FORM Options History — October 2011

In October 2011, FORM traded between $5.97 and $6.74. ATM implied volatility averaged 58.7%, placing in the 65.6% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 6.3% (HV 20d: 52.4%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.20.

Notable Days

  • 2011-10-20: Highest Volume — 2,009 contracts
  • 2011-10-13: Largest IV spike — 18.0% change
  • 2011-10-11: Highest IV Rank — 78.7%
  • 2011-10-11: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.33$5.97$6.74$5.97$5.98
Max Pain$5.38$5.00$7.00$7.00$5.00
ATM IV58.7%48.1%64.4%64.1%48.1%
Expected Move16.9%13.8%18.5%18.4%13.8%
HV 20d52.4%33.1%63.0%33.1%61.4%
HV 60d51.4%47.3%54.6%47.3%54.5%
IV Rank65.6%41.3%78.7%78.1%41.3%
IV Percentile86.8%56.3%97.2%96.8%56.3%
Term Structure-3.0%-8.1%6.0%6.0%0.2%
VWIV57.6%47.6%69.2%69.2%48.1%
Skew 25d6.5%-12.4%17.9%-12.4%11.6%
Skew 10d13.4%-9.0%37.2%-9.0%18.4%
Call IV 25d51.6%32.5%68.5%68.5%37.2%
Put IV 25d58.1%48.2%66.5%56.1%48.8%
Bid-Ask Spread %17.4811.9826.2016.8514.04
Gamma HHI0.400.280.500.350.50
Net GEX18.1K-31.9K49.6K-4.9K34.2K
Net DEX998.6K-745.4K2.4M2.3M252.4K
Net VEX-10.4K-12.8K-8.4K-9.0K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0038.500.106.84
Total Volume419492,0091,234251
Total OI16,915.23811,60821,93116,20812,253

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$5.97$7.0064.1%18.4%33.1%78.1%69.2%-12.4%6.0%-4.9K2.3M-9.0K0.1016.85N/AN/A1,1211139,1487,060
2011-10-04$6.60$7.0060.3%17.3%51.3%69.4%49.8%12.7%3.5%25.4K1.3M-11.7K2.7514.94N/AN/A5615410,2347,089
2011-10-05$6.65$7.0059.0%16.9%51.4%66.3%47.6%7.2%-0.0%29.3K1.2M-11.7K0.6515.94N/AN/A312010,2447,049
2011-10-06$6.74$7.0057.5%16.5%51.3%63.0%52.2%17.9%4.7%32.5K1.0M-12.0K0.0117.36N/AN/A1,4961810,2637,041
2011-10-07$6.74$5.0057.3%16.9%51.1%62.4%50.9%10.0%-4.3%46.9K335.8K-12.8K0.1021.30N/AN/A981011,6807,053
2011-10-10$6.68$5.0059.1%17.0%50.4%66.6%68.8%11.6%-5.1%48.7K520.6K-12.0K0.0019.62N/AN/A026011,7507,063
2011-10-11$6.48$5.0064.4%18.5%50.5%78.7%0.0%2.7%1.0%44.9K1.1M-11.2K2.5019.67N/AN/A205011,7507,256
2011-10-12$6.54$5.0052.9%16.0%50.6%52.4%64.9%14.4%-4.9%49.6K1.2M-11.0K4.4514.17N/AN/A7332511,7597,276
2011-10-13$6.44$5.0062.4%17.9%50.7%74.2%55.6%11.7%-6.8%31.6K1.6M-10.4K0.0014.35N/AN/A60011,7287,565
2011-10-14$6.35$5.0056.6%16.2%50.5%60.7%0.0%3.3%-1.7%-9521.9M-9.5K1.5813.27N/AN/A193011,7617,565
2011-10-17$6.00$5.0062.6%18.0%52.1%74.6%62.6%8.3%-6.6%-19.7K2.4M-8.4K0.1826.20N/AN/A89916411,7807,557
2011-10-18$6.24$5.0059.3%17.0%54.3%67.0%59.5%8.8%-5.6%-12.9K1.8M-9.2K0.6319.53N/AN/A784912,6057,402
2011-10-19$6.11$5.0061.9%17.7%54.4%72.9%61.4%-7.1%-6.9%-19.2K1.9M-9.1K2.3615.35N/AN/A9622712,6767,415
2011-10-20$6.05$5.0061.6%17.7%52.3%72.3%61.6%10.7%-6.0%-31.9K2.0M-9.0K0.2824.92N/AN/A1,56944012,7577,415
2011-10-21$6.14$5.0060.0%17.2%51.7%68.6%60.0%-2.6%-4.5%-3.3K1.2M-10.6K38.5018.65N/AN/A27714,3207,611
2011-10-24$6.35$5.0061.0%17.5%53.3%70.9%59.7%7.9%-6.7%24.2K-344.5K-10.7K0.4714.74N/AN/A107506,7774,831
2011-10-25$6.11$5.0062.9%18.0%54.8%75.4%62.9%-4.0%-8.1%23.4K31.4K-10.1K0.8519.25N/AN/A47406,8754,881
2011-10-26$6.20$5.0060.9%17.5%54.8%70.8%59.8%-2.7%-6.1%25.3K-118.9K-10.1K0.4718.57N/AN/A137656,9164,861
2011-10-27$6.54$5.0052.2%15.0%58.1%50.8%51.5%11.2%-3.1%25.1K-745.4K-10.6K0.0616.38N/AN/A158107,0284,907
2011-10-28$6.09$5.0048.2%13.8%63.0%41.6%48.1%15.7%-1.5%32.3K73.2K-9.5K1.1911.98N/AN/A1732067,1204,899
2011-10-31$5.98$5.0048.1%13.8%61.4%41.3%48.1%11.6%0.2%34.2K252.4K-9.2K6.8414.04N/AN/A322197,2435,010