FORM Options History — August 2010

In August 2010, FORM traded between $7.00 and $9.72. ATM implied volatility averaged 41.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 15.9% (HV 20d: 56.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 4.95.

Notable Days

  • 2010-08-23: Highest Volume — 1,087 contracts
  • 2010-08-20: Largest IV drop — 43.9% change
  • 2010-08-19: Highest IV Rank — 61.2%
  • 2010-08-19: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.69$7.00$9.72$9.72$7.00
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV41.0%28.4%50.7%38.4%48.3%
Expected Move12.0%8.2%14.5%11.0%13.8%
HV 20d56.8%44.0%64.7%61.6%46.8%
HV 60d54.7%52.2%55.9%55.4%52.3%
IV Rank35.2%1.5%61.2%28.3%54.8%
IV Percentile42.8%0.4%82.5%26.2%76.6%
Term Structure4.4%-4.3%20.0%5.3%3.0%
VWIV42.3%28.2%50.2%38.5%50.2%
Skew 25d5.7%-12.9%45.7%-1.1%6.9%
Skew 10d13.0%-9.1%57.4%-2.5%6.1%
Call IV 25d40.4%23.9%51.9%40.0%51.9%
Put IV 25d46.1%25.7%82.0%38.9%58.8%
Bid-Ask Spread %25.1411.4341.6311.4321.89
Gamma HHI0.580.440.710.640.57
Net GEX-41.7K-71.2K-17.1K-59.6K-17.1K
Net DEX2.9M2.5M3.5M2.5M2.8M
Net VEX-11.5K-15.5K-7.1K-15.5K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.950.1334.750.293.03
Total Volume225.227241,087143484
Total OI14,023.36412,21514,63414,53113,394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$9.72$10.0038.4%11.0%61.6%28.3%38.5%-1.1%5.3%-59.6K2.5M-15.5K0.2911.43N/AN/A111327,7006,831
2010-08-03$9.47$10.0040.4%11.6%61.1%33.7%40.3%2.8%1.1%-56.3K2.8M-14.5K15.5021.42N/AN/A81247,7366,804
2010-08-04$9.53$10.0039.5%11.3%60.0%31.3%39.7%-0.7%2.4%-60.5K2.8M-14.7K0.3518.34N/AN/A57207,7416,878
2010-08-05$9.56$10.0035.7%10.2%59.8%20.9%0.0%45.7%5.0%-65.6K2.7M-14.6K2.7625.34N/AN/A371027,7246,849
2010-08-06$9.59$10.0031.4%11.1%59.7%9.4%0.0%-2.1%3.6%-71.2K2.9M-14.4K30.0016.30N/AN/A41207,7256,909
2010-08-09$9.53$10.0032.1%11.5%59.5%11.4%0.0%-0.5%2.4%-70.9K2.7M-14.2K0.3315.61N/AN/A1867,7256,755
2010-08-10$9.14$10.0041.3%12.3%59.0%36.0%0.0%-10.0%-4.3%-63.6K3.1M-13.0K1.4619.94N/AN/A1261847,7316,759
2010-08-11$8.80$10.0038.7%12.1%59.7%29.0%46.0%2.6%1.9%-41.1K3.3M-11.6K1.0233.44N/AN/A94967,7446,595
2010-08-12$8.61$10.0040.8%11.7%59.8%34.8%0.0%0.5%13.5%-36.9K3.5M-10.9K1.1441.56N/AN/A1061217,7126,629
2010-08-13$8.63$10.0041.2%11.8%59.4%35.7%0.0%-0.9%12.5%-38.1K3.4M-11.0K0.3841.63N/AN/A98377,7956,604
2010-08-16$9.21$10.0041.4%11.9%64.7%36.2%0.0%14.2%3.1%-56.7K2.9M-12.7K8.5833.83N/AN/A605157,8626,637
2010-08-17$9.04$10.0035.1%10.1%64.5%19.4%28.2%-12.9%4.2%-31.3K2.9M-11.7K1.2325.25N/AN/A26327,8816,331
2010-08-18$9.00$10.0043.9%12.6%63.8%42.9%0.0%5.8%1.0%-33.3K3.0M-11.5K0.1324.18N/AN/A3857,8826,361
2010-08-19$8.70$10.0050.7%14.5%57.4%61.2%0.0%-0.0%-0.0%-30.2K3.2M-10.5K1.1039.75N/AN/A1011117,8666,356
2010-08-20$8.80$10.0028.4%8.2%55.2%1.5%42.5%26.5%20.0%-32.6K3.2M-10.3K34.7526.59N/AN/A41397,8896,371
2010-08-23$8.25$10.0037.1%10.7%57.9%24.9%32.1%-10.4%0.8%-26.9K2.6M-9.1K1.6124.52N/AN/A4166716,8775,338
2010-08-24$7.94$10.0048.6%13.9%58.4%55.6%48.5%11.0%3.3%-26.6K2.7M-9.5K1.2525.23N/AN/A1111397,2325,875
2010-08-25$8.09$10.0047.8%13.7%44.0%53.4%47.8%13.8%1.9%-29.0K2.7M-10.1K0.2824.41N/AN/A74217,3375,999
2010-08-26$7.79$10.0047.4%13.6%45.1%52.3%0.0%14.5%6.3%-26.7K2.7M-9.6K2.6924.23N/AN/A32867,3835,997
2010-08-27$7.43$10.0047.7%13.7%46.8%53.3%47.7%7.5%4.4%-23.0K2.9M-8.3K0.4920.19N/AN/A123607,4036,029
2010-08-30$7.24$10.0046.0%13.2%46.5%48.6%46.0%12.3%5.3%-20.3K2.8M-7.6K0.6218.05N/AN/A127797,4955,773
2010-08-31$7.00$10.0048.3%13.8%46.8%54.8%50.2%6.9%3.0%-17.1K2.8M-7.1K3.0321.89N/AN/A1203647,5965,798