FORM Options History — September 2011

In September 2011, FORM traded between $6.23 and $7.67. ATM implied volatility averaged 59.7%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 13.4% (HV 20d: 46.3%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 15.68.

Notable Days

  • 2011-09-13: Highest Volume — 3,273 contracts
  • 2011-09-13: Largest IV drop — 28.9% change
  • 2011-09-06: Highest IV Rank — 99.7%
  • 2011-09-06: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.99$6.23$7.67$7.67$6.23
Max Pain$7.95$7.00$9.00$9.00$7.00
ATM IV59.7%49.7%73.5%53.1%64.5%
Expected Move17.1%15.2%18.6%15.2%18.5%
HV 20d46.3%32.7%64.8%64.0%32.7%
HV 60d46.9%45.9%47.9%45.9%47.1%
IV Rank67.9%45.0%99.7%52.8%78.9%
IV Percentile90.0%68.7%99.6%81.7%97.2%
Term Structure0.3%-7.6%6.9%-0.5%-1.7%
VWIV56.8%43.9%64.9%63.9%61.0%
Skew 25d10.6%-4.1%22.9%9.2%-4.1%
Skew 10d19.7%7.5%31.5%24.4%7.5%
Call IV 25d50.5%39.2%64.4%43.8%64.4%
Put IV 25d61.0%53.0%68.5%53.0%60.3%
Bid-Ask Spread %15.8310.0329.8321.0612.57
Gamma HHI0.300.220.400.270.32
Net GEX-12.9K-40.0K3.7K-40.0K236
Net DEX1.5M443.0K2.2M1.7M2.1M
Net VEX-10.4K-13.4K-8.2K-8.2K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.680.00175.670.248.61
Total Volume721.238433,273409317
Total OI14,207.8110,71016,24310,71016,243

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$7.67$9.0053.1%15.2%64.0%52.8%0.0%9.2%-0.5%-40.0K1.7M-8.2K0.2421.06N/AN/A331784,8865,824
2011-09-02$7.37$9.0063.1%18.1%64.8%75.7%63.9%11.8%-4.1%-35.4K1.8M-8.6K0.0120.15N/AN/A1,750205,1965,861
2011-09-06$7.39$8.0073.5%18.6%60.3%99.7%64.9%15.0%-7.6%-8.3K1.0M-9.3K14.9629.83N/AN/A681,0176,9175,871
2011-09-07$7.44$8.0068.2%17.3%58.2%87.4%48.2%12.6%-0.9%-5.3K817.6K-8.9K28.9019.01N/AN/A205786,9215,550
2011-09-08$7.26$8.0060.6%17.3%56.0%70.1%60.7%19.4%1.3%-5041.2M-9.1K2.6010.98N/AN/A1263276,9385,881
2011-09-09$7.15$8.0064.1%18.4%49.0%78.1%64.3%20.2%-3.7%-1281.2M-9.2K0.0011.98N/AN/A01,0997,0595,977
2011-09-12$7.30$8.0070.4%18.3%49.7%92.5%62.6%22.9%-5.1%3.7K1.1M-8.9K0.0011.95N/AN/A03847,0595,931
2011-09-13$7.43$8.0050.0%18.2%49.0%45.8%57.4%11.7%-1.7%-4.7K805.9K-9.1K1.0417.57N/AN/A1,6021,6717,0596,147
2011-09-14$7.46$8.0049.7%17.1%48.5%45.0%57.0%7.7%0.7%-5.3K443.0K-13.4K13.3321.60N/AN/A3408,5397,539
2011-09-15$7.45$8.0059.5%17.1%48.5%67.5%54.0%9.0%-1.1%-12.9K487.8K-13.2K28.5017.15N/AN/A226278,5427,544
2011-09-16$7.30$8.0057.0%16.3%44.0%61.6%48.6%14.6%1.6%-4.6K710.2K-12.7K175.6716.24N/AN/A35278,5427,549
2011-09-19$7.00$8.0055.1%15.8%46.2%57.5%53.2%5.8%4.4%-22.9K1.5M-11.9K1.5913.15N/AN/A2493977,4027,084
2011-09-20$6.84$8.0054.6%15.6%46.6%56.2%54.5%6.1%1.0%-19.8K1.7M-11.7K1.3817.48N/AN/A1271757,6237,198
2011-09-21$6.71$8.0054.5%15.6%37.7%56.0%43.9%16.1%2.5%-19.4K1.8M-11.5K0.0315.99N/AN/A8937,6847,195
2011-09-22$6.41$8.0062.6%17.9%39.8%74.6%58.8%7.0%1.6%-18.6K2.1M-10.7K0.9710.51N/AN/A2902817,7387,198
2011-09-23$6.57$8.0055.3%15.8%40.5%57.8%54.8%14.9%5.7%-15.8K1.9M-11.0K0.0010.03N/AN/A5907,9137,136
2011-09-26$6.54$8.0054.0%15.5%38.3%54.8%52.8%11.1%4.1%-15.7K2.0M-10.5K10.7514.82N/AN/A404307,9417,140
2011-09-27$6.45$8.0062.1%17.8%33.0%73.4%57.8%10.3%-1.6%-15.6K2.1M-10.5K6.0515.45N/AN/A603637,9677,262
2011-09-28$6.34$7.0061.6%17.7%32.7%72.4%56.0%2.1%5.0%-16.0K2.2M-10.2K3.0314.27N/AN/A952887,9947,168
2011-09-29$6.39$7.0059.6%17.1%32.9%67.6%62.1%-1.4%6.9%-14.1K2.1M-10.2K0.1810.75N/AN/A1,3512398,0757,071
2011-09-30$6.23$7.0064.5%18.5%32.7%78.9%61.0%-4.1%-1.7%2362.1M-10.1K8.6112.57N/AN/A332849,1517,092