FORM Options History — December 2017

In December 2017, FORM traded between $14.83 and $16.68. ATM implied volatility averaged 41.0%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 6.6% (HV 20d: 47.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2017-12-14: Highest Volume — 776 contracts
  • 2017-12-11: Largest IV spike — 55.5% change
  • 2017-12-28: Highest IV Rank — 30.7%
  • 2017-12-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.74$14.83$16.68$15.60$15.65
Max Pain$15.13$15.00$17.50$17.50$15.00
ATM IV41.0%33.2%54.2%48.1%37.5%
Expected Move11.5%10.2%13.8%13.8%10.8%
HV 20d47.6%39.4%56.2%42.4%52.5%
HV 60d48.5%45.8%51.3%46.0%51.3%
IV Rank20.3%5.5%30.7%19.1%22.9%
IV Percentile36.6%4.8%84.1%67.1%21.8%
Term Structure7.2%-5.3%18.3%-5.3%13.4%
VWIV40.1%37.1%45.4%45.4%37.4%
Skew 25d2.8%-7.3%7.8%0.3%-1.4%
Skew 10d5.6%-10.6%20.5%-5.2%-7.6%
Call IV 25d38.5%31.1%46.0%46.0%39.8%
Put IV 25d41.3%33.0%46.5%46.3%38.5%
Bid-Ask Spread %31.4610.6970.1310.6955.17
Gamma HHI0.570.420.680.680.42
Net GEX85.1K59.5K115.4K71.8K97.8K
Net DEX-2.1M-3.1M-1.1M-1.6M-2.2M
Net VEX-11.6K-13.2K-9.2K-11.7K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.131.790.380.27
Total Volume408.45239776413395
Total OI5,116.44,9165,3575,0225,356

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$15.60$17.5048.1%13.8%42.4%19.1%45.4%0.3%-5.3%71.8K-1.6M-11.7K0.3810.69N/AN/A2991144,261761
2017-12-04$15.03$15.0049.3%12.7%40.0%20.2%45.2%3.5%0.3%61.0K-1.3M-11.0K0.4269.86N/AN/A2491044,283783
2017-12-05$15.10$15.0047.6%12.4%40.2%18.7%42.8%4.0%4.5%59.5K-1.3M-10.8K0.6817.98N/AN/A1461004,266791
2017-12-06$15.35$15.0044.8%12.1%39.7%16.1%40.8%4.8%4.5%64.2K-1.4M-11.3K0.5622.36N/AN/A153864,254781
2017-12-07$15.65$15.0038.2%12.3%40.4%10.0%41.0%5.9%1.0%69.3K-1.5M-11.1K0.4734.09N/AN/A182864,257780
2017-12-08$15.33$15.0033.2%12.1%40.7%5.5%41.4%3.7%3.1%65.5K-1.5M-11.0K0.5921.06N/AN/A165974,271780
2017-12-11$15.20$15.0051.6%12.1%40.5%22.4%41.8%-7.3%5.3%60.5K-1.2M-10.0K1.7916.62N/AN/A1562804,284782
2017-12-12$14.83$15.0054.2%11.9%40.9%24.7%41.6%2.2%2.6%60.1K-1.1M-9.5K1.4023.13N/AN/A2002794,278701
2017-12-13$14.90$15.0042.1%12.1%41.2%23.0%42.1%3.8%2.9%60.6K-1.1M-9.5K1.7336.03N/AN/A1612794,271677
2017-12-14$14.88$15.0037.3%10.7%39.4%22.4%37.4%2.7%8.7%60.9K-1.2M-9.2K0.1370.13N/AN/A689874,269647
2017-12-15$16.63$15.0036.1%10.3%56.2%19.7%38.9%2.3%12.0%106.7K-3.1M-12.4K0.9731.46N/AN/A2512434,735616
2017-12-18$16.40$15.0035.9%10.3%55.8%19.3%37.1%6.0%12.2%100.3K-3.0M-12.8K0.2253.70N/AN/A367794,264695
2017-12-19$16.48$15.0035.6%10.2%55.5%18.5%38.2%7.3%11.6%109.3K-3.0M-13.0K0.4033.56N/AN/A240974,389696
2017-12-20$16.63$15.0036.9%10.6%55.4%21.4%37.4%4.5%9.9%113.6K-3.1M-13.2K0.3642.76N/AN/A258944,404714
2017-12-21$16.68$15.0035.4%10.2%54.0%18.2%37.2%7.8%11.6%115.4K-3.1M-13.0K0.3915.66N/AN/A2981154,401718
2017-12-22$16.40$15.0036.1%10.3%53.8%19.6%37.1%3.3%9.9%106.8K-2.9M-13.2K0.3015.23N/AN/A3871154,433733
2017-12-26$15.85$15.0040.3%11.6%54.7%29.1%39.2%-0.1%8.4%103.2K-2.5M-12.3K0.2625.57N/AN/A3851014,564733
2017-12-27$16.25$15.0038.2%11.0%55.4%24.4%39.7%2.6%18.3%111.0K-2.7M-12.7K0.3417.88N/AN/A3131064,605738
2017-12-28$15.95$15.0041.0%11.8%52.8%30.7%40.4%0.1%8.7%105.4K-2.4M-12.2K0.3216.33N/AN/A3121014,599758
2017-12-29$15.65$15.0037.5%10.8%52.5%22.9%37.4%-1.4%13.4%97.8K-2.2M-11.5K0.2755.17N/AN/A311844,597759