FORM Options History — May 2011

In May 2011, FORM traded between $9.25 and $10.43. ATM implied volatility averaged 43.7%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 1.3% (HV 20d: 45.0%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2011-05-03: Highest Volume — 1,989 contracts
  • 2011-05-10: Largest IV spike — 15.3% change
  • 2011-05-23: Highest IV Rank — 50.8%
  • 2011-05-23: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.82$9.25$10.43$10.18$9.91
Max Pain$10.62$10.00$11.00$10.00$11.00
ATM IV43.7%39.4%47.6%41.3%39.4%
Expected Move12.6%11.3%13.7%11.8%11.3%
HV 20d45.0%36.2%50.0%47.1%39.7%
HV 60d52.3%48.3%55.1%52.9%48.9%
IV Rank40.4%28.9%50.8%34.0%28.9%
IV Percentile27.3%9.9%52.8%15.1%9.9%
Term Structure1.9%-0.2%5.5%5.5%3.0%
VWIV43.3%38.5%48.1%38.5%39.7%
Skew 25d2.7%-8.0%14.2%-8.0%14.2%
Skew 10d4.6%-8.7%19.8%-4.1%19.8%
Call IV 25d41.3%30.3%45.9%45.1%30.3%
Put IV 25d44.1%37.1%48.2%37.1%44.5%
Bid-Ask Spread %27.6511.4973.6373.6322.60
Gamma HHI0.290.240.370.240.37
Net GEX108.6K30.3K187.8K148.0K130.9K
Net DEX-2.8M-5.6M-420.2K-4.7M-2.9M
Net VEX-33.2K-38.6K-26.7K-38.1K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.0415.6215.620.05
Total Volume362.095321,989482237
Total OI32,485.85731,36833,69932,28231,766

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$10.18$10.0041.3%11.8%47.1%34.0%38.5%-8.0%5.5%148.0K-4.7M-38.1K15.6273.63N/AN/A2945315,91116,371
2011-05-03$9.90$10.0043.8%12.5%47.4%40.5%43.1%2.7%1.8%107.0K-3.3M-38.6K0.1149.20N/AN/A1,78720215,90616,438
2011-05-04$9.95$10.0042.1%12.1%46.7%36.2%42.3%2.0%3.6%122.7K-3.6M-38.1K1.4844.89N/AN/A426215,95716,483
2011-05-05$9.89$10.0043.1%12.4%46.3%38.8%40.4%14.0%3.6%113.0K-3.2M-37.4K0.3653.51N/AN/A1124015,89116,403
2011-05-06$10.03$10.0043.1%12.8%46.6%38.8%42.9%3.7%2.4%132.9K-3.9M-36.8K0.0431.24N/AN/A3531315,95616,408
2011-05-09$9.94$10.0041.1%13.3%45.7%33.4%48.1%6.1%-0.1%126.6K-3.5M-35.7K1.3915.31N/AN/A9012516,16916,420
2011-05-10$10.43$10.0047.3%13.0%47.4%50.0%43.2%5.9%0.4%187.8K-5.6M-34.6K0.4720.72N/AN/A28413316,16916,440
2011-05-11$10.24$10.0044.5%13.3%48.0%42.6%38.5%2.3%1.7%172.1K-4.9M-35.3K9.2223.89N/AN/A10092216,20116,515
2011-05-12$10.38$11.0045.9%13.1%47.0%46.1%42.5%5.8%0.8%184.6K-5.2M-34.8K0.1223.49N/AN/A1471716,22016,941
2011-05-13$10.05$11.0045.7%13.1%47.9%45.8%45.7%8.9%0.2%139.7K-3.6M-35.2K1.0916.02N/AN/A222416,24616,934
2011-05-16$9.70$11.0045.6%13.1%49.7%45.5%45.7%0.8%2.0%102.2K-2.5M-32.2K0.1816.35N/AN/A2865116,24516,931
2011-05-17$9.68$11.0044.9%12.9%49.5%43.5%44.8%0.3%1.8%92.6K-2.0M-32.1K0.1713.13N/AN/A1342316,22317,031
2011-05-18$9.95$11.0044.1%12.6%50.0%41.4%45.2%3.5%1.5%138.6K-2.9M-32.4K1.9914.89N/AN/A20540716,25716,984
2011-05-19$9.53$11.0044.0%12.6%46.5%41.0%44.1%-2.6%1.2%72.4K-1.3M-29.5K5.7413.17N/AN/A8045916,11517,140
2011-05-20$9.49$11.0043.9%12.6%46.4%41.0%44.0%-3.4%2.2%55.7K-702.9K-31.0K0.5011.49N/AN/A442216,13017,569
2011-05-23$9.27$11.0047.6%13.7%46.7%50.8%47.3%-4.7%-0.2%32.7K-491.7K-29.9K0.6531.75N/AN/A17011015,03316,335
2011-05-24$9.25$11.0043.3%12.4%36.3%39.4%44.8%-6.8%0.9%30.3K-420.2K-29.7K3.2416.64N/AN/A3411015,06316,414
2011-05-25$9.35$11.0043.6%12.5%36.2%40.2%44.7%-0.8%0.2%46.2K-637.2K-30.0K1.9636.93N/AN/A5711215,08316,509
2011-05-26$9.53$11.0040.3%11.5%36.7%31.3%39.5%8.3%5.2%71.7K-1.3M-30.0K1.5516.18N/AN/A294515,12316,561
2011-05-27$9.48$11.0042.8%12.3%36.2%38.0%43.9%4.8%1.5%72.2K-1.3M-28.3K1.0035.54N/AN/A161615,13016,582
2011-05-31$9.91$11.0039.4%11.3%39.7%28.9%39.7%14.2%3.0%130.9K-2.9M-26.7K0.0522.60N/AN/A2251215,17816,588