FORM Options History — June 2011

In June 2011, FORM traded between $8.56 and $9.45. ATM implied volatility averaged 42.9%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.1% (HV 20d: 34.8%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.15.

Notable Days

  • 2011-06-01: Highest Volume — 575 contracts
  • 2011-06-21: Largest IV drop — 8.8% change
  • 2011-06-08: Highest IV Rank — 46.2%
  • 2011-06-07: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.96$8.56$9.45$9.45$9.06
Max Pain$10.09$10.00$11.00$11.00$10.00
ATM IV42.9%36.3%45.9%44.2%36.3%
Expected Move12.4%10.4%13.4%12.7%10.4%
HV 20d34.8%23.9%42.3%42.0%24.5%
HV 60d43.5%38.2%49.5%49.5%38.3%
IV Rank38.2%20.7%46.2%41.8%20.7%
IV Percentile26.7%4.8%45.6%33.7%4.8%
Term Structure5.2%-1.8%11.4%-1.8%11.4%
VWIV42.4%32.0%51.2%43.9%35.3%
Skew 25d-6.5%-14.8%14.6%1.6%-9.8%
Skew 10d-5.8%-25.6%27.6%12.0%-14.7%
Call IV 25d45.7%36.3%50.4%39.9%45.6%
Put IV 25d39.2%31.5%61.8%41.5%35.8%
Bid-Ask Spread %24.0810.4976.9124.4820.66
Gamma HHI0.370.320.550.350.48
Net GEX10.2K-83.4K116.8K73.7K101.7K
Net DEX523.3K-1.3M2.1M-1.3M38.8K
Net VEX-21.1K-27.8K-13.8K-26.9K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0055.250.140.00
Total Volume192.90913575575139
Total OI31,079.95528,41833,05531,91529,261

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$9.45$11.0044.2%12.7%42.0%41.8%0.0%1.6%-1.8%73.7K-1.3M-26.9K0.1424.48N/AN/A5066915,32016,595
2011-06-02$9.42$11.0042.5%12.2%41.9%37.3%0.0%5.6%1.3%69.9K-1.1M-27.8K2.2076.91N/AN/A51115,60616,595
2011-06-03$9.25$10.0040.0%13.2%42.3%30.6%43.9%-8.6%3.3%49.0K-476.2K-26.1K4.1659.13N/AN/A5824115,60816,531
2011-06-06$9.16$10.0043.4%13.0%41.8%39.6%45.7%-8.9%4.4%37.4K-51.8K-25.7K55.2521.87N/AN/A422115,61116,746
2011-06-07$9.22$10.0043.2%13.4%41.9%39.0%43.7%-8.3%3.2%42.0K-122.6K-25.9K0.0221.73N/AN/A221515,61316,940
2011-06-08$9.00$10.0045.9%13.0%37.7%46.2%49.7%-14.8%6.0%15.2K443.9K-24.8K0.6923.98N/AN/A845815,65216,936
2011-06-09$9.01$10.0043.7%12.5%37.6%40.5%44.6%-12.5%5.3%7.9K736.1K-24.4K0.0217.26N/AN/A149315,72816,960
2011-06-10$8.99$10.0044.4%12.7%36.9%42.2%32.1%-13.0%6.1%5.0K764.7K-23.9K1.4321.98N/AN/A12718215,75916,960
2011-06-13$8.81$10.0044.0%12.6%36.0%41.2%45.4%1.8%5.3%-29.8K1.4M-22.3K1.3911.96N/AN/A7710715,86216,965
2011-06-14$9.00$10.0042.4%12.1%35.6%36.8%43.8%-12.5%6.8%7.2K828.5K-22.0K0.3914.24N/AN/A2158315,92617,066
2011-06-15$8.84$10.0045.4%13.0%36.0%44.9%36.6%-12.3%3.1%-32.2K1.4M-22.3K12.0012.65N/AN/A11215,94917,106
2011-06-16$8.80$10.0043.5%12.5%33.9%39.9%40.2%-10.7%8.0%-36.9K1.5M-20.7K4.6418.64N/AN/A115115,83617,032
2011-06-17$8.64$10.0045.7%13.1%31.4%45.7%48.6%-4.1%5.4%-68.6K2.1M-21.0K0.8113.06N/AN/A867015,84017,066
2011-06-20$8.56$10.0045.8%13.1%31.4%46.0%48.0%-0.9%4.1%-83.4K1.5M-19.8K2.7512.76N/AN/A5916212,29916,119
2011-06-21$8.74$10.0041.8%12.0%32.0%35.2%41.3%-10.4%5.2%-34.2K957.0K-18.0K0.5310.49N/AN/A26213812,30716,236
2011-06-22$8.69$10.0042.2%12.1%32.0%36.4%32.0%-13.4%6.2%-45.9K1.0M-17.9K3.5621.04N/AN/A5419212,46916,276
2011-06-23$8.89$10.0041.3%11.8%32.9%34.0%0.0%-13.4%8.0%-14.5K479.4K-17.2K0.4721.69N/AN/A15712,51816,411
2011-06-24$8.76$10.0044.9%12.9%32.2%43.6%51.2%-12.2%1.7%-17.3K779.3K-18.1K0.6720.02N/AN/A302012,53316,416
2011-06-27$8.86$10.0041.9%12.0%32.6%35.6%44.5%-14.6%5.2%-32.6K481.5K-14.9K0.0019.59N/AN/A22012,54816,436
2011-06-28$9.03$10.0042.1%12.1%28.7%36.0%41.6%13.2%6.8%116.8K-96.6K-14.9K0.1218.87N/AN/A2693112,56316,436
2011-06-29$8.95$10.0038.4%11.0%23.9%26.5%37.5%14.6%9.0%94.3K207.4K-13.8K0.0046.63N/AN/A187012,68616,437
2011-06-30$9.06$10.0036.3%10.4%24.5%20.7%35.3%-9.8%11.4%101.7K38.8K-15.0K0.0020.66N/AN/A139012,82416,437