FORM Options History — September 2020

In September 2020, FORM traded between $22.44 and $27.40. ATM implied volatility averaged 46.1%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 0.9% (HV 20d: 47.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2020-09-08: Highest Volume — 516 contracts
  • 2020-09-02: Largest IV spike — 74.2% change
  • 2020-09-02: Highest IV Rank — 64.7%
  • 2020-09-03: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.30$22.44$27.40$26.71$24.88
Max Pain$25.48$25.00$30.00$30.00$25.00
ATM IV46.1%32.2%76.2%43.7%45.0%
Expected Move14.1%9.2%22.2%12.5%12.9%
HV 20d47.1%33.9%50.3%33.9%48.7%
HV 60d47.0%42.4%52.3%50.6%42.4%
IV Rank31.0%15.4%64.7%28.3%29.8%
IV Percentile48.2%19.8%94.8%46.0%43.3%
Term Structure5.4%-15.8%29.2%27.8%4.6%
VWIV46.8%26.7%72.5%44.1%32.3%
Skew 25d12.1%-4.9%28.8%5.1%4.8%
Skew 10d21.0%-27.5%42.0%18.3%9.8%
Call IV 25d43.7%28.5%64.4%45.4%39.1%
Put IV 25d55.8%43.9%83.4%50.4%43.9%
Bid-Ask Spread %97.2775.57113.4883.7887.32
Gamma HHI0.330.260.450.360.29
Net GEX18.5K-36.9K68.5K31.2K49.8K
Net DEX-268.5K-2.1M1.2M-1.5M-1.3M
Net VEX-10.8K-16.1K-8.7K-14.9K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.002.000.040.00
Total Volume175.812351627971
Total OI5,567.7624,5616,4874,5615,531

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$26.71$30.0043.7%12.5%33.9%28.3%44.1%5.1%27.8%31.2K-1.5M-14.9K0.0483.78N/AN/A269103,1651,396
2020-09-02$27.40$30.0076.2%21.8%35.5%64.7%48.0%16.7%-8.4%51.6K-2.1M-16.1K0.1175.57N/AN/A256293,3861,400
2020-09-03$25.57$25.0044.9%22.2%40.3%29.6%51.4%14.1%-15.8%17.8K-1.1M-14.7K0.1398.32N/AN/A124163,4651,406
2020-09-04$24.35$25.0041.8%16.8%43.2%26.2%54.2%7.5%-2.0%-20.1K504.9K-10.4K0.1193.77N/AN/A206223,5711,415
2020-09-08$22.73$25.0044.8%17.8%48.3%29.5%61.9%23.1%-3.4%-6.6K1.1M-9.3K1.7399.00N/AN/A1893273,7171,419
2020-09-09$23.39$25.0055.6%15.9%49.5%41.6%72.5%10.5%2.1%-27.4K986.2K-11.3K0.1690.55N/AN/A398633,8541,728
2020-09-10$22.69$25.0057.7%16.5%46.9%44.0%63.3%14.4%-11.7%-15.6K1.1M-10.2K0.10109.89N/AN/A185194,2221,760
2020-09-11$22.44$25.0057.3%16.4%46.9%43.6%56.3%10.8%-3.2%15.7K1.2M-11.1K2.0096.16N/AN/A22444,3651,776
2020-09-14$23.18$25.0056.5%16.2%49.4%42.6%41.3%28.8%-11.6%39.2K1.0M-10.1K0.03102.14N/AN/A23374,3841,791
2020-09-15$23.80$25.0042.1%12.1%49.0%26.5%50.2%5.8%9.9%-36.9K424.5K-11.0K0.50101.39N/AN/A162814,4281,742
2020-09-16$23.86$25.0042.5%12.2%49.2%26.9%42.7%18.3%15.3%-32.6K464.2K-10.7K0.20105.31N/AN/A93194,5831,819
2020-09-17$24.09$25.0053.8%15.4%49.7%39.6%53.5%4.9%10.8%-34.3K379.9K-11.5K0.2090.41N/AN/A83174,5871,832
2020-09-18$24.24$25.0032.4%9.3%49.7%15.6%41.5%17.4%29.2%45.2K635.6K-10.4K0.85112.81N/AN/A53454,6711,816
2020-09-21$24.40$25.0049.1%14.1%49.6%34.4%50.1%-4.9%8.2%45.0K-1.0M-10.6K0.0499.69N/AN/A13554,1631,053
2020-09-22$24.58$25.0036.2%10.4%49.8%19.8%36.7%10.0%10.5%31.0K-1.0M-9.3K0.48107.19N/AN/A31154,3021,053
2020-09-23$24.00$25.0045.6%13.1%50.1%30.4%45.6%4.5%-13.5%37.2K-721.1K-9.5K0.0699.66N/AN/A11274,3081,053
2020-09-24$24.16$25.0032.7%9.4%50.3%15.9%32.7%18.4%13.9%39.8K-1.1M-9.2K0.01113.48N/AN/A16914,3171,050
2020-09-25$24.00$25.0032.2%9.2%49.5%15.4%36.0%12.6%14.7%36.9K-857.1K-8.9K0.0592.96N/AN/A2214,3851,051
2020-09-28$24.69$25.0038.4%11.0%50.1%22.3%26.7%17.7%21.4%53.7K-1.1M-8.7K0.2389.34N/AN/A96224,3851,051
2020-09-29$25.06$25.0040.5%11.6%49.3%24.7%42.2%13.1%15.4%68.5K-1.6M-10.1K0.1894.05N/AN/A2854,4701,053
2020-09-30$24.88$25.0045.0%12.9%48.7%29.8%32.3%4.8%4.6%49.8K-1.3M-8.7K0.0087.32N/AN/A7104,4791,052