FORM Options History — November 2010

In November 2010, FORM traded between $9.20 and $10.71. ATM implied volatility averaged 49.2%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 13.6% (HV 20d: 62.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.45.

Notable Days

  • 2010-11-16: Highest Volume — 815 contracts
  • 2010-11-08: Largest IV spike — 8.7% change
  • 2010-11-08: Highest IV Rank — 67.5%
  • 2010-11-04: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.80$9.20$10.71$9.36$9.28
Max Pain$9.29$7.50$10.00$10.00$10.00
ATM IV49.2%45.9%53.5%50.1%49.6%
Expected Move14.1%13.1%15.0%14.4%14.2%
HV 20d62.7%43.3%70.0%63.9%43.3%
HV 60d60.3%57.7%62.3%61.1%57.8%
IV Rank56.2%47.4%67.5%58.8%57.4%
IV Percentile70.2%52.4%85.3%76.2%72.2%
Term Structure-1.7%-5.0%1.4%0.5%-2.6%
VWIV50.3%46.2%73.8%49.9%49.8%
Skew 25d3.3%-4.5%15.2%4.0%6.0%
Skew 10d8.7%-7.7%25.1%8.6%14.4%
Call IV 25d45.6%38.0%50.9%46.1%42.1%
Put IV 25d48.9%42.4%54.7%50.1%48.1%
Bid-Ask Spread %39.2314.6292.0030.9029.58
Gamma HHI0.410.310.580.380.55
Net GEX-5.1K-27.1K14.2K-6.6K-26.7K
Net DEX-202.2K-1.8M874.7K217.9K874.7K
Net VEX-15.5K-16.9K-13.9K-16.9K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.0019.290.040.81
Total Volume255.2381815324407
Total OI13,767.95212,95514,15913,64413,444

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$9.36$10.0050.1%14.4%63.9%58.8%49.9%4.0%0.5%-6.6K217.9K-16.9K0.0430.90N/AN/A312125,1588,486
2010-11-02$9.70$10.0047.8%13.7%63.0%52.5%47.8%15.2%1.4%-2.5K-199.8K-16.4K1.2714.62N/AN/A1572005,0928,496
2010-11-03$9.87$10.0049.1%14.1%62.4%56.1%49.1%4.2%0.8%-2.7K-396.4K-16.3K0.0628.96N/AN/A179105,1588,676
2010-11-04$10.65$10.0052.3%15.0%65.9%64.6%52.4%3.6%-3.9%9.6K-1.7M-16.0K0.2831.16N/AN/A261735,2258,676
2010-11-05$10.53$7.5049.2%14.2%66.3%56.2%49.3%-1.6%-2.6%14.2K-1.6M-16.1K0.0527.85N/AN/A13075,3258,720
2010-11-08$10.71$7.5053.5%14.4%66.3%67.5%49.6%2.9%-3.2%13.0K-1.8M-16.1K1.6826.99N/AN/A1392345,2798,720
2010-11-09$10.32$7.5049.0%13.7%68.1%55.8%47.1%-2.7%-0.9%13.1K-1.2M-16.5K0.2735.22N/AN/A165445,2788,821
2010-11-10$10.30$7.5047.3%14.3%66.9%51.1%50.0%-4.3%-2.6%12.6K-1.1M-16.1K0.0430.59N/AN/A659255,2778,820
2010-11-11$10.44$7.5048.5%13.9%66.9%54.4%48.5%3.5%-0.5%11.4K-1.3M-16.0K1.1154.83N/AN/A36405,1358,837
2010-11-12$10.11$7.5049.5%14.2%68.2%57.1%49.5%2.6%-1.9%8.3K-706.5K-15.9K1.0137.87N/AN/A1521535,1558,804
2010-11-15$9.91$10.0052.2%15.0%68.1%64.3%73.8%-0.3%-5.0%8.8K-431.5K-16.1K6.9281.92N/AN/A12835,2558,877
2010-11-16$9.52$10.0049.5%14.2%69.9%57.1%49.5%4.5%-2.8%-2.2K306.5K-15.7K6.7632.85N/AN/A1057105,2458,914
2010-11-17$9.40$10.0050.2%14.4%70.0%58.8%50.2%-4.5%-2.2%-13.4K634.8K-15.4K1.0615.90N/AN/A16175,2178,923
2010-11-18$9.51$10.0049.0%14.1%69.0%55.9%0.0%2.7%-3.1%-5.6K477.8K-14.9K7.5580.42N/AN/A201515,2148,940
2010-11-19$9.45$10.0047.5%13.6%69.0%51.9%47.0%2.0%-1.5%-21.4K548.6K-14.3K1.2830.50N/AN/A1031325,2208,877
2010-11-22$9.49$10.0048.4%13.9%68.6%54.0%48.1%0.6%-2.4%-22.5K365.9K-13.9K1.1192.00N/AN/A1011124,5078,448
2010-11-23$9.20$10.0047.7%13.7%65.3%52.3%47.6%11.4%-2.8%-27.1K789.7K-14.4K0.4626.65N/AN/A105484,5818,505
2010-11-24$9.30$10.0045.9%13.1%45.4%47.4%46.2%-3.0%0.1%-25.0K720.4K-14.8K0.4961.95N/AN/A72354,6668,537
2010-11-26$9.40$10.0047.7%13.7%45.5%52.2%0.0%10.4%-0.9%-22.3K613.9K-14.5K0.0025.75N/AN/A104,7388,571
2010-11-29$9.42$10.0048.4%13.9%45.2%54.2%0.0%12.0%0.1%-20.4K523.0K-14.2K19.2927.33N/AN/A71354,7398,571
2010-11-30$9.28$10.0049.6%14.2%43.3%57.4%49.8%6.0%-2.6%-26.7K874.7K-14.1K0.8129.58N/AN/A2251824,7438,701