FORM Options History — November 2011

In November 2011, FORM traded between $5.39 and $6.58. ATM implied volatility averaged 50.3%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 7.9% (HV 20d: 58.1%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-11-04: Highest Volume — 3,387 contracts
  • 2011-11-07: Largest IV spike — 26.4% change
  • 2011-11-07: Highest IV Rank — 65.5%
  • 2011-11-07: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.08$5.39$6.58$5.98$5.92
Max Pain$5.86$5.00$6.00$5.00$6.00
ATM IV50.3%45.9%58.6%51.6%45.9%
Expected Move14.4%13.1%15.3%14.8%13.1%
HV 20d58.1%48.7%63.7%48.7%59.9%
HV 60d51.9%50.7%53.7%52.8%52.7%
IV Rank46.3%36.2%65.5%49.3%36.2%
IV Percentile64.1%42.9%86.1%70.6%42.9%
Term Structure-0.4%-5.5%4.6%-1.6%0.4%
VWIV48.8%39.6%52.4%51.6%39.6%
Skew 25d3.1%-16.3%21.4%11.1%1.4%
Skew 10d8.8%-10.1%31.2%17.9%2.6%
Call IV 25d44.1%31.2%53.3%39.6%42.9%
Put IV 25d47.1%34.0%58.0%50.7%44.3%
Bid-Ask Spread %17.1012.7526.4114.7516.64
Gamma HHI0.390.230.800.500.35
Net GEX42.5K-5.6K184.8K32.9K2.9K
Net DEX-36.5K-1.3M1.4M273.9K1.0M
Net VEX-8.4K-10.8K-5.6K-9.4K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.002.551.080.58
Total Volume28203,38710095
Total OI13,354.14310,94815,36212,47311,673

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$5.98$5.0051.6%14.8%48.7%49.3%51.6%11.1%-1.6%32.9K273.9K-9.4K1.0814.75N/AN/A48527,2635,210
2011-11-02$6.06$5.0050.2%14.4%48.9%46.1%50.2%16.3%0.3%34.3K120.8K-9.4K0.0812.75N/AN/A7167,2695,186
2011-11-03$6.25$5.0049.8%14.3%50.2%45.3%0.0%21.4%-1.1%35.0K-236.3K-9.6K0.0017.06N/AN/A1507,2315,186
2011-11-04$6.58$6.0046.4%14.3%53.9%37.4%47.8%13.7%-0.6%33.2K-932.0K-10.2K0.0215.42N/AN/A3,306817,2435,186
2011-11-07$6.31$6.0058.6%15.3%55.7%65.5%51.0%0.0%-1.6%77.7K-815.1K-10.8K0.5113.51N/AN/A1387110,1475,215
2011-11-08$6.45$6.0047.4%15.0%55.4%39.6%49.0%7.6%-3.9%78.0K-1.2M-10.5K0.4517.48N/AN/A44209,8605,223
2011-11-09$5.99$6.0053.5%14.9%61.1%53.7%51.2%-8.9%-0.4%65.5K1.3K-9.6K0.2619.70N/AN/A100269,8535,243
2011-11-10$6.25$6.0051.2%14.7%63.1%48.5%45.8%12.6%0.3%76.0K-633.0K-10.1K0.0021.63N/AN/A2509,8665,246
2011-11-11$6.42$6.0052.0%14.9%63.7%50.3%0.0%3.6%-1.8%47.2K-1.3M-9.6K0.0014.03N/AN/A7009,8615,246
2011-11-14$6.28$6.0051.5%14.8%60.7%49.1%52.4%3.3%0.8%78.1K-740.7K-9.4K2.5517.85N/AN/A20519,8475,246
2011-11-15$6.48$6.0049.7%14.3%60.1%45.0%44.7%5.2%-0.2%41.5K-1.3M-9.1K0.3518.52N/AN/A79289,8485,234
2011-11-16$6.47$6.0049.2%14.1%59.5%43.8%48.7%6.5%2.6%44.6K-1.3M-9.2K0.2616.33N/AN/A202529,8405,254
2011-11-17$6.23$6.0051.5%14.8%61.1%49.1%0.0%3.4%-0.3%78.2K-906.6K-9.1K0.0022.03N/AN/A009,9695,250
2011-11-18$6.09$6.0051.2%14.7%61.5%48.3%51.2%-2.3%-2.0%184.8K-437.2K-8.3K1.0116.51N/AN/A77789,9695,250
2011-11-21$5.85$6.0046.9%13.4%61.7%38.5%46.9%4.2%2.8%1.0K1.1M-7.0K0.3216.33N/AN/A31106,1274,898
2011-11-22$5.70$6.0047.6%13.7%60.9%40.2%47.6%-1.0%-0.5%-4.1K1.2M-6.3K0.1415.72N/AN/A69106,1464,802
2011-11-23$5.51$6.0051.6%14.8%61.4%49.3%51.8%-16.3%-5.5%-5.6K1.4M-5.7K0.9414.81N/AN/A3813606,2154,790
2011-11-25$5.39$6.0049.5%14.2%57.5%44.6%0.0%-3.6%4.6%-4.9K1.4M-5.6K0.0026.41N/AN/A006,5514,955
2011-11-28$5.73$6.0051.2%14.7%57.9%48.3%51.2%-9.6%0.9%-301.2M-6.3K0.0016.77N/AN/A8406,5514,955
2011-11-29$5.67$6.0049.1%14.1%57.7%43.7%49.2%-4.5%-1.6%-3.0K1.3M-5.8K0.5414.78N/AN/A144786,5784,955
2011-11-30$5.92$6.0045.9%13.1%59.9%36.2%39.6%1.4%0.4%2.9K1.0M-6.4K0.5816.64N/AN/A60356,7114,962