FORM Options History — August 2011

In August 2011, FORM traded between $7.64 and $9.24. ATM implied volatility averaged 56.5%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 3.5% (HV 20d: 52.9%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 3.35.

Notable Days

  • 2011-08-09: Highest Volume — 953 contracts
  • 2011-08-10: Largest IV spike — 25.1% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.21$7.64$9.24$9.24$7.89
Max Pain$9.78$9.00$10.00$9.00$9.00
ATM IV56.5%43.5%73.7%43.5%52.5%
Expected Move15.9%12.5%19.8%12.5%15.1%
HV 20d52.9%37.6%65.1%37.6%64.3%
HV 60d41.2%35.4%45.8%35.4%45.8%
IV Rank63.4%40.0%100.0%40.0%51.4%
IV Percentile84.5%30.6%100.0%30.6%80.6%
Term Structure-1.1%-13.3%5.8%0.6%2.4%
VWIV54.1%40.2%66.3%40.2%52.1%
Skew 25d6.1%-5.7%19.5%-2.4%19.5%
Skew 10d13.2%-5.7%31.7%-0.4%28.2%
Call IV 25d49.5%31.9%62.5%40.6%39.1%
Put IV 25d55.7%34.7%66.8%38.2%58.5%
Bid-Ask Spread %24.4115.5495.1319.9617.61
Gamma HHI0.230.210.260.240.24
Net GEX-38.4K-59.0K-21.6K-21.6K-34.5K
Net DEX1.8M347.4K3.0M347.4K1.4M
Net VEX-10.5K-13.7K-8.7K-13.7K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.350.0021.401.154.35
Total Volume206.304295358337
Total OI11,948.1749,99013,23712,33010,611

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$9.24$9.0043.5%12.5%37.6%40.0%40.2%-2.4%0.6%-21.6K347.4K-13.7K1.1519.96N/AN/A27315,7276,603
2011-08-02$8.86$9.0043.8%12.6%40.4%40.6%41.9%1.6%1.7%-41.6K977.5K-12.9K2.4821.46N/AN/A651615,7076,579
2011-08-03$8.99$9.0045.2%13.0%39.6%44.3%0.0%2.9%-1.5%-38.2K885.8K-13.2K0.0019.90N/AN/A205,7556,676
2011-08-04$8.69$9.0050.0%14.3%40.6%57.2%46.2%13.4%-0.9%-43.1K1.3M-12.5K1.1818.97N/AN/A72855,7556,676
2011-08-05$8.48$10.0059.8%15.3%40.3%83.1%53.8%6.7%3.0%-43.4K1.6M-12.5K11.5734.27N/AN/A404635,7876,750
2011-08-08$7.90$10.0073.7%19.8%45.7%100.0%60.1%-5.7%-13.3%-38.8K2.2M-11.4K1.3395.13N/AN/A1742315,7956,851
2011-08-09$8.23$10.0058.3%16.5%46.7%65.9%57.5%7.5%-0.7%-53.2K2.4M-10.9K4.6136.64N/AN/A1707835,7166,915
2011-08-10$7.81$10.0072.9%18.6%48.7%98.3%66.3%4.3%-4.5%-42.5K2.5M-11.1K2.6717.37N/AN/A30805,7877,273
2011-08-11$8.37$10.0059.7%17.1%55.6%69.2%57.0%7.5%1.7%-56.2K2.0M-12.0K21.4022.18N/AN/A51075,7777,317
2011-08-12$8.19$10.0061.2%17.5%55.7%72.3%0.0%16.9%-7.4%-54.0K2.4M-11.4K0.0016.07N/AN/A0205,7777,409
2011-08-15$8.41$10.0049.8%14.3%56.5%47.2%53.8%9.7%5.8%-59.0K2.4M-10.5K2.1826.66N/AN/A671465,7777,409
2011-08-16$8.18$10.0057.1%16.4%52.7%63.3%0.0%14.3%-3.6%-45.1K2.6M-10.0K2.5322.88N/AN/A32815,7827,388
2011-08-17$8.18$10.0054.1%15.5%52.7%56.8%0.0%8.7%-0.8%-42.9K2.7M-9.9K0.2221.22N/AN/A96215,8087,408
2011-08-18$7.69$10.0061.5%17.6%55.9%73.0%61.3%4.8%-6.3%-33.9K2.9M-9.3K1.5617.35N/AN/A16255,8687,369
2011-08-19$7.64$10.0060.4%17.3%54.7%70.7%54.0%3.2%-0.2%-32.8K3.0M-8.9K0.9923.11N/AN/A96955,8797,357
2011-08-22$7.65$10.0058.9%16.9%54.3%66.0%59.0%4.0%0.5%-29.3K1.5M-8.8K0.2818.78N/AN/A152424,5745,416
2011-08-23$8.19$10.0058.5%16.8%61.0%65.2%49.3%15.3%-2.2%-24.8K1.1M-9.4K0.5418.30N/AN/A142774,6735,392
2011-08-24$8.06$10.0057.7%16.6%60.8%63.4%0.0%6.2%-0.7%-26.6K1.2M-9.3K0.0017.30N/AN/A01074,7145,449
2011-08-25$7.77$10.0057.5%16.5%61.6%62.9%56.8%5.6%1.1%-30.1K1.4M-9.0K2.1918.61N/AN/A16354,7145,519
2011-08-26$7.99$10.0055.9%16.0%62.9%59.2%55.3%4.9%1.0%-31.0K1.4M-9.0K5.4722.84N/AN/A17934,7195,554
2011-08-29$8.33$10.0051.2%14.7%65.1%48.4%0.0%-1.7%2.7%-27.4K1.1M-9.1K3.6315.54N/AN/A843054,7275,564
2011-08-30$8.11$10.0055.7%16.0%64.2%58.9%55.4%-5.6%-2.5%-33.0K1.3M-9.0K0.0919.35N/AN/A107104,7675,738
2011-08-31$7.89$9.0052.5%15.1%64.3%51.4%52.1%19.5%2.4%-34.5K1.4M-8.7K4.3517.61N/AN/A632744,8635,748