FORM Options History — February 2011

In February 2011, FORM traded between $8.55 and $10.03. ATM implied volatility averaged 46.5%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 10.0% (HV 20d: 56.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.17.

Notable Days

  • 2011-02-01: Highest Volume — 5,668 contracts
  • 2011-02-02: Largest IV drop — 29.4% change
  • 2011-02-01: Highest IV Rank — 100.0%
  • 2011-02-01: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.27$8.55$10.03$8.56$9.82
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV46.5%41.9%66.2%66.2%46.2%
Expected Move13.5%12.5%19.0%19.0%13.2%
HV 20d56.4%42.8%66.0%56.9%59.0%
HV 60d47.1%43.3%52.5%43.3%52.1%
IV Rank47.8%35.7%100.0%100.0%47.0%
IV Percentile49.4%31.7%100.0%100.0%48.8%
Term Structure1.3%-12.1%5.5%-12.1%1.7%
VWIV45.9%31.5%70.5%70.5%46.3%
Skew 25d-3.1%-17.3%35.6%-15.4%1.4%
Skew 10d1.1%-18.0%44.6%1.7%19.6%
Call IV 25d44.6%36.4%71.7%71.7%48.7%
Put IV 25d41.4%31.5%82.6%56.3%50.1%
Bid-Ask Spread %20.308.4745.1415.7428.78
Gamma HHI0.550.470.590.520.58
Net GEX164.4K58.9K245.4K84.9K229.7K
Net DEX-3.9M-8.0M-212.7K-1.1M-6.5M
Net VEX-53.1K-57.2K-47.9K-49.7K-51.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.0011.561.741.06
Total Volume1,198.895845,6685,668447
Total OI39,201.52634,66640,67134,66639,926

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$8.56$10.0066.2%19.0%56.9%100.0%70.5%-15.4%-12.1%84.9K-1.1M-49.7K1.7415.74N/AN/A2,0703,59819,41915,247
2011-02-02$9.39$10.0046.7%13.4%65.9%48.4%46.7%35.6%1.7%176.8K-4.6M-57.2K0.2916.92N/AN/A2,91483520,60517,379
2011-02-03$9.30$10.0045.2%13.0%66.0%44.4%45.4%-5.4%1.8%160.6K-4.4M-56.1K1.9312.08N/AN/A5261,01320,88317,706
2011-02-04$9.40$10.0042.5%13.0%66.0%37.3%45.4%-4.5%2.4%174.5K-4.6M-57.0K0.2610.21N/AN/A2255920,62918,007
2011-02-07$9.29$10.0043.9%13.4%61.6%41.0%46.6%-7.6%2.1%163.1K-4.0M-55.0K0.9310.17N/AN/A77671920,59218,028
2011-02-08$9.29$10.0045.9%13.5%61.2%46.2%42.1%-7.7%0.5%170.1K-3.9M-54.6K0.3510.17N/AN/A65423220,80517,990
2011-02-09$9.28$10.0041.9%13.5%60.7%35.7%47.0%-7.0%1.0%172.8K-4.0M-55.5K0.8111.49N/AN/A17214021,25118,152
2011-02-10$9.28$10.0046.1%13.2%60.3%46.8%31.5%-7.4%2.3%174.8K-4.0M-54.9K0.438.47N/AN/A24010421,24718,270
2011-02-11$9.37$10.0043.6%12.5%60.3%40.2%0.0%-8.0%2.5%197.1K-4.4M-53.8K0.008.99N/AN/A84021,31818,318
2011-02-14$9.51$10.0046.0%13.2%53.7%46.5%46.0%-5.5%0.4%229.8K-5.2M-53.9K0.1412.22N/AN/A1512121,31318,318
2011-02-15$9.32$10.0044.6%12.8%54.0%42.8%44.6%1.6%3.1%179.2K-4.2M-52.9K0.6013.47N/AN/A16710021,38218,308
2011-02-16$9.16$10.0049.0%14.0%47.2%54.4%45.3%0.2%-1.0%146.9K-3.3M-51.6K0.8019.08N/AN/A48639121,48618,408
2011-02-17$9.15$10.0044.0%12.6%43.6%41.2%43.6%-6.7%4.7%145.3K-2.9M-52.1K0.1228.22N/AN/A1862321,78118,852
2011-02-18$9.06$10.0044.2%12.7%42.8%41.7%42.7%-4.8%3.1%135.7K-2.4M-50.3K0.3432.29N/AN/A1605521,91618,755
2011-02-22$8.74$10.0047.6%13.6%44.8%50.7%41.8%-12.3%1.5%97.5K-1.2M-48.4K11.5636.24N/AN/A1491,72220,36318,068
2011-02-23$8.55$10.0047.7%13.7%45.3%50.9%48.7%-17.3%1.0%58.9K-212.7K-47.9K0.5245.14N/AN/A71036620,38219,078
2011-02-24$9.56$10.0045.8%13.1%60.4%46.0%46.2%10.2%5.5%179.9K-5.1M-53.4K0.3133.28N/AN/A1,00531420,88619,325
2011-02-25$10.03$10.0045.8%13.1%62.5%46.0%45.6%1.0%2.9%245.4K-8.0M-53.2K0.1032.80N/AN/A1,78018521,13319,303
2011-02-28$9.82$10.0046.2%13.2%59.0%47.0%46.3%1.4%1.7%229.7K-6.5M-51.4K1.0628.78N/AN/A21723020,65119,275