FORM Options History — September 2010

In September 2010, FORM traded between $6.95 and $8.96. ATM implied volatility averaged 49.4%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 10.6% (HV 20d: 60.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2010-09-15: Highest Volume — 7,286 contracts
  • 2010-09-03: Largest IV drop — 30.0% change
  • 2010-09-15: Highest IV Rank — 84.0%
  • 2010-09-15: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.03$6.95$8.96$6.95$8.60
Max Pain$9.76$7.50$10.00$7.50$10.00
ATM IV49.4%36.1%59.1%41.8%39.0%
Expected Move14.4%11.2%17.0%12.0%11.2%
HV 20d60.0%45.5%71.4%46.2%64.1%
HV 60d55.6%49.9%59.6%52.3%58.9%
IV Rank57.9%22.1%84.0%37.4%29.9%
IV Percentile74.0%18.3%97.2%46.0%29.8%
Term Structure3.8%-7.7%19.6%3.5%13.5%
VWIV51.3%35.3%70.8%51.6%42.4%
Skew 25d1.8%-12.2%12.8%8.2%-1.6%
Skew 10d5.7%-12.4%18.3%5.8%-0.9%
Call IV 25d51.9%36.6%71.5%48.1%36.6%
Put IV 25d53.7%35.0%66.2%56.3%35.0%
Bid-Ask Spread %16.267.4626.6126.387.87
Gamma HHI0.390.300.670.670.32
Net GEX-1.9K-23.3K21.0K-14.1K345
Net DEX1.9M819.2K2.7M2.7M1.9M
Net VEX-12.5K-17.3K-6.8K-6.8K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.0210.433.651.32
Total Volume726.81977,286944153
Total OI17,306.52413,26020,20613,26020,190

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$6.95$7.5041.8%12.0%46.2%37.4%0.0%8.2%3.5%-14.1K2.7M-6.8K3.6526.38N/AN/A2037417,6835,577
2010-09-02$7.19$7.5051.6%14.8%49.1%63.6%51.6%12.8%0.1%-17.1K2.6M-8.2K0.4319.00N/AN/A6632837,8105,789
2010-09-03$7.23$10.0036.1%13.5%49.2%22.1%47.1%5.8%2.7%-11.9K2.7M-8.5K2.0910.81N/AN/A2164528,3006,014
2010-09-07$7.14$10.0045.6%14.9%49.2%47.5%51.9%2.3%-0.2%-10.6K2.7M-8.7K10.437.46N/AN/A303138,3646,179
2010-09-08$7.44$10.0047.6%14.5%51.8%53.1%50.6%3.2%0.6%-14.3K2.5M-9.2K0.6811.18N/AN/A121828,3516,336
2010-09-09$7.61$10.0047.9%13.7%52.0%53.9%47.3%6.6%4.3%-14.0K2.3M-9.9K0.4910.56N/AN/A143708,4446,382
2010-09-10$7.43$10.0052.0%14.9%52.0%64.9%51.1%3.3%-2.8%-13.3K2.5M-9.4K1.9210.01N/AN/A36698,5426,366
2010-09-13$7.52$10.0050.0%14.3%52.4%59.3%50.0%8.6%-0.1%-13.5K2.4M-9.5K3.0410.42N/AN/A24738,4886,382
2010-09-14$7.59$10.0047.6%13.6%45.5%52.9%47.6%8.9%2.1%-13.7K2.5M-9.5K0.6410.21N/AN/A1811168,4806,437
2010-09-15$8.70$10.0059.1%17.0%68.8%84.0%70.8%-8.2%-3.4%-23.3K1.1M-12.9K0.2414.51N/AN/A5,8651,4218,6216,544
2010-09-16$8.23$10.0056.4%16.2%71.4%76.5%62.5%-6.7%-5.5%6.3K1.5M-14.1K0.4914.28N/AN/A98248312,0237,412
2010-09-17$8.25$10.0057.3%16.4%70.6%78.9%58.6%-4.5%-7.7%7.4K1.4M-15.5K1.4214.15N/AN/A15221612,3307,860
2010-09-20$8.40$10.0048.5%13.9%70.8%55.5%58.4%-9.0%11.4%4.8K1.8M-14.6K0.3519.29N/AN/A40514211,5247,678
2010-09-21$8.64$10.0053.1%15.2%67.6%67.8%62.2%-12.2%10.4%11.5K1.3M-16.2K0.2820.11N/AN/A2998311,6317,920
2010-09-22$8.35$10.0053.6%15.4%67.3%69.2%51.7%-6.2%3.2%5.8K1.7M-15.2K3.1123.68N/AN/A6119011,7997,893
2010-09-23$8.46$10.0044.0%12.6%67.1%43.2%35.3%-3.9%19.6%8.8K1.5M-15.6K0.8926.61N/AN/A16014311,8207,975
2010-09-24$8.96$10.0054.4%15.6%68.1%71.1%44.9%8.3%-3.6%21.0K819.2K-17.3K0.0222.66N/AN/A248411,8158,118
2010-09-27$8.64$10.0049.9%14.3%67.0%59.2%44.2%1.1%18.4%14.1K1.3M-16.0K0.9225.51N/AN/A514711,9448,118
2010-09-28$8.66$10.0050.8%14.6%65.9%61.5%40.8%9.8%-3.6%13.2K1.3M-16.0K1.1819.85N/AN/A9711411,9378,155
2010-09-29$8.68$10.0051.7%14.8%64.0%63.9%57.6%11.5%16.6%13.2K1.3M-16.0K0.3116.86N/AN/A1003111,9418,265
2010-09-30$8.60$10.0039.0%11.2%64.1%29.9%42.4%-1.6%13.5%3451.9M-14.2K1.327.87N/AN/A668711,9238,267