FORM Options History — April 2011

In April 2011, FORM traded between $9.31 and $10.70. ATM implied volatility averaged 45.9%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 5.5% (HV 20d: 51.4%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2011-04-28: Highest Volume — 2,926 contracts
  • 2011-04-14: Largest IV spike — 34.5% change
  • 2011-04-25: Highest IV Rank — 64.9%
  • 2011-04-25: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.99$9.31$10.70$10.38$10.37
Max Pain$10.85$10.00$12.00$10.00$10.00
ATM IV45.9%36.8%53.0%44.4%39.2%
Expected Move13.9%11.2%15.2%12.7%11.2%
HV 20d51.4%36.4%60.8%59.7%46.8%
HV 60d55.8%52.8%59.2%59.0%52.8%
IV Rank46.3%22.1%64.9%42.2%28.6%
IV Percentile41.7%4.8%78.6%32.5%9.1%
Term Structure0.4%-3.4%4.9%4.6%4.9%
VWIV48.5%38.7%53.7%45.4%38.7%
Skew 25d1.5%-5.1%8.8%-4.1%-0.6%
Skew 10d2.9%-17.1%23.0%-1.0%1.0%
Call IV 25d46.5%32.9%51.7%45.1%36.5%
Put IV 25d48.0%35.9%53.9%41.1%35.9%
Bid-Ask Spread %35.2618.7565.3623.8519.19
Gamma HHI0.460.230.650.600.23
Net GEX213.7K194439.9K298.8K167.0K
Net DEX-4.5M-9.1M-1.2M-8.6M-5.5M
Net VEX-40.9K-46.0K-34.9K-43.3K-40.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.001.790.860.20
Total Volume904.55372,9262,211454
Total OI37,211.2527,05945,03742,50232,317

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$10.38$10.0044.4%12.7%59.7%42.2%45.4%-4.1%4.6%298.8K-8.6M-43.3K0.8623.85N/AN/A1,1901,02118,79023,712
2011-04-04$10.14$12.0049.2%14.4%59.2%54.9%49.8%-1.7%-2.4%324.2K-7.4M-46.0K1.0329.70N/AN/A31232019,77824,548
2011-04-05$10.36$12.0047.3%14.4%59.4%49.9%49.8%-2.4%-3.4%345.7K-9.1M-44.7K0.1930.58N/AN/A55210719,92624,633
2011-04-06$10.15$11.0046.2%13.9%59.6%47.0%48.6%-3.0%1.1%376.3K-7.6M-45.8K1.5630.32N/AN/A15424020,11924,706
2011-04-07$10.12$11.0042.4%14.4%57.8%36.9%50.7%-0.2%-0.3%420.0K-7.8M-45.3K1.3121.15N/AN/A162120,13524,843
2011-04-08$9.86$11.0041.7%14.2%59.0%35.2%50.3%-0.5%-0.5%439.9K-5.7M-44.6K1.0527.21N/AN/A22123220,14224,839
2011-04-11$9.59$11.0043.9%14.6%59.9%40.9%53.7%6.1%-1.7%352.8K-3.1M-42.6K0.3037.00N/AN/A1,70150520,08324,954
2011-04-12$9.54$11.0044.8%14.7%59.8%43.4%51.0%-1.1%-0.7%321.6K-2.4M-42.3K0.5544.08N/AN/A31717519,28325,172
2011-04-13$9.31$11.0036.8%15.1%60.6%22.1%52.4%-0.5%4.1%158.7K-1.2M-42.3K0.4460.62N/AN/A64328318,99324,805
2011-04-14$9.59$11.0049.5%14.2%60.8%55.7%49.9%2.2%0.8%289.5K-1.4M-41.1K0.4024.12N/AN/A87635119,28625,031
2011-04-15$9.64$11.0050.3%14.4%60.8%57.9%49.9%6.0%-1.4%354.7K-1.6M-40.9K0.7445.06N/AN/A1339819,38624,969
2011-04-18$9.54$11.0048.4%13.9%36.9%52.7%47.5%-5.1%0.6%194-1.2M-39.4K1.7965.36N/AN/A5610011,11415,945
2011-04-19$9.40$11.0049.2%14.1%37.2%55.0%49.2%2.5%-0.3%751-1.2M-38.4K0.7943.45N/AN/A14511511,13616,012
2011-04-20$10.05$11.0048.2%13.8%38.6%52.4%47.1%8.8%1.5%33.5K-3.0M-36.8K0.0635.59N/AN/A3562311,20316,127
2011-04-21$10.09$11.0047.8%13.7%37.2%51.2%47.0%3.8%1.6%38.6K-3.1M-38.5K0.0218.75N/AN/A147311,48216,148
2011-04-25$9.92$11.0053.0%15.2%36.4%64.9%52.6%4.3%-1.8%35.5K-2.8M-37.8K0.0750.70N/AN/A2321711,56216,150
2011-04-26$10.70$10.0052.2%15.0%45.8%62.9%51.7%3.5%-2.3%68.9K-5.5M-34.9K0.0335.96N/AN/A1,3893811,64416,151
2011-04-27$10.45$10.0042.7%12.2%46.6%37.8%42.3%3.5%2.9%103.6K-5.2M-35.8K0.0930.00N/AN/A2,39522712,45716,175
2011-04-28$10.59$10.0041.1%11.8%46.1%33.6%41.3%7.7%0.2%143.2K-5.9M-38.1K0.0032.55N/AN/A2,9121414,17516,294
2011-04-29$10.37$10.0039.2%11.2%46.8%28.6%38.7%-0.6%4.9%167.0K-5.5M-40.1K0.2019.19N/AN/A3797516,02116,296