FORM Options History — March 2012

In March 2012, FORM traded between $5.00 and $5.75. ATM implied volatility averaged 37.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 1.2% (HV 20d: 35.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2012-03-26: Highest Volume — 7,477 contracts
  • 2012-03-13: Largest IV spike — 48.1% change
  • 2012-03-14: Highest IV Rank — 54.6%
  • 2012-03-12: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.44$5.00$5.75$5.31$5.58
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV37.0%21.6%52.4%41.9%21.6%
Expected Move10.7%6.2%13.0%12.0%6.2%
HV 20d35.8%29.1%39.5%30.3%36.0%
HV 60d36.1%34.9%38.3%37.5%35.0%
IV Rank21.7%0.0%54.6%30.0%0.0%
IV Percentile15.0%0.0%74.6%21.0%0.0%
Term Structure5.7%0.8%17.6%4.2%17.6%
VWIV37.6%24.7%67.5%40.2%38.9%
Skew 25d-1.4%-14.9%16.6%-12.9%-1.1%
Skew 10d3.2%-19.1%74.2%-0.4%-0.3%
Call IV 25d35.0%23.2%57.5%57.5%23.2%
Put IV 25d33.6%21.9%45.5%44.6%22.1%
Bid-Ask Spread %15.199.8326.6812.3411.72
Gamma HHI0.800.610.960.750.96
Net GEX47.5K30.7K102.5K37.1K99.0K
Net DEX-1.1M-2.0M-262.0K-766.8K-2.0M
Net VEX-9.3K-11.0K-8.3K-9.5K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.003.380.270.49
Total Volume547.95597,477973153
Total OI11,388.13610,05914,33210,66614,151

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$5.31$5.0041.9%12.0%30.3%30.0%40.2%-12.9%4.2%37.1K-766.8K-9.5K0.2712.34N/AN/A7662077,2633,403
2012-03-02$5.36$5.0031.2%8.9%30.0%6.4%34.0%-5.3%8.0%36.2K-901.1K-9.9K0.0514.72N/AN/A355167,4823,587
2012-03-05$5.21$5.0043.6%12.7%31.0%33.7%67.5%0.4%2.3%35.0K-622.1K-9.4K0.5018.19N/AN/A637,5013,603
2012-03-06$5.00$5.0043.3%12.7%34.1%33.1%33.2%10.3%1.1%30.7K-262.0K-8.9K0.3611.03N/AN/A190697,4683,603
2012-03-07$5.08$5.0043.0%12.6%34.8%32.5%26.2%12.3%1.9%32.6K-338.6K-9.0K0.2911.48N/AN/A2477,5903,622
2012-03-08$5.12$5.0039.9%12.6%34.8%25.5%44.0%14.2%3.5%34.0K-415.6K-9.3K0.1513.25N/AN/A147227,5913,615
2012-03-09$5.17$5.0026.8%12.5%32.0%0.0%24.7%16.0%1.8%35.5K-531.7K-9.4K0.0012.07N/AN/A1207,7213,637
2012-03-12$5.16$5.0034.3%13.0%29.1%16.0%45.4%16.6%0.8%36.2K-572.9K-9.2K0.7412.55N/AN/A68507,7213,544
2012-03-13$5.48$5.0050.7%10.6%36.3%51.1%34.5%1.0%11.4%39.6K-1.1M-9.3K0.6322.53N/AN/A2301457,6823,514
2012-03-14$5.37$5.0052.4%11.7%37.1%54.6%40.6%2.6%2.8%35.5K-904.2K-9.1K0.9311.43N/AN/A1301217,5573,472
2012-03-15$5.48$5.0035.6%10.2%37.3%18.9%35.0%0.9%9.3%39.1K-1.1M-8.8K0.749.83N/AN/A46347,4783,351
2012-03-16$5.67$5.0034.8%10.0%38.9%17.0%38.9%8.2%7.6%36.4K-1.4M-8.9K0.4212.52N/AN/A48207,4863,357
2012-03-19$5.75$5.0036.2%10.4%39.0%20.1%35.6%-6.8%6.9%35.5K-1.4M-8.7K3.3814.32N/AN/A8276,7973,269
2012-03-20$5.67$5.0036.9%10.6%39.5%21.5%37.0%-13.3%3.2%35.1K-1.3M-8.5K0.1412.66N/AN/A5986,7753,284
2012-03-21$5.68$5.0037.4%10.7%38.0%22.8%37.5%-13.5%3.0%35.9K-1.3M-8.5K0.3816.34N/AN/A116446,7923,284
2012-03-22$5.59$5.0037.3%10.7%38.8%22.4%0.0%-9.8%6.4%35.6K-1.1M-8.6K1.4425.80N/AN/A1101586,8083,328
2012-03-23$5.66$5.0035.3%10.1%38.9%18.3%0.0%-11.8%7.9%35.1K-1.2M-8.6K0.0126.68N/AN/A26946,8083,444
2012-03-26$5.65$5.0033.5%9.6%38.4%14.4%27.8%-9.2%6.9%38.1K-1.2M-8.3K0.1516.91N/AN/A6,5149636,9493,444
2012-03-27$5.54$5.0030.5%8.8%38.8%8.0%36.5%-14.9%2.3%101.2K-2.0M-11.0K0.3210.56N/AN/A47115111,3932,939
2012-03-28$5.51$5.0029.9%8.6%38.2%6.7%0.0%-1.3%15.4%98.5K-1.7M-10.6K0.2820.00N/AN/A942611,2262,933
2012-03-29$5.57$5.0038.4%11.0%36.1%24.9%38.9%-13.7%0.9%102.5K-1.9M-10.7K0.4017.33N/AN/A1174711,1602,907
2012-03-30$5.58$5.0021.6%6.2%36.0%0.0%0.0%-1.1%17.6%99.0K-2.0M-10.0K0.4911.72N/AN/A1035011,2532,898