FORM Options History — December 2011

In December 2011, FORM traded between $4.69 and $5.84. ATM implied volatility averaged 42.6%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 7.2% (HV 20d: 49.7%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2011-12-15: Highest Volume — 1,553 contracts
  • 2011-12-13: Largest IV spike — 63.1% change
  • 2011-12-13: Highest IV Rank — 62.9%
  • 2011-12-15: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.23$4.69$5.84$5.84$5.06
Max Pain$6.43$6.00$7.00$6.00$6.00
ATM IV42.6%28.6%57.0%43.7%39.7%
Expected Move13.0%11.1%15.3%12.5%11.4%
HV 20d49.7%42.1%59.9%59.9%42.1%
HV 60d53.5%50.1%55.2%52.7%50.1%
IV Rank30.2%0.0%62.9%31.2%24.6%
IV Percentile25.3%0.0%82.1%25.0%7.5%
Term Structure4.3%-1.5%8.9%2.1%8.4%
VWIV45.1%36.9%57.7%43.7%40.8%
Skew 25d3.3%-14.0%16.0%4.2%6.5%
Skew 10d6.6%-20.8%22.1%6.1%10.3%
Call IV 25d40.8%32.1%56.3%43.6%33.3%
Put IV 25d44.1%30.1%53.2%47.8%39.8%
Bid-Ask Spread %13.329.2519.4918.8614.31
Gamma HHI0.360.260.530.260.37
Net GEX-3.3K-11.9K3.1K109-2.2K
Net DEX1.7M1.1M1.9M1.1M1.8M
Net VEX-3.7K-6.2K-2.6K-6.2K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0012.671.894.00
Total Volume230.1901,5531010
Total OI11,835.23811,58213,10011,65212,013

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$5.84$6.0043.7%12.5%59.9%31.2%43.7%4.2%2.1%1091.1M-6.2K1.8918.86N/AN/A35666,6904,962
2011-12-02$5.71$6.0045.5%13.0%59.0%35.2%0.0%0.5%0.9%-3.0K1.3M-5.7K0.9619.49N/AN/A50486,6964,945
2011-12-05$5.68$7.0036.5%12.5%55.1%14.7%44.2%16.0%5.1%-4.5K1.4M-5.3K0.0014.30N/AN/A0106,7164,935
2011-12-06$5.67$7.0037.0%12.6%53.6%15.8%45.1%13.2%4.9%-5.1K1.4M-5.2K1.7413.98N/AN/A23406,7164,935
2011-12-07$5.49$7.0040.8%14.2%53.4%24.7%0.0%4.7%4.4%-9.2K1.6M-4.5K0.5611.23N/AN/A80456,7334,905
2011-12-08$5.40$7.0038.5%14.5%47.6%19.3%49.1%4.0%3.5%-10.5K1.7M-4.2K0.6813.47N/AN/A82566,7764,895
2011-12-09$5.63$7.0028.6%13.1%47.5%0.0%45.7%9.4%2.6%-7.8K1.5M-4.7K1.5015.12N/AN/A30456,7844,890
2011-12-12$5.61$7.0034.9%13.7%46.0%14.0%36.9%9.9%1.6%-8.6K1.5M-4.5K6.5015.84N/AN/A10656,7864,907
2011-12-13$5.40$7.0057.0%14.7%47.0%62.9%0.0%6.4%7.8%-11.9K1.7M-3.9K0.0011.58N/AN/A3006,7964,892
2011-12-14$5.02$7.0054.6%15.0%50.1%57.6%52.4%12.0%-0.6%-6.8K1.9M-2.9K12.679.25N/AN/A151906,8064,892
2011-12-15$4.94$7.0053.3%15.3%49.9%54.8%57.7%-14.0%-1.5%-4.2K1.8M-2.6K0.019.91N/AN/A1,536176,8214,761
2011-12-16$4.85$6.0051.7%14.8%49.1%51.3%48.5%-1.8%-0.8%3.1K1.8M-2.8K0.0410.77N/AN/A649248,3224,778
2011-12-19$4.69$6.0047.0%13.5%49.6%40.8%47.0%-11.6%0.9%2.0K1.7M-2.6K0.6712.78N/AN/A2211476,8854,739
2011-12-20$4.81$6.0040.7%11.7%50.2%26.9%40.3%-4.5%8.5%1.7K1.8M-2.6K5.0012.74N/AN/A5257,0594,788
2011-12-21$4.81$6.0041.4%11.9%50.0%28.3%41.4%-4.6%5.6%1.7K1.8M-2.6K0.1312.65N/AN/A1627,0644,791
2011-12-22$4.92$6.0041.5%11.9%50.2%28.6%41.5%1.0%6.2%2.6K1.7M-2.8K0.7512.60N/AN/A6574917,0604,791
2011-12-23$5.07$6.0041.6%11.9%51.3%28.8%41.6%-0.7%7.4%-9041.8M-3.4K0.0011.83N/AN/A5706,6865,280
2011-12-27$5.03$6.0040.5%11.6%45.4%26.4%0.0%5.0%7.1%-2.2K1.9M-3.0K0.0011.53N/AN/A0426,7325,280
2011-12-28$5.06$6.0040.8%11.7%45.6%27.1%40.8%5.7%6.9%-1.9K1.8M-3.2K4.0011.89N/AN/A5206,7325,288
2011-12-29$5.10$6.0038.7%11.1%42.1%22.3%0.0%7.1%8.9%-2.3K1.9M-3.0K0.0015.55N/AN/A006,7275,286
2011-12-30$5.06$6.0039.7%11.4%42.1%24.6%0.0%6.5%8.4%-2.2K1.8M-3.0K0.0014.31N/AN/A006,7275,286