FORM Options History — December 2020

In December 2020, FORM traded between $41.18 and $45.23. ATM implied volatility averaged 41.1%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 6.4% (HV 20d: 34.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2020-12-11: Highest Volume — 1,298 contracts
  • 2020-12-29: Largest IV spike — 48.8% change
  • 2020-12-29: Highest IV Rank — 33.6%
  • 2020-12-29: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.86$41.18$45.23$41.49$43.11
Max Pain$30.45$30.00$35.00$35.00$30.00
ATM IV41.1%32.5%48.4%41.5%39.4%
Expected Move11.9%9.3%13.9%11.9%11.3%
HV 20d34.8%30.6%39.5%36.3%36.6%
HV 60d36.7%34.1%38.4%38.4%37.5%
IV Rank25.4%15.8%33.6%25.8%23.4%
IV Percentile33.0%7.9%59.1%33.7%23.8%
Term Structure4.8%-2.7%15.2%-0.0%-1.5%
VWIV42.5%35.0%50.8%38.0%42.5%
Skew 25d3.7%-5.9%18.1%1.7%3.3%
Skew 10d7.9%-10.9%18.0%-4.8%-0.1%
Call IV 25d41.8%36.0%50.2%36.0%44.0%
Put IV 25d45.5%37.8%61.5%37.8%47.2%
Bid-Ask Spread %86.2673.7995.7892.1194.43
Gamma HHI0.470.370.660.450.46
Net GEX268.8K161.8K457.2K161.8K350.9K
Net DEX-9.7M-13.4M-7.0M-7.1M-9.8M
Net VEX-21.4K-27.0K-13.3K-14.1K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.400.010.06
Total Volume230.409331,29816633
Total OI4,848.3643,8646,0613,8645,161

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$41.49$35.0041.5%11.9%36.3%25.8%38.0%1.7%-0.0%161.8K-7.1M-14.1K0.0192.11N/AN/A16422,889975
2020-12-02$41.18$35.0043.3%12.4%32.2%27.8%40.9%6.7%-2.7%162.6K-7.0M-14.1K0.0891.35N/AN/A222172,923975
2020-12-03$41.83$30.0034.8%10.8%30.6%18.3%35.3%4.2%8.5%172.9K-7.4M-13.9K0.0190.31N/AN/A9112,919978
2020-12-04$43.92$30.0036.3%9.9%32.5%20.0%35.0%4.0%8.0%210.7K-9.1M-13.9K0.0782.63N/AN/A302222,960978
2020-12-07$44.32$30.0034.5%11.3%32.6%18.0%39.6%6.4%6.1%221.1K-9.3M-13.3K0.0881.18N/AN/A177152,947975
2020-12-08$45.23$30.0041.8%12.0%30.7%26.1%42.0%0.9%2.6%209.7K-10.1M-13.7K0.0278.18N/AN/A601103,010986
2020-12-09$42.93$30.0043.9%12.6%38.0%28.5%44.0%5.7%1.8%226.8K-8.6M-15.8K0.0978.54N/AN/A227213,422989
2020-12-10$42.80$30.0040.9%11.7%37.8%25.2%42.6%18.1%4.1%225.2K-8.5M-15.7K0.4085.31N/AN/A146593,5091,000
2020-12-11$41.80$30.0042.8%12.3%39.5%27.3%38.7%2.2%11.0%215.1K-7.9M-16.0K0.0091.34N/AN/A1,29623,6111,040
2020-12-14$43.08$30.0045.5%13.0%39.2%30.3%44.4%5.4%-1.9%321.7K-12.3M-26.7K0.1074.53N/AN/A134134,8521,040
2020-12-15$43.86$30.0041.8%12.0%33.0%26.1%43.5%2.0%2.7%457.2K-13.4M-27.0K0.0273.79N/AN/A10224,9171,051
2020-12-16$43.21$30.0047.3%13.6%33.6%32.3%49.1%3.5%0.6%361.4K-12.4M-26.6K0.0084.12N/AN/A8904,9401,051
2020-12-17$43.09$30.0042.4%12.1%33.3%26.8%46.7%1.0%4.6%343.5K-12.4M-26.2K0.3982.06N/AN/A96374,9801,051
2020-12-18$43.41$30.0043.8%12.5%33.3%28.3%43.3%5.6%1.2%256.1K-12.4M-26.4K0.1482.80N/AN/A71104,9751,086
2020-12-21$42.30$30.0044.3%12.7%35.0%28.9%50.8%-1.8%15.2%244.7K-9.1M-26.2K0.2076.31N/AN/A126253,942694
2020-12-22$42.37$30.0039.6%11.4%34.3%23.7%42.4%-1.7%11.9%266.3K-9.1M-25.8K0.0195.78N/AN/A12214,049703
2020-12-23$42.05$30.0040.4%11.6%34.5%24.6%45.8%-5.9%12.5%257.1K-8.8M-25.3K0.0192.04N/AN/A13314,097704
2020-12-24$42.63$30.0035.3%10.1%34.7%18.9%39.4%3.5%10.0%284.3K-9.3M-25.8K0.0091.19N/AN/A18404,197703
2020-12-28$43.23$30.0032.5%9.3%34.8%15.8%41.0%9.7%7.6%323.5K-10.2M-26.2K0.0193.33N/AN/A26124,365703
2020-12-29$42.09$30.0048.4%13.9%36.1%33.6%46.4%9.2%1.8%306.7K-9.1M-26.2K0.2293.80N/AN/A73164,449704
2020-12-30$42.95$30.0044.6%12.8%36.7%29.3%44.1%-2.5%1.9%333.7K-9.8M-25.6K0.0092.66N/AN/A16304,455709
2020-12-31$43.11$30.0039.4%11.3%36.6%23.4%42.5%3.3%-1.5%350.9K-9.8M-26.0K0.0694.43N/AN/A3124,452709