FORM Options History — December 2010

In December 2010, FORM traded between $8.80 and $10.32. ATM implied volatility averaged 40.2%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 1.6% (HV 20d: 38.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.79.

Notable Days

  • 2010-12-14: Highest Volume — 1,046 contracts
  • 2010-12-30: Largest IV spike — 24.4% change
  • 2010-12-15: Highest IV Rank — 49.4%
  • 2010-12-15: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.37$8.80$10.32$9.65$8.88
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV40.2%30.1%46.6%45.5%38.7%
Expected Move11.5%8.6%13.4%13.0%11.1%
HV 20d38.7%29.6%43.7%43.7%39.3%
HV 60d52.6%49.0%58.1%58.1%49.1%
IV Rank32.5%5.9%49.4%46.5%28.6%
IV Percentile30.9%1.6%54.4%49.6%25.4%
Term Structure5.0%-0.5%11.0%-0.5%2.2%
VWIV41.0%28.9%47.2%45.5%39.6%
Skew 25d-1.0%-17.0%47.0%4.2%-16.4%
Skew 10d0.7%-17.8%59.3%3.7%-17.8%
Call IV 25d39.6%30.4%48.2%48.2%44.7%
Put IV 25d38.7%23.7%92.1%52.3%28.3%
Bid-Ask Spread %32.909.1863.6614.519.18
Gamma HHI0.560.360.760.400.73
Net GEX-19.8K-41.2K21.5K-9.8K-41.2K
Net DEX764.4K-961.4K1.9M212.2K1.5M
Net VEX-12.2K-13.8K-10.9K-13.8K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.0017.901.691.63
Total Volume265.091111,046215129
Total OI14,496.27313,80015,16513,80014,681

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$9.65$10.0045.5%13.0%43.7%46.5%45.5%4.2%-0.5%-9.8K212.2K-13.8K1.6914.51N/AN/A801354,9588,842
2010-12-02$9.64$10.0041.3%11.9%43.2%35.6%41.4%47.0%3.2%-9.8K306.9K-13.6K0.8623.67N/AN/A51444,9818,962
2010-12-03$9.80$10.0044.0%12.6%33.1%42.6%44.0%1.1%1.5%-4.1K-15.1K-13.5K0.3144.43N/AN/A91285,0149,001
2010-12-06$9.85$10.0046.4%12.2%33.1%48.9%42.6%6.3%3.8%734-73.8K-13.4K4.3341.29N/AN/A421825,0719,018
2010-12-07$9.83$10.0044.0%12.8%32.3%42.6%44.8%-1.6%2.6%196-16.8K-13.3K2.8431.46N/AN/A19545,1079,169
2010-12-08$10.02$10.0043.6%12.7%30.8%41.4%44.2%1.8%3.1%4.1K-308.3K-13.2K0.4338.77N/AN/A28125,0999,220
2010-12-09$10.21$10.0039.5%11.8%31.6%30.5%41.0%4.4%5.5%10.3K-681.5K-12.5K0.0663.66N/AN/A383225,0789,221
2010-12-10$10.32$10.0038.0%12.3%31.5%26.9%42.4%6.8%4.1%16.3K-961.4K-12.7K0.2732.10N/AN/A90245,2139,243
2010-12-13$10.20$10.0044.5%11.8%29.6%43.8%44.9%-9.9%5.1%21.5K-844.3K-11.9K0.3027.54N/AN/A247745,2379,243
2010-12-14$9.47$10.0043.1%12.5%39.2%40.3%43.7%-4.2%3.9%-9.7K828.8K-12.6K0.6922.25N/AN/A6204265,3439,296
2010-12-15$8.89$10.0046.6%13.4%42.9%49.4%41.9%-16.9%0.7%-40.7K1.9M-12.4K7.7540.29N/AN/A634885,3529,580
2010-12-16$9.00$10.0045.0%12.9%43.1%45.1%47.2%5.3%1.9%-41.1K1.8M-12.3K1.0941.23N/AN/A1982155,3759,659
2010-12-17$9.00$10.0041.3%11.8%42.8%35.4%40.0%9.7%6.0%-36.8K1.8M-12.2K0.6541.66N/AN/A91595,4509,715
2010-12-20$8.93$10.0032.3%9.3%42.8%11.7%28.9%6.2%9.3%-39.7K1.4M-11.5K17.9037.72N/AN/A315554,9119,176
2010-12-21$9.00$10.0039.0%11.2%42.9%29.4%40.7%9.0%5.9%-37.9K1.4M-11.5K2.4037.94N/AN/A521254,9079,613
2010-12-22$8.96$10.0030.1%8.6%41.6%5.9%35.3%-12.4%11.0%-39.7K1.5M-11.5K0.6721.83N/AN/A2051374,9139,716
2010-12-23$8.80$10.0031.2%9.0%41.7%8.9%36.2%-10.2%11.0%-36.0K1.5M-11.8K1.2926.73N/AN/A14185,0029,829
2010-12-27$8.96$10.0038.5%11.0%42.1%28.0%37.8%-9.4%9.6%-38.0K1.6M-11.2K13.6753.81N/AN/A395335,0069,835
2010-12-28$8.99$10.0033.9%9.7%42.1%16.0%40.1%-12.5%8.6%-34.1K1.3M-10.9K0.0015.03N/AN/A1105,0159,590
2010-12-29$8.97$10.0034.7%9.9%41.9%18.0%39.6%-12.8%7.1%-32.7K1.3M-11.1K1.6320.74N/AN/A711165,0149,590
2010-12-30$8.84$10.0043.2%12.4%39.2%40.3%0.0%-17.0%4.6%-36.7K1.4M-11.0K1.0038.05N/AN/A15154,9919,682
2010-12-31$8.88$10.0038.7%11.1%39.3%28.6%39.6%-16.4%2.2%-41.2K1.5M-11.2K1.639.18N/AN/A49804,9939,688