-15.5%80.0%-2.2%10.4%
Call IV 25d37.5%26.5%48.0%32.2%33.9%
Put IV 25d38.4%29.8%54.5%29.8%41.0%
Bid-Ask Spread %21.5611.7547.4219.1321.83
Gamma HHI0.520.360.650.650.39
Net GEX76.8K35.2K130.7K115.2K39.2K
Net DEX-1.6M-3.6M-594.0K-2.7M-734.4K
Net VEX-9.9K-13.3K-7.2K-13.0K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.041.160.110.04
Total Volume766.9092091,6121,4821,247
Total OI4,946.4094,5855,9714,8365,244

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$14.70$12.5034.6%9.9%73.2%6.6%34.5%-2.5%1.9%115.2K-2.7M-13.0K0.1119.13N/AN/A1,3381444,221615
2017-06-02$14.65$12.5033.6%9.6%39.0%5.7%33.6%-1.9%4.1%115.3K-2.8M-12.9K0.1716.99N/AN/A1,3572254,214624
2017-06-05$14.45$12.5028.9%10.3%34.0%1.4%35.7%8.2%4.3%110.5K-2.5M-12.6K0.1622.97N/AN/A1,3872254,158708
2017-06-06$14.78$12.5031.7%10.2%30.0%3.9%36.3%10.1%3.4%123.5K-2.8M-12.9K0.1720.15N/AN/A1,3312254,193708
2017-06-07$15.30$12.5036.0%10.5%31.9%7.9%36.2%14.1%5.4%126.2K-3.5M-13.3K0.3533.21N/AN/A3071094,228708
2017-06-08$15.38$12.5033.8%10.3%31.8%5.9%35.1%-4.0%5.4%130.7K-3.6M-13.2K0.8723.61N/AN/A1251094,264712
2017-06-09$14.58$12.5031.2%9.4%37.8%3.5%32.8%3.5%7.8%127.8K-2.6M-12.5K1.1623.38N/AN/A1091264,272712
2017-06-12$13.93$12.5040.5%11.1%41.6%12.0%39.0%6.8%1.1%88.9K-1.8M-11.1K0.5018.18N/AN/A2821424,254732
2017-06-13$13.83$12.5046.3%10.1%40.2%17.3%35.4%4.4%3.0%87.3K-1.6M-10.9K0.2923.05N/AN/A318914,173799
2017-06-14$13.73$12.5040.1%11.5%40.1%11.7%35.8%2.4%2.7%86.0K-1.2M-9.4K0.5325.68N/AN/A171914,174810
2017-06-15$13.30$12.5040.5%11.6%37.6%12.0%40.2%-0.1%1.5%63.5K-991.9K-8.9K0.4317.46N/AN/A150654,184810
2017-06-16$13.18$12.5038.5%11.0%37.6%10.1%38.6%-1.5%4.5%51.8K-887.5K-8.5K0.8714.61N/AN/A1401224,193807
2017-06-19$13.53$12.5038.3%11.0%38.4%10.0%37.1%0.2%9.4%65.8K-895.4K-8.5K0.9921.42N/AN/A1051043,960625
2017-06-20$13.00$12.5041.1%11.8%39.4%12.6%41.0%-2.6%5.2%44.8K-657.7K-7.7K0.5820.75N/AN/A1781043,977625
2017-06-21$13.08$12.5039.3%11.3%37.5%10.9%38.8%-2.5%6.9%45.4K-704.0K-7.9K0.8020.73N/AN/A1311054,090625
2017-06-22$12.80$12.5039.5%11.3%37.9%11.1%40.2%-6.4%6.5%35.2K-594.0K-7.3K0.4112.05N/AN/A2551054,126626
2017-06-23$12.88$12.5039.3%11.3%37.6%10.9%38.5%-4.8%7.2%36.9K-660.1K-7.3K0.5011.75N/AN/A2141064,138626
2017-06-26$12.68$12.5044.9%12.9%37.7%16.1%45.2%-7.6%3.9%36.1K-598.2K-7.2K0.8512.38N/AN/A7276174,140632
2017-06-27$12.73$12.5046.9%13.5%36.8%17.9%47.1%-8.3%3.7%37.7K-661.1K-7.7K0.5847.42N/AN/A9875684,290663
2017-06-28$12.93$12.5046.9%13.4%37.7%17.9%47.1%-5.5%6.4%51.6K-978.0K-8.1K0.6522.55N/AN/A8595624,520670
2017-06-29$13.23$12.5036.7%10.5%38.8%8.5%47.8%10.3%23.2%70.0K-1.3M-8.6K0.0425.06N/AN/A1,159505,301670
2017-06-30$12.48$12.5044.7%12.8%43.1%15.9%44.8%7.2%4.4%39.2K-734.4K-7.3K0.0421.83N/AN/A1,197504,567677