FORM Options History — November 2017

In November 2017, FORM traded between $15.83 and $17.90. ATM implied volatility averaged 41.5%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 22.7% (HV 20d: 64.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2017-11-03: Highest Volume — 2,716 contracts
  • 2017-11-02: Largest IV spike — 25.5% change
  • 2017-11-29: Highest IV Rank — 19.9%
  • 2017-11-29: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.99$15.83$17.90$15.83$16.35
Max Pain$17.14$15.00$17.50$15.00$17.50
ATM IV41.5%34.6%48.9%34.6%37.5%
Expected Move11.8%9.9%14.0%9.9%10.8%
HV 20d64.2%49.1%69.4%54.3%49.1%
HV 60d42.9%39.3%45.0%39.3%45.0%
IV Rank13.0%6.8%19.9%6.8%9.4%
IV Percentile41.2%8.7%68.7%8.7%18.3%
Term Structure-0.7%-4.6%18.0%18.0%-0.1%
VWIV40.2%31.6%45.2%34.5%39.6%
Skew 25d2.7%-11.8%11.3%2.4%5.4%
Skew 10d5.2%-27.1%15.6%-27.1%5.6%
Call IV 25d39.3%31.5%48.3%44.0%40.5%
Put IV 25d42.0%23.9%49.3%46.5%45.9%
Bid-Ask Spread %35.0712.3069.4469.4420.92
Gamma HHI0.660.530.780.630.71
Net GEX141.0K90.9K216.6K123.3K99.9K
Net DEX-3.5M-4.9M-1.9M-1.9M-2.3M
Net VEX-14.1K-16.6K-7.0K-7.0K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.070.740.180.66
Total Volume714.3333262,7161,015570
Total OI5,557.5713,8966,6894,6135,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$15.83$15.0034.6%9.9%54.3%6.8%34.5%2.4%18.0%123.3K-1.9M-7.0K0.1869.44N/AN/A8631524,279334
2017-11-02$17.15$15.0043.5%11.5%61.9%14.9%39.4%1.8%-1.7%170.9K-3.2M-8.0K0.0742.73N/AN/A2,0811414,271389
2017-11-03$17.90$15.0045.3%12.1%63.7%16.5%41.1%2.5%-0.7%127.2K-3.3M-7.3K0.0863.98N/AN/A2,5191973,454442
2017-11-06$17.90$17.5037.0%12.3%63.7%8.9%42.7%2.8%-3.8%154.1K-4.9M-13.2K0.2454.93N/AN/A8762064,942544
2017-11-07$17.27$17.5046.2%11.3%64.6%17.4%39.5%1.8%0.3%158.5K-4.3M-16.0K0.4548.66N/AN/A5192345,499679
2017-11-08$17.43$17.5039.4%11.3%64.5%11.1%39.3%-0.9%-1.1%183.6K-4.6M-16.5K0.4550.19N/AN/A3791695,668729
2017-11-09$17.40$17.5041.7%12.0%64.3%13.2%41.9%2.9%-0.9%170.6K-4.5M-16.6K0.4963.39N/AN/A3511725,661717
2017-11-10$17.48$17.5041.6%11.9%64.2%13.2%33.5%2.0%-1.2%178.9K-4.8M-16.6K0.6946.53N/AN/A2381645,738716
2017-11-13$17.45$17.5041.2%11.8%63.5%12.8%43.6%1.1%-1.5%193.2K-4.6M-16.1K0.7441.40N/AN/A2311725,738720
2017-11-14$17.27$17.5041.9%12.0%63.5%13.4%31.6%-5.7%-0.9%187.9K-4.5M-15.8K0.4834.50N/AN/A2871385,720729
2017-11-15$16.60$17.5043.1%12.3%64.8%14.5%43.3%-1.6%-1.9%156.1K-3.5M-15.3K0.2854.59N/AN/A5151455,787737
2017-11-16$17.08$17.5040.1%11.5%65.8%11.8%40.4%11.3%-0.6%216.6K-3.8M-16.0K0.4012.35N/AN/A3531425,931758
2017-11-17$16.68$17.5040.1%11.5%66.2%11.8%39.9%1.1%-1.6%100.8K-3.3M-15.3K0.4318.11N/AN/A3211375,877754
2017-11-20$16.95$17.5041.3%11.8%66.3%12.9%41.2%10.5%-0.9%104.5K-3.3M-15.5K0.3012.30N/AN/A250764,345607
2017-11-21$17.18$17.5040.3%11.5%66.4%12.0%39.8%11.0%-1.1%110.4K-3.5M-15.7K0.2414.07N/AN/A291714,392607
2017-11-22$16.60$17.5041.0%11.8%67.5%12.7%40.5%-11.8%-1.8%104.5K-3.0M-15.0K0.3021.86N/AN/A278834,403608
2017-11-24$16.95$17.5040.8%11.7%67.9%12.4%40.8%6.9%-1.7%109.8K-3.2M-15.0K0.3614.47N/AN/A257934,384609
2017-11-27$16.63$17.5043.0%12.3%68.1%14.4%44.2%2.8%-3.8%111.0K-2.9M-14.4K0.3117.87N/AN/A290914,392619
2017-11-28$16.80$17.5042.0%12.0%67.6%13.5%42.7%6.9%-2.1%107.7K-2.9M-14.2K0.3217.93N/AN/A285914,313621
2017-11-29$15.98$17.5048.9%14.0%69.4%19.9%45.2%3.9%-4.6%90.9K-2.1M-12.8K0.6516.34N/AN/A3472264,301621
2017-11-30$16.35$17.5037.5%10.8%49.1%9.4%39.6%5.4%-0.1%99.9K-2.3M-13.5K0.6620.92N/AN/A3442264,313761