FORM Options History — January 2011

In January 2011, FORM traded between $8.55 and $10.25. ATM implied volatility averaged 49.3%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 3.2% (HV 20d: 46.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.18.

Notable Days

  • 2011-01-14: Highest Volume — 7,599 contracts
  • 2011-01-06: Largest IV spike — 43.7% change
  • 2011-01-31: Highest IV Rank — 79.7%
  • 2011-01-31: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.21$8.55$10.25$8.83$8.55
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV49.3%34.3%58.2%40.8%58.2%
Expected Move14.7%9.8%16.7%11.7%16.7%
HV 20d46.0%30.4%56.9%38.5%56.9%
HV 60d49.4%45.6%54.9%48.9%46.3%
IV Rank56.0%17.0%79.7%34.1%79.7%
IV Percentile65.9%8.3%95.6%28.6%95.6%
Term Structure-0.1%-5.3%21.7%2.4%13.7%
VWIV51.0%41.0%64.9%41.0%64.9%
Skew 25d-2.7%-31.9%18.1%-15.4%8.6%
Skew 10d1.2%-17.9%29.8%-17.9%18.1%
Call IV 25d49.2%27.8%64.1%45.6%55.1%
Put IV 25d46.5%30.2%63.7%30.2%63.7%
Bid-Ask Spread %25.648.7665.208.7617.28
Gamma HHI0.520.450.740.740.52
Net GEX49.4K-39.8K125.7K-39.8K83.8K
Net DEX-1.4M-5.9M1.5M1.5M-1.2M
Net VEX-37.7K-53.5K-10.9K-10.9K-49.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0133.400.950.47
Total Volume1,930.05247,5995,653902
Total OI27,72514,70737,10314,70734,187

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$8.83$10.0040.8%11.7%38.5%34.1%41.0%-15.4%2.4%-39.8K1.5M-10.9K0.958.76N/AN/A2,9042,7494,9999,708
2011-01-04$8.89$10.0040.6%11.6%38.6%33.5%45.9%-15.6%1.8%-32.1K1.0M-22.3K0.7927.13N/AN/A6405057,49812,220
2011-01-05$9.00$10.0034.3%9.8%39.1%17.0%42.6%7.1%21.7%-22.2K773.2K-24.2K1.1019.06N/AN/A1,3451,4798,09112,721
2011-01-06$9.07$10.0049.3%14.1%38.4%56.6%42.5%-11.0%-1.6%-17.5K396.6K-30.6K1.0019.63N/AN/A12129,40214,094
2011-01-07$9.69$10.0042.4%14.4%45.3%38.2%50.1%18.1%-1.9%14.7K-1.1M-31.3K0.1828.38N/AN/A1,2552219,40214,104
2011-01-10$9.50$10.0044.0%14.7%45.4%42.5%48.1%0.5%-2.8%17.9K-810.0K-30.1K1.6011.81N/AN/A4116589,87113,856
2011-01-11$9.28$10.0040.0%14.6%45.9%30.9%45.5%-6.7%-1.5%11.2K-188.7K-31.0K33.4014.91N/AN/A1033410,16614,084
2011-01-12$9.46$10.0039.1%14.6%38.5%28.6%0.0%14.1%-4.7%20.1K-505.7K-30.7K0.0133.89N/AN/A660510,16614,266
2011-01-13$9.51$10.0049.9%14.3%30.4%57.5%49.9%-4.5%-3.1%17.5K-516.2K-30.4K0.2413.67N/AN/A41109,91514,266
2011-01-14$10.25$10.0052.6%15.1%39.6%64.8%52.6%-7.8%0.8%37.6K-3.0M-30.5K0.1122.63N/AN/A6,8507499,91514,256
2011-01-18$10.25$10.0053.7%15.4%39.6%67.6%53.3%-5.5%0.0%125.7K-5.9M-40.5K0.1145.66N/AN/A1,68418015,19014,808
2011-01-19$9.49$10.0055.0%15.8%49.3%71.1%56.1%2.4%-3.2%103.2K-2.8M-41.0K0.4347.59N/AN/A3,9321,70716,31914,908
2011-01-20$9.03$10.0055.1%15.8%52.7%71.5%55.2%4.3%-3.7%93.8K-1.8M-45.8K1.5248.19N/AN/A9801,48618,85516,384
2011-01-21$8.81$10.0056.3%16.1%53.4%74.6%56.6%4.3%-4.4%79.8K-973.5K-47.5K0.4624.96N/AN/A62629119,43217,671
2011-01-24$8.83$10.0054.2%15.5%53.0%69.1%53.5%-1.0%-0.6%74.3K-1.8M-48.3K0.3065.20N/AN/A2,32570516,19514,108
2011-01-25$8.91$10.0054.9%15.7%52.7%70.8%55.2%1.9%-3.1%94.7K-2.5M-51.7K0.3214.92N/AN/A81426417,88214,706
2011-01-26$9.08$10.0055.9%16.0%53.2%73.5%56.2%1.8%-3.5%114.9K-3.3M-53.5K0.1118.11N/AN/A3994518,48814,937
2011-01-27$9.12$10.0057.0%16.4%53.2%76.6%0.0%-17.5%-5.3%125.1K-3.7M-53.3K0.2412.31N/AN/A2997118,70614,932
2011-01-28$8.61$10.0051.7%14.8%56.9%62.3%48.8%-31.9%-3.9%84.9K-1.5M-51.2K0.1718.61N/AN/A88615518,80814,984
2011-01-31$8.55$10.0058.2%16.7%56.9%79.7%64.9%8.6%13.7%83.8K-1.2M-49.6K0.4717.28N/AN/A61428819,08815,099