FORM Options History — July 2010

In July 2010, FORM traded between $9.68 and $11.32. ATM implied volatility averaged 49.1%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 1.6% (HV 20d: 47.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2010-07-28: Highest Volume — 2,016 contracts
  • 2010-07-15: Largest IV spike — 23.9% change
  • 2010-07-06: Highest IV Rank — 71.5%
  • 2010-07-07: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.49$9.68$11.32$10.52$9.68
Max Pain$10.71$10.00$12.50$12.50$10.00
ATM IV49.1%39.8%54.5%54.3%42.2%
Expected Move14.9%12.0%16.3%15.6%12.1%
HV 20d47.5%37.2%62.0%53.1%61.5%
HV 60d58.7%50.8%62.9%62.9%55.7%
IV Rank57.0%32.1%71.5%70.9%38.4%
IV Percentile75.0%34.5%92.5%92.1%47.2%
Term Structure-1.7%-5.3%8.5%3.3%2.8%
VWIV50.8%37.6%59.0%37.6%42.2%
Skew 25d0.3%-12.0%22.3%-5.6%1.6%
Skew 10d3.4%-8.4%25.4%-4.4%2.7%
Call IV 25d50.4%31.4%61.2%61.2%41.3%
Put IV 25d50.6%42.5%60.1%55.6%42.9%
Bid-Ask Spread %20.8112.4940.7512.4923.41
Gamma HHI0.490.320.670.530.64
Net GEX-21.2K-55.0K2.3K-23.2K-55.0K
Net DEX3.6M679.3K5.9M5.6M3.0M
Net VEX-14.3K-18.3K-11.1K-12.9K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.086.433.536.24
Total Volume593.0481622,016249731
Total OI15,111.61911,58919,51516,67814,980

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$10.52$12.5054.3%15.6%53.1%70.9%37.6%-5.6%3.3%-23.2K5.6M-12.9K3.5312.49N/AN/A551948,4478,231
2010-07-02$10.53$12.5046.5%13.3%48.6%50.1%46.5%-12.0%8.5%-26.7K5.8M-12.2K6.4317.31N/AN/A372388,5018,238
2010-07-06$10.17$12.5054.5%16.0%48.7%71.5%59.0%-8.0%-3.3%-28.9K5.9M-11.2K0.4920.88N/AN/A110548,5088,252
2010-07-07$10.47$12.5045.9%16.3%50.4%48.4%56.4%-4.4%-4.0%-30.8K5.6M-11.4K3.2916.32N/AN/A662178,5798,001
2010-07-08$10.58$12.5053.1%16.0%49.7%67.8%50.4%-2.8%-3.7%-29.3K5.4M-11.7K3.3215.23N/AN/A852828,6007,784
2010-07-09$10.66$12.5042.7%15.6%49.8%39.8%51.6%-1.6%-3.8%-33.0K5.4M-11.5K0.0816.49N/AN/A552468,6437,818
2010-07-12$10.46$10.0039.8%15.8%50.1%32.1%55.0%-3.0%-5.3%-28.6K5.3M-11.1K0.3721.99N/AN/A4021499,1427,857
2010-07-13$10.82$10.0045.6%15.2%50.8%47.7%52.7%0.3%-3.8%-17.9K5.1M-12.4K0.4118.29N/AN/A4341779,5167,914
2010-07-14$10.57$10.0043.3%15.9%38.1%41.5%53.8%-1.1%-4.3%-18.7K5.0M-13.2K0.7421.55N/AN/A1,0597879,8388,007
2010-07-15$10.55$10.0053.7%15.4%38.1%69.3%53.1%8.5%-4.9%-13.8K4.6M-15.8K2.3020.60N/AN/A19244210,7078,507
2010-07-16$10.22$10.0051.8%14.9%39.2%64.3%51.2%8.5%-2.1%-29.2K4.9M-15.8K1.8022.90N/AN/A12322210,7438,772
2010-07-19$10.31$10.0053.6%15.4%37.7%69.1%52.7%-4.6%-1.9%-14.6K1.8M-15.1K0.5929.20N/AN/A137816,1445,445
2010-07-20$10.45$10.0053.0%15.2%37.6%67.4%0.0%-1.7%-2.2%-13.9K1.6M-15.4K5.0924.33N/AN/A572906,1585,436
2010-07-21$10.13$10.0051.7%14.8%37.2%64.0%51.7%-4.2%1.2%-17.8K1.9M-14.9K5.0618.25N/AN/A482436,1235,633
2010-07-22$10.89$10.0054.0%15.5%44.9%70.1%53.9%22.3%-3.2%-13.0K1.4M-16.8K0.6040.75N/AN/A101616,1555,799
2010-07-23$11.30$10.0050.0%14.3%46.7%59.5%53.1%4.7%-1.5%-3.4K952.3K-17.4K0.1017.06N/AN/A611596,2205,803
2010-07-26$11.32$10.0052.4%15.0%46.2%66.0%51.6%3.7%-4.1%2.3K679.3K-18.3K0.2719.99N/AN/A180486,8105,837
2010-07-27$11.17$10.0052.1%14.9%45.6%65.0%52.9%-0.9%-3.8%251881.5K-17.5K0.9126.15N/AN/A4574166,9315,864
2010-07-28$9.87$10.0049.0%14.0%61.9%56.7%48.9%4.1%-3.2%-23.2K2.3M-14.7K0.9620.51N/AN/A1,0269907,2455,948
2010-07-29$9.71$10.0041.7%12.0%62.0%37.1%41.7%2.1%4.3%-27.5K2.5M-15.5K4.8213.36N/AN/A1718247,6426,566
2010-07-30$9.68$10.0042.2%12.1%61.5%38.4%42.2%1.6%2.8%-55.0K3.0M-16.0K6.2423.41N/AN/A1016307,6827,298