FORM Options History — April 2012

In April 2012, FORM traded between $5.16 and $5.85. ATM implied volatility averaged 40.9%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 2.9% (HV 20d: 43.8%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2012-04-24: Highest Volume — 1,258 contracts
  • 2012-04-04: Largest IV spike — 54.5% change
  • 2012-04-24: Highest IV Rank — 54.1%
  • 2012-04-24: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.52$5.16$5.85$5.62$5.60
Max Pain$5.60$5.00$6.00$5.00$6.00
ATM IV40.9%26.7%49.8%30.4%41.3%
Expected Move12.2%7.6%14.3%8.7%11.8%
HV 20d43.8%34.2%47.6%34.2%47.6%
HV 60d38.1%35.0%41.3%35.0%37.9%
IV Rank37.1%9.8%54.1%17.0%37.8%
IV Percentile31.2%0.4%66.7%2.0%27.0%
Term Structure2.7%-4.5%23.2%21.2%-0.5%
VWIV42.7%28.0%47.5%28.0%41.3%
Skew 25d7.1%2.0%15.6%5.2%13.6%
Skew 10d14.0%-15.6%62.5%-15.6%12.0%
Call IV 25d39.9%23.1%47.5%23.1%43.4%
Put IV 25d47.0%28.2%57.0%28.2%57.0%
Bid-Ask Spread %24.2415.3133.2220.9826.38
Gamma HHI0.860.690.950.900.91
Net GEX114.0K82.6K156.0K103.8K156.0K
Net DEX-1.9M-3.1M-766.0K-2.0M-2.1M
Net VEX-9.5K-11.9K-7.9K-10.4K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.003.500.030.64
Total Volume346.701,258384197
Total OI14,193.311,61815,46114,17314,426

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$5.62$5.0030.4%8.7%34.2%17.0%0.0%5.2%21.2%103.8K-2.0M-10.4K0.0320.98N/AN/A3741011,3082,865
2012-04-03$5.31$5.0026.7%7.6%37.2%9.8%28.0%4.8%23.2%90.4K-1.3M-9.1K0.0615.31N/AN/A2421411,3272,875
2012-04-04$5.20$5.0041.2%11.8%37.8%37.7%0.0%13.5%4.7%85.1K-919.3K-8.7K1.2225.00N/AN/A182211,4452,884
2012-04-05$5.16$5.0038.3%11.0%37.9%32.1%38.3%3.6%6.7%82.6K-766.0K-8.3K0.1422.62N/AN/A1542211,4462,880
2012-04-09$5.29$5.0035.5%13.8%38.7%26.8%0.0%3.7%-4.5%93.7K-1.2M-8.7K0.3027.64N/AN/A822511,4772,858
2012-04-10$5.25$5.0038.2%14.1%38.8%31.9%0.0%2.0%-4.4%91.0K-1.1M-8.8K0.0023.74N/AN/A0011,4992,860
2012-04-11$5.73$5.0036.7%13.5%45.1%29.0%46.2%4.4%-2.6%112.1K-2.4M-9.9K0.1521.02N/AN/A1,08016711,4992,860
2012-04-12$5.85$5.0047.3%13.5%44.7%49.3%47.5%12.6%-1.3%128.2K-3.1M-10.6K0.1723.28N/AN/A1793012,3952,894
2012-04-13$5.62$6.0049.2%14.1%46.9%53.0%0.0%7.0%-2.5%112.8K-2.4M-9.9K0.1733.22N/AN/A581012,3932,894
2012-04-16$5.63$6.0045.6%13.1%45.3%46.2%0.0%6.3%0.3%121.0K-2.3M-9.6K1.0923.74N/AN/A222412,3852,884
2012-04-17$5.72$6.0045.9%13.2%45.4%46.8%46.3%5.8%-0.1%128.9K-2.6M-9.7K3.5019.59N/AN/A4816812,3992,885
2012-04-18$5.83$6.0046.4%13.3%45.6%47.6%46.4%11.5%-2.4%143.0K-3.0M-9.8K0.4322.52N/AN/A30413012,3792,858
2012-04-19$5.69$6.0043.3%12.4%46.5%41.7%43.9%15.6%1.3%136.2K-2.5M-9.6K0.8324.16N/AN/A726012,6092,812
2012-04-20$5.57$6.0041.3%11.8%46.8%37.8%44.4%4.6%-0.2%120.2K-2.1M-8.9K0.2227.74N/AN/A1122512,6172,844
2012-04-23$5.44$6.0047.4%13.6%47.2%49.5%0.0%3.3%0.6%106.0K-1.2M-8.1K0.0030.04N/AN/A12709,9271,691
2012-04-24$5.38$6.0049.8%14.3%47.3%54.1%0.0%3.7%0.0%96.2K-1.1M-7.9K0.0224.28N/AN/A1,228309,9661,691
2012-04-25$5.50$6.0042.2%12.1%47.6%39.5%44.4%3.8%11.8%116.9K-1.5M-9.7K0.0031.02N/AN/A75011,0691,696
2012-04-26$5.53$6.0034.2%9.8%47.6%24.3%0.0%10.8%3.8%127.5K-1.7M-9.9K0.0023.56N/AN/A579011,0941,696
2012-04-27$5.54$6.0037.1%10.6%47.5%29.8%0.0%6.9%-1.3%128.7K-1.8M-10.4K0.0019.04N/AN/A1,246011,6211,658
2012-04-30$5.60$6.0041.3%11.8%47.6%37.8%41.3%13.6%-0.5%156.0K-2.1M-11.9K0.6426.38N/AN/A1207712,7681,658