FORM Options History — October 2010

In October 2010, FORM traded between $8.28 and $9.73. ATM implied volatility averaged 53.2%, placing in the 67.0% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 1.5% (HV 20d: 54.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2010-10-13: Highest Volume — 1,991 contracts
  • 2010-10-08: Largest IV spike — 31.6% change
  • 2010-10-08: Highest IV Rank — 100.0%
  • 2010-10-12: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.82$8.28$9.73$8.61$9.73
Max Pain$8.81$7.50$10.00$10.00$10.00
ATM IV53.2%42.9%65.8%42.9%48.0%
Expected Move15.1%12.3%16.8%12.3%13.8%
HV 20d54.7%36.8%67.1%63.6%63.9%
HV 60d58.2%52.4%60.6%58.9%60.6%
IV Rank67.0%40.2%100.0%40.2%53.1%
IV Percentile81.6%45.6%100.0%45.6%69.8%
Term Structure-2.0%-13.0%15.9%10.1%1.4%
VWIV52.6%45.9%59.3%51.5%48.2%
Skew 25d3.1%-13.0%15.9%-0.6%0.7%
Skew 10d16.2%-11.2%55.0%-0.0%10.7%
Call IV 25d50.3%37.4%89.1%41.6%49.0%
Put IV 25d53.4%41.0%76.1%41.0%49.7%
Bid-Ask Spread %40.057.9275.947.9237.12
Gamma HHI0.380.330.500.330.36
Net GEX-9.9K-26.2K11.0K440-754
Net DEX1.2M-396.1K2.3M1.9M-396.1K
Net VEX-15.0K-17.3K-13.1K-14.3K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0513.640.300.06
Total Volume431.095131,99113686
Total OI16,861.85711,53021,93920,28413,573

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$8.61$10.0042.9%12.3%63.6%40.2%0.0%-0.6%10.1%4401.9M-14.3K0.307.92N/AN/A10311,9308,354
2010-10-04$8.28$7.5054.0%16.3%65.8%70.2%0.0%-10.8%-5.3%-2.0K2.1M-14.4K0.3521.24N/AN/A2438611,9408,356
2010-10-05$8.68$7.5043.8%13.5%66.9%42.7%51.5%6.2%15.9%11.0K1.4M-15.4K0.0521.70N/AN/A3511911,8968,398
2010-10-06$8.51$7.5046.8%16.0%66.6%50.9%0.0%3.2%-4.1%-5.1K2.1M-13.5K1.0416.80N/AN/A939712,0318,399
2010-10-07$8.32$7.5050.0%16.0%67.1%59.4%0.0%1.1%-4.3%-9.1K2.1M-13.4K1.2623.61N/AN/A26533412,0208,447
2010-10-08$8.31$7.5065.8%15.1%66.3%100.0%52.4%-13.0%-1.7%-6.4K2.2M-14.1K3.1724.17N/AN/A299212,0558,729
2010-10-11$8.38$7.5063.8%16.4%66.3%94.7%54.9%-1.2%-8.4%-13.4K2.3M-13.1K0.7027.24N/AN/A795512,0438,805
2010-10-12$8.65$7.5062.4%16.8%66.9%91.0%49.7%6.5%-8.3%-8.4K2.0M-13.8K0.6928.37N/AN/A352412,0758,786
2010-10-13$9.03$7.5057.6%14.5%48.6%78.6%51.6%4.2%-3.9%-5.2K1.8M-14.1K5.1130.09N/AN/A3261,66512,1088,781
2010-10-14$9.19$7.5053.1%15.2%43.8%66.5%53.1%3.7%-3.6%-14.1K2.0M-15.5K0.1432.14N/AN/A3344612,0809,772
2010-10-15$9.18$10.0053.9%15.5%43.8%68.7%53.2%4.3%-4.6%-12.3K1.9M-15.5K1.0234.61N/AN/A16416712,1399,800
2010-10-18$8.98$7.5052.2%15.0%44.6%64.3%52.2%7.7%-4.2%-16.1K403.7K-15.5K0.0562.51N/AN/A432204,3517,179
2010-10-19$8.91$10.0054.3%15.6%43.8%69.7%55.6%7.9%-3.4%-14.0K476.4K-15.7K1.7652.44N/AN/A1652914,6347,194
2010-10-20$8.83$10.0052.6%15.1%41.9%65.3%52.3%7.6%-5.1%-16.7K548.2K-15.4K2.9373.29N/AN/A561644,6717,479
2010-10-21$8.58$10.0057.6%16.5%43.2%78.5%52.2%8.8%-13.0%-20.5K895.2K-15.5K1.4174.91N/AN/A29414,6917,609
2010-10-22$8.70$10.0053.7%15.4%38.0%68.1%55.5%3.8%-2.9%-21.9K893.7K-15.0K13.6475.94N/AN/A111504,6837,619
2010-10-25$8.92$10.0054.5%15.6%36.8%70.3%58.6%5.4%-0.9%-19.2K623.6K-15.5K0.6265.86N/AN/A50314,6737,769
2010-10-26$8.37$10.0055.6%16.0%43.5%73.3%59.3%1.6%-3.5%-26.2K1.2M-15.1K0.3134.44N/AN/A6422014,7177,764
2010-10-27$9.54$10.0048.2%13.8%64.1%53.5%47.8%2.7%6.8%-4.2K-76.5K-16.4K1.2070.45N/AN/A5816975,0707,955
2010-10-28$9.59$10.0046.5%13.3%63.9%49.0%45.9%15.9%0.5%-3.8K-158.8K-16.7K0.4926.27N/AN/A194955,1208,404
2010-10-29$9.73$10.0048.0%13.8%63.9%53.1%48.2%0.7%1.4%-754-396.1K-17.3K0.0637.12N/AN/A650365,0958,478