FORM Options History — January 2012

In January 2012, FORM traded between $4.85 and $5.43. ATM implied volatility averaged 42.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 4.7% (HV 20d: 37.8%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.09.

Notable Days

  • 2012-01-20: Highest Volume — 821 contracts
  • 2012-01-11: Largest IV spike — 33.9% change
  • 2012-01-18: Highest IV Rank — 56.2%
  • 2012-01-18: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.15$4.85$5.43$5.12$5.15
Max Pain$5.15$5.00$6.00$6.00$5.00
ATM IV42.5%28.3%53.8%40.2%45.5%
Expected Move12.9%9.6%15.4%11.5%13.1%
HV 20d37.8%28.9%42.8%42.2%39.3%
HV 60d49.3%47.4%50.8%50.0%47.4%
IV Rank31.1%0.0%56.2%25.7%38.0%
IV Percentile28.0%0.0%74.6%8.3%40.9%
Term Structure1.0%-9.9%14.9%11.5%-1.0%
VWIV43.5%34.1%48.5%34.1%44.3%
Skew 25d8.5%-5.2%25.8%4.5%9.5%
Skew 10d9.2%-6.8%19.9%13.4%13.3%
Call IV 25d37.2%24.7%51.1%44.5%36.1%
Put IV 25d45.7%34.1%50.5%49.0%45.6%
Bid-Ask Spread %19.1210.3925.3614.8822.45
Gamma HHI0.590.370.760.370.69
Net GEX-9.8K-19.1K-1.6K-2.8K-16.1K
Net DEX1.3M363.0K2.0M1.9M471.9K
Net VEX-2.5K-3.0K-2.1K-2.8K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.0010.203.900.00
Total Volume146.5508214950
Total OI9,256.154,06012,16812,0134,148

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$5.12$6.0040.2%11.5%42.2%25.7%0.0%4.5%11.5%-2.8K1.9M-2.8K3.9014.88N/AN/A10396,7275,286
2012-01-04$5.20$6.0041.2%11.8%42.8%27.9%0.0%3.0%6.5%-1.6K1.8M-3.0K0.0817.36N/AN/A2526,7375,325
2012-01-05$5.19$6.0033.5%9.6%42.8%10.8%34.1%-3.9%14.9%-6.0K1.9M-2.6K3.5510.39N/AN/A11396,7125,325
2012-01-06$5.15$5.0035.9%13.2%41.6%16.0%0.0%-0.3%-0.3%-6.5K1.9M-2.5K0.0015.61N/AN/A006,7015,318
2012-01-09$5.12$5.0034.5%13.6%41.3%13.1%0.0%1.0%-3.1%-8.1K2.0M-2.3K0.0015.61N/AN/A8306,7015,318
2012-01-10$5.25$5.0028.3%13.2%39.3%0.0%0.0%3.0%-3.2%-7.9K1.9M-2.2K0.5617.41N/AN/A54306,7825,318
2012-01-11$5.11$5.0037.9%12.7%40.2%21.1%0.0%15.6%-1.2%-7.9K1.9M-2.3K0.1319.00N/AN/A3046,8045,348
2012-01-12$5.06$5.0046.9%13.4%38.3%40.9%47.0%-5.2%-1.7%-9.3K2.0M-2.2K0.3415.19N/AN/A2901006,8205,348
2012-01-13$4.93$5.0050.0%14.3%29.6%47.9%0.0%11.0%-5.5%-9.4K1.7M-2.3K0.0018.47N/AN/A11007,0284,802
2012-01-17$4.85$5.0052.9%15.2%29.6%54.3%0.0%9.0%-9.9%-9.3K1.8M-2.1K0.0018.52N/AN/A16107,1324,753
2012-01-18$4.85$5.0053.8%15.4%28.9%56.2%0.0%9.1%-8.8%-8.5K1.7M-2.2K1.0019.27N/AN/A20207,2684,753
2012-01-19$5.11$5.0042.6%12.2%31.6%31.5%0.0%15.5%4.4%-10.8K1.6M-2.3K7.3122.69N/AN/A906587,2784,763
2012-01-20$5.43$5.0050.2%14.4%36.8%48.3%48.5%25.8%-5.1%-2.2K1.4M-2.6K8.8919.24N/AN/A837387,3264,631
2012-01-23$5.35$5.0039.4%11.3%37.5%24.5%0.0%14.4%8.9%-13.7K378.3K-2.7K0.1222.84N/AN/A2631,5512,509
2012-01-24$5.21$5.0045.9%13.2%38.5%38.9%0.0%15.2%-2.7%-12.6K436.2K-2.7K0.3522.04N/AN/A40141,5712,512
2012-01-25$5.35$5.0041.0%11.8%38.2%28.0%0.0%14.6%8.1%-13.8K363.0K-2.7K0.0023.53N/AN/A5201,6112,516
2012-01-26$5.23$5.0045.4%13.0%39.1%37.6%0.0%9.7%-0.5%-13.9K426.6K-2.6K0.0025.36N/AN/A001,6062,516
2012-01-27$5.15$5.0040.3%11.5%39.5%26.4%0.0%9.1%6.1%-19.1K485.9K-2.5K1.1820.67N/AN/A17201,6062,516
2012-01-30$5.16$5.0044.1%12.6%39.4%34.8%44.3%9.2%2.5%-17.1K481.6K-2.5K10.2021.78N/AN/A101021,6212,536
2012-01-31$5.15$5.0045.5%13.1%39.3%38.0%0.0%9.5%-1.0%-16.1K471.9K-2.5K0.0022.45N/AN/A5001,6312,517