FORM Options History — July 2011

In July 2011, FORM traded between $8.68 and $9.63. ATM implied volatility averaged 43.1%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 9.4% (HV 20d: 33.7%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.01.

Notable Days

  • 2011-07-25: Highest Volume — 4,034 contracts
  • 2011-07-14: Largest IV spike — 38.3% change
  • 2011-07-26: Highest IV Rank — 50.9%
  • 2011-07-26: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.17$8.68$9.63$9.30$9.19
Max Pain$9.05$8.00$10.00$9.00$9.00
ATM IV43.1%33.3%47.7%44.1%44.0%
Expected Move13.1%12.6%13.7%12.6%12.6%
HV 20d33.7%25.6%38.9%25.6%38.8%
HV 60d37.7%35.3%39.7%38.5%35.3%
IV Rank38.8%12.9%50.9%41.4%41.2%
IV Percentile36.6%2.4%63.5%36.9%36.5%
Term Structure-0.6%-3.3%3.3%3.3%0.1%
VWIV44.4%39.8%50.5%50.5%41.5%
Skew 25d3.4%-8.1%14.0%-8.1%-3.4%
Skew 10d6.7%-10.6%21.2%-4.9%-2.1%
Call IV 25d41.7%33.2%51.2%51.2%39.4%
Put IV 25d45.1%36.0%52.8%43.1%36.0%
Bid-Ask Spread %32.0014.7279.7041.4518.85
Gamma HHI0.330.180.770.580.24
Net GEX46.8K-20.5K264.3K176.8K-20.5K
Net DEX135.7K-1.2M1.0M-1.2M477.7K
Net VEX-12.5K-16.9K-10.6K-16.9K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0017.400.0017.40
Total Volume534.2584,0341,90092
Total OI20,603.38,12031,72929,39412,311

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$9.30$9.0044.1%12.6%25.6%41.4%50.5%-8.1%3.3%176.8K-1.2M-16.9K0.0041.45N/AN/A1,900012,95716,437
2011-07-05$9.22$8.0037.2%12.7%25.6%23.1%41.7%4.2%1.6%215.0K-591.7K-13.9K0.3327.09N/AN/A1725614,63116,437
2011-07-06$8.97$8.0037.6%12.8%27.3%24.3%42.0%5.7%-0.4%96.0K319.2K-12.3K2.9217.80N/AN/A247014,67916,487
2011-07-07$9.15$9.0038.0%12.7%26.9%25.3%43.1%7.4%0.2%166.6K-188.0K-13.0K0.0435.51N/AN/A3101114,70216,482
2011-07-08$9.35$9.0033.7%13.1%27.9%14.0%43.0%4.7%-0.3%264.3K-780.5K-13.3K0.0525.83N/AN/A2431214,98716,487
2011-07-11$9.05$9.0041.2%12.9%30.4%33.7%41.3%3.0%1.4%71.9K304.3K-11.5K0.0721.11N/AN/A7115314,98416,477
2011-07-12$8.68$9.0043.7%13.4%33.2%40.4%47.7%0.1%0.2%-8.7K976.7K-10.8K3.5122.05N/AN/A4917215,00116,527
2011-07-13$8.90$9.0033.3%13.2%33.6%12.9%39.8%4.2%-0.7%3.7K888.7K-11.0K1.1321.70N/AN/A525915,02516,692
2011-07-14$8.81$9.0046.1%13.2%33.1%46.6%45.2%2.8%-0.5%-6.4K1.0M-10.9K8.5633.45N/AN/A2723115,01616,704
2011-07-15$8.92$10.0044.4%12.7%33.4%42.3%43.7%-2.4%1.5%5.7K926.7K-10.9K3.3245.57N/AN/A4715615,03116,698
2011-07-18$8.78$10.0047.5%13.6%33.2%50.4%48.5%9.3%-2.7%-17.8K694.7K-10.6K0.1372.88N/AN/A163213,2724,848
2011-07-19$9.29$10.0045.0%12.9%38.3%43.8%43.4%9.0%0.1%-9.1K274.7K-11.0K0.1326.99N/AN/A250333,3094,869
2011-07-20$9.18$9.0046.7%13.4%38.2%48.4%45.1%6.2%-2.6%-8.7K280.8K-10.9K0.4728.81N/AN/A78373,4274,889
2011-07-21$9.28$9.0046.7%13.4%38.2%48.2%46.9%10.4%-2.2%-5.5K183.6K-11.2K0.3579.70N/AN/A278963,4914,910
2011-07-22$9.49$9.0045.8%13.1%38.2%46.0%43.0%4.6%-2.3%1.4K-89.8K-11.4K0.0033.09N/AN/A5803,6394,869
2011-07-25$9.59$9.0046.8%13.4%37.6%48.6%49.1%14.0%-2.0%5.6K-235.7K-11.1K0.7920.06N/AN/A2,2561,7783,6954,869
2011-07-26$9.63$9.0047.7%13.7%37.6%50.9%48.5%-0.2%-3.3%9.8K-542.3K-15.4K0.4021.11N/AN/A4471805,7406,424
2011-07-27$9.39$9.0047.1%13.5%38.5%49.4%43.2%1.6%-2.4%4.8K-193.1K-15.2K0.1932.22N/AN/A156306,0306,559
2011-07-28$9.23$9.0045.3%13.0%38.9%44.7%41.4%-4.1%-1.4%-9.1K239.1K-14.3K0.3314.72N/AN/A283935,9306,544
2011-07-29$9.19$9.0044.0%12.6%38.8%41.2%41.5%-3.4%0.1%-20.5K477.7K-14.5K17.4018.85N/AN/A5875,7276,584