FORM Options History — April 2010

In April 2010, FORM traded between $15.00 and $20.47. ATM implied volatility averaged 41.5%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 5.5% (HV 20d: 47.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-04-27: Highest Volume — 4,640 contracts
  • 2010-04-12: Largest IV spike — 35.5% change
  • 2010-04-26: Highest IV Rank — 61.5%
  • 2010-04-26: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.56$15.00$20.47$17.89$15.00
Max Pain$18.33$17.50$20.00$17.50$17.50
ATM IV41.5%31.4%47.7%34.8%42.5%
Expected Move12.3%10.0%13.7%10.0%12.2%
HV 20d47.0%34.4%81.2%34.9%81.2%
HV 60d43.9%39.6%55.1%42.6%55.1%
IV Rank44.1%15.7%61.5%25.4%46.9%
IV Percentile45.4%2.4%79.4%11.1%50.0%
Term Structure-2.5%-5.9%7.0%7.0%1.4%
VWIV42.6%32.0%47.6%32.0%42.5%
Skew 25d1.7%-1.8%7.4%7.4%-1.8%
Skew 10d4.6%-6.3%11.1%9.6%-2.8%
Call IV 25d42.3%26.5%46.5%26.5%44.3%
Put IV 25d44.0%34.0%49.7%34.0%42.5%
Bid-Ask Spread %23.0110.1440.5510.6522.99
Gamma HHI0.550.300.920.450.55
Net GEX321.4K-93.2K1.6M240.1K-93.2K
Net DEX-3.9M-21.1M4.2M-1.3M4.2M
Net VEX-24.7K-31.7K-20.1K-31.7K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.044.740.331.01
Total Volume1,037.811324,640165959
Total OI20,017.7628,43029,48629,43513,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$17.89$17.5034.8%10.0%34.9%25.4%32.0%7.4%7.0%240.1K-1.3M-31.7K0.3310.65N/AN/A1244119,7249,711
2010-04-05$18.35$17.5036.0%12.0%34.4%28.7%41.0%2.1%-2.6%379.2K-3.4M-28.9K0.3336.25N/AN/A36211919,7579,729
2010-04-06$18.48$17.5037.2%12.0%34.4%32.2%41.8%2.0%-3.2%407.8K-4.0M-28.4K2.5331.01N/AN/A6015219,6249,712
2010-04-07$19.02$17.5041.5%11.7%35.6%44.2%40.8%0.4%-2.4%660.5K-7.5M-30.0K0.0725.97N/AN/A6724819,6319,640
2010-04-08$18.19$17.5038.6%12.8%38.5%36.1%43.9%2.4%-5.9%305.5K-2.7M-26.2K0.3833.55N/AN/A963619,6319,640
2010-04-09$18.37$17.5031.4%12.0%38.4%15.7%41.5%0.9%-3.2%341.3K-3.3M-25.9K0.5832.26N/AN/A1498619,5439,676
2010-04-12$18.77$17.5042.5%12.4%38.6%47.1%43.5%1.5%-5.1%563.1K-5.7M-25.7K0.6927.32N/AN/A73850619,5439,747
2010-04-13$18.79$17.5033.8%11.9%37.6%22.6%42.1%2.2%-3.8%261.3K-4.5M-21.4K0.2333.10N/AN/A1673819,6359,584
2010-04-14$20.27$17.5044.1%12.0%45.4%51.6%40.3%0.9%-3.7%1.5M-16.7M-24.0K0.0922.41N/AN/A1,66815219,5489,486
2010-04-15$20.47$17.5043.3%12.4%42.1%49.1%43.4%1.0%-3.8%889.1K-21.1M-20.1K0.0423.36N/AN/A3,32514118,6819,559
2010-04-16$20.23$17.5043.5%12.5%39.9%49.9%43.8%0.4%-2.5%1.6M-15.0M-21.4K0.0940.55N/AN/A1,90617116,1009,605
2010-04-19$19.60$20.0043.7%12.5%41.3%50.3%44.3%1.2%-2.8%-7.8K-1.7M-21.0K1.8112.85N/AN/A2234043,0615,369
2010-04-20$19.81$20.0045.5%13.0%40.9%55.3%45.9%2.4%-4.4%-10.0K-1.8M-22.2K4.7417.01N/AN/A994693,1865,633
2010-04-21$19.72$20.0044.2%12.7%40.7%51.7%44.4%2.5%-3.3%-17.7K-1.6M-22.4K0.1611.88N/AN/A435713,2225,764
2010-04-22$20.13$20.0046.2%13.3%40.1%57.5%45.5%2.6%-3.6%2.2K-2.3M-22.8K0.7422.45N/AN/A1601183,6055,798
2010-04-23$19.83$20.0045.6%13.1%40.5%55.8%45.2%2.7%-4.3%-1.4K-2.0M-23.3K0.2714.17N/AN/A305823,6905,902
2010-04-26$19.36$20.0047.7%13.7%40.6%61.5%47.6%3.1%-5.3%-10.4K-1.5M-23.9K1.6221.32N/AN/A4046553,6905,902
2010-04-27$16.00$20.0043.3%12.4%80.3%49.1%41.5%1.4%0.5%-79.2K3.0M-22.3K0.5519.19N/AN/A2,9881,6524,1026,103
2010-04-28$15.69$17.5043.1%12.4%80.1%48.7%42.5%-1.1%-0.5%-80.9K3.4M-25.2K0.9610.14N/AN/A8107805,2116,748
2010-04-29$15.71$17.5042.3%12.1%80.2%46.3%40.6%1.3%-0.6%-80.3K3.2M-26.7K0.6714.84N/AN/A2531705,7067,135
2010-04-30$15.00$17.5042.5%12.2%81.2%46.9%42.5%-1.8%1.4%-93.2K4.2M-25.8K1.0122.99N/AN/A4764835,7727,268