FORM Options History — September 2017

In September 2017, FORM traded between $14.78 and $16.88. ATM implied volatility averaged 43.5%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 15.2% (HV 20d: 28.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.25.

Notable Days

  • 2017-09-01: Highest Volume — 3,859 contracts
  • 2017-09-05: Largest IV spike — 18.3% change
  • 2017-09-11: Highest IV Rank — 24.0%
  • 2017-09-07: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.77$14.78$16.88$15.23$16.88
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV43.5%37.7%53.4%40.6%38.8%
Expected Move12.4%10.8%13.7%11.6%11.1%
HV 20d28.4%25.1%32.6%32.6%28.9%
HV 60d39.3%37.0%42.5%42.5%37.0%
IV Rank14.9%9.6%24.0%12.2%10.6%
IV Percentile50.0%21.0%79.0%42.1%28.6%
Term Structure2.8%-3.4%9.5%5.8%8.2%
VWIV43.0%38.1%47.6%40.7%39.7%
Skew 25d0.9%-4.0%6.2%3.5%3.9%
Skew 10d4.9%-15.3%18.3%3.5%16.0%
Call IV 25d42.7%33.9%47.4%33.9%35.0%
Put IV 25d43.6%37.4%50.1%37.4%38.9%
Bid-Ask Spread %37.9614.5766.0531.1866.05
Gamma HHI0.740.490.860.740.49
Net GEX163.0K91.2K203.3K91.2K167.4K
Net DEX-4.6M-6.3M-2.1M-2.1M-6.3M
Net VEX-8.8K-10.5K-5.4K-5.4K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.070.750.080.15
Total Volume800.452263,8593,859740
Total OI5,413.82,9656,2772,9656,277

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$15.23$12.5040.6%11.6%32.6%12.2%40.7%3.5%5.8%91.2K-2.1M-5.4K0.0831.18N/AN/A3,5832762,548417
2017-09-05$15.00$12.5048.0%13.5%31.3%19.0%47.6%6.2%-2.3%168.9K-3.6M-10.0K0.4341.95N/AN/A6452764,728626
2017-09-06$15.18$12.5044.1%13.0%30.0%15.4%45.9%1.9%-1.4%184.6K-4.0M-10.3K0.5748.18N/AN/A4142364,928635
2017-09-07$15.18$12.5044.2%13.7%30.1%15.6%46.3%3.1%-2.1%185.5K-4.1M-10.5K0.4157.53N/AN/A192785,033644
2017-09-08$14.78$12.5045.7%13.3%29.1%16.9%46.6%-0.4%-2.3%180.2K-3.4M-10.2K0.3434.09N/AN/A253865,022644
2017-09-11$15.30$12.5053.4%13.2%30.2%24.0%46.0%1.4%-0.2%203.3K-4.3M-9.8K0.1248.77N/AN/A785965,004654
2017-09-12$15.55$12.5047.1%12.7%29.5%18.2%44.3%1.3%0.4%186.0K-4.6M-9.4K0.3061.46N/AN/A326974,847667
2017-09-13$15.58$12.5046.8%13.4%29.5%17.9%44.6%4.2%-3.4%193.8K-4.7M-9.3K0.7520.32N/AN/A129974,914658
2017-09-14$15.78$12.5042.1%12.1%29.4%13.6%41.6%-4.0%0.3%147.3K-5.1M-8.9K0.1314.57N/AN/A740974,914658
2017-09-15$15.80$12.5043.2%12.4%26.6%14.6%43.0%-2.2%-0.2%129.5K-4.6M-7.7K0.1616.31N/AN/A522844,386658
2017-09-18$16.20$12.5040.3%11.6%26.1%12.0%40.4%-1.9%6.7%120.1K-4.2M-7.7K0.1430.56N/AN/A506694,015627
2017-09-19$16.33$12.5043.9%12.6%25.1%15.2%42.6%-0.8%2.4%117.0K-4.4M-7.8K0.1048.55N/AN/A9931044,082631
2017-09-20$16.13$12.5041.6%11.9%25.5%13.2%41.8%-2.7%7.4%156.3K-5.1M-9.1K0.1732.04N/AN/A569994,864671
2017-09-21$15.83$12.5044.1%12.7%26.7%15.5%40.8%-2.4%5.5%171.2K-4.9M-9.1K0.1337.41N/AN/A523694,952733
2017-09-22$16.02$12.5045.4%13.0%26.7%16.6%42.8%-0.9%5.2%164.1K-5.0M-9.0K0.1737.29N/AN/A490834,983747
2017-09-25$16.00$12.5041.3%11.8%26.8%12.9%40.7%-1.1%9.5%191.5K-5.2M-8.0K0.3627.24N/AN/A273984,973763
2017-09-26$15.73$12.5040.7%11.7%25.9%12.3%40.9%-0.9%5.5%190.0K-4.8M-8.4K0.3330.48N/AN/A256855,012762
2017-09-27$16.40$12.5037.7%10.8%29.3%9.6%38.1%5.9%5.7%156.5K-5.7M-8.0K0.1557.03N/AN/A629925,027764
2017-09-28$16.43$12.5041.8%12.0%28.2%13.3%45.5%4.4%5.1%155.2K-5.4M-8.5K0.0718.15N/AN/A1,227925,037771
2017-09-29$16.88$12.5038.8%11.1%28.9%10.6%39.7%3.9%8.2%167.4K-6.3M-9.4K0.1566.05N/AN/A646945,527750