FORM Options History — June 2010

In June 2010, FORM traded between $10.67 and $12.97. ATM implied volatility averaged 49.1%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 10.0% (HV 20d: 59.1%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.85.

Notable Days

  • 2010-06-18: Highest Volume — 1,220 contracts
  • 2010-06-10: Largest IV spike — 62.4% change
  • 2010-06-10: Highest IV Rank — 86.7%
  • 2010-06-10: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.46$10.67$12.97$12.18$10.80
Max Pain$14.77$12.50$17.50$15.00$12.50
ATM IV49.1%36.9%59.9%59.7%48.3%
Expected Move14.1%11.3%17.2%17.1%13.9%
HV 20d59.1%52.3%66.2%52.3%53.6%
HV 60d61.6%58.6%63.4%58.6%63.3%
IV Rank57.6%28.2%86.7%86.2%54.9%
IV Percentile73.7%19.8%98.4%98.4%78.2%
Term Structure3.7%-4.4%22.8%-4.0%7.3%
VWIV45.7%27.8%57.8%57.8%51.5%
Skew 25d6.5%-3.1%19.2%-0.2%-3.1%
Skew 10d9.4%-6.6%25.7%1.7%2.2%
Call IV 25d46.9%29.9%56.6%49.2%52.7%
Put IV 25d53.4%49.1%63.1%49.1%49.6%
Bid-Ask Spread %17.7610.1324.5615.0313.27
Gamma HHI0.410.300.530.360.49
Net GEX-44.8K-86.8K-6.1K-71.6K-20.3K
Net DEX5.5M4.9M6.1M5.3M5.6M
Net VEX-14.9K-20.3K-11.1K-18.7K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.850.1913.000.890.59
Total Volume405.909601,22016478
Total OI15,397.36414,08616,67214,48816,672

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$12.18$15.0059.7%17.1%52.3%86.2%57.8%-0.2%-4.0%-71.6K5.3M-18.7K0.8915.03N/AN/A87776,7107,778
2010-06-02$12.75$15.0054.6%15.7%54.5%73.2%54.4%10.4%-3.9%-83.3K5.2M-19.4K2.3318.01N/AN/A18426,7767,781
2010-06-03$12.97$15.0051.6%14.8%54.5%65.5%0.0%13.4%0.1%-86.8K4.9M-20.3K0.3018.26N/AN/A152456,7877,801
2010-06-04$12.11$17.5052.1%15.6%58.1%66.9%53.7%2.7%-3.1%-78.0K5.5M-17.1K0.9219.24N/AN/A84776,6957,831
2010-06-07$11.72$17.5057.0%15.1%57.9%79.4%55.5%6.4%0.8%-72.7K5.9M-15.8K4.4116.65N/AN/A703096,7417,901
2010-06-08$11.63$17.5054.5%15.5%57.3%73.1%38.3%6.5%-0.2%-69.0K6.1M-14.7K10.5920.80N/AN/A991,0486,8017,950
2010-06-09$11.27$15.0036.9%12.5%57.2%28.2%46.2%3.3%3.3%-56.3K5.5M-13.6K0.7024.56N/AN/A46326,8607,273
2010-06-10$11.19$15.0059.9%17.2%55.6%86.7%51.2%6.9%-2.0%-54.6K5.6M-12.3K3.1017.28N/AN/A631956,8767,210
2010-06-11$11.10$15.0054.4%15.6%55.3%71.3%49.4%9.6%2.8%-52.1K5.9M-11.5K2.5216.69N/AN/A1874726,9047,381
2010-06-14$10.80$15.0057.2%16.4%55.6%78.7%46.7%11.2%-3.1%-46.0K6.0M-11.1K2.1721.41N/AN/A1182567,0467,605
2010-06-15$11.84$15.0043.8%12.6%66.2%42.8%43.8%13.5%4.4%-82.1K5.6M-13.8K0.1921.16N/AN/A1,0221907,1457,674
2010-06-16$11.84$15.0044.4%12.7%65.1%44.2%40.3%15.4%2.3%-47.9K5.1M-16.0K2.1213.68N/AN/A651388,1457,759
2010-06-17$11.74$15.0044.6%12.8%64.7%45.0%44.6%13.0%3.6%-48.5K5.2M-15.4K0.2115.86N/AN/A380788,1607,862
2010-06-18$11.30$15.0041.3%11.8%63.8%35.9%51.2%-1.6%-4.4%-25.7K5.6M-14.1K0.2510.13N/AN/A9732478,5107,905
2010-06-21$11.04$15.0051.4%14.7%63.7%63.2%42.5%6.5%0.9%-6.1K5.1M-13.7K3.3819.79N/AN/A1434848,1447,466
2010-06-22$10.67$15.0049.6%14.2%63.7%58.4%41.1%-0.8%3.4%-14.0K5.5M-12.6K6.7917.19N/AN/A734968,2157,814
2010-06-23$10.94$15.0046.5%13.3%64.4%49.9%47.8%19.2%12.6%-14.2K5.5M-14.2K2.7111.64N/AN/A822228,2808,158
2010-06-24$10.86$12.5046.3%13.3%64.1%49.6%30.5%3.7%15.3%-16.4K5.4M-14.5K0.3218.42N/AN/A50168,3368,172
2010-06-25$11.07$12.5041.9%12.0%58.3%37.5%50.6%6.4%22.8%-14.5K5.3M-15.1K13.0023.03N/AN/A111438,3858,178
2010-06-28$11.35$12.5039.3%11.3%58.4%30.8%35.3%3.4%1.8%-8.6K4.9M-15.6K3.4120.24N/AN/A581988,3768,162
2010-06-29$10.90$12.5044.9%12.9%57.0%45.8%27.8%-1.8%20.1%-16.7K5.4M-14.4K1.7818.47N/AN/A1101968,3808,137
2010-06-30$10.80$12.5048.3%13.9%53.6%54.9%51.5%-3.1%7.3%-20.3K5.6M-13.6K0.5913.27N/AN/A49298,4088,264