FORM Options History — May 2012

In May 2012, FORM traded between $5.63 and $6.63. ATM implied volatility averaged 46.8%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 18.2% (HV 20d: 65.0%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-05-02: Highest Volume — 10,876 contracts
  • 2012-05-04: Largest IV spike — 81.9% change
  • 2012-05-29: Highest IV Rank — 62.4%
  • 2012-05-29: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.03$5.63$6.63$5.69$5.99
Max Pain$6.05$6.00$7.00$6.00$6.00
ATM IV46.8%25.8%54.1%43.3%49.9%
Expected Move13.3%7.4%15.5%12.4%14.3%
HV 20d65.0%44.4%72.0%47.9%44.4%
HV 60d49.9%37.9%52.4%37.9%51.9%
IV Rank48.5%8.0%62.4%41.8%54.3%
IV Percentile57.4%0.4%78.6%38.5%65.9%
Term Structure-1.8%-8.3%19.1%0.8%-5.1%
VWIV47.3%42.1%52.9%42.7%49.9%
Skew 25d2.5%-11.1%26.9%13.7%4.3%
Skew 10d2.8%-13.6%25.4%13.4%6.0%
Call IV 25d40.7%23.6%52.7%44.8%38.8%
Put IV 25d43.2%36.7%58.6%58.6%43.1%
Bid-Ask Spread %20.7812.9827.3627.3616.74
Gamma HHI0.790.590.930.920.60
Net GEX123.5K27.9K290.5K170.4K31.6K
Net DEX-2.7M-6.4M-260.8K-2.6M-1.4M
Net VEX-12.4K-15.6K-10.1K-12.6K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.002.560.180.00
Total Volume625.6822310,87627423
Total OI15,705.72710,76619,30714,50011,113

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$5.69$6.0043.3%12.4%47.9%41.8%42.7%13.7%0.8%170.4K-2.6M-12.6K0.1827.36N/AN/A2334112,8321,668
2012-05-02$6.63$6.0025.8%7.4%68.1%8.0%52.9%26.9%19.1%169.7K-6.4M-11.7K0.5726.22N/AN/A6,9323,94412,8681,688
2012-05-03$6.52$6.0028.3%8.1%67.9%12.9%48.1%21.5%17.3%104.9K-5.5M-14.1K0.4016.78N/AN/A42016712,8655,471
2012-05-04$6.24$6.0051.5%12.8%70.4%57.4%0.0%-1.0%-1.7%125.2K-4.2M-15.6K1.8517.62N/AN/A407413,2555,549
2012-05-07$6.25$6.0051.5%13.2%70.2%57.5%44.0%-0.3%-2.4%134.3K-4.3M-14.9K0.2415.96N/AN/A832013,2805,555
2012-05-08$6.01$6.0048.0%13.3%72.0%50.8%43.8%-5.0%-3.4%153.0K-2.9M-15.0K0.5512.98N/AN/A20211113,3585,575
2012-05-09$6.13$6.0044.9%13.6%65.7%44.8%42.1%-2.3%-4.1%167.1K-3.7M-15.0K0.3615.55N/AN/A612213,5135,644
2012-05-10$6.26$7.0046.4%13.3%65.7%47.6%46.4%2.0%-3.5%153.2K-4.6M-14.4K0.3421.37N/AN/A1224213,5395,666
2012-05-11$6.26$6.0047.0%13.5%63.7%48.8%0.0%2.0%-3.5%198.5K-4.7M-13.9K0.0025.04N/AN/A34013,5835,666
2012-05-14$6.15$6.0047.3%13.6%64.2%49.4%0.0%16.1%-2.0%177.1K-3.9M-13.7K0.0015.61N/AN/A45013,5835,666
2012-05-15$6.16$6.0049.6%14.2%64.1%53.8%0.0%0.9%-4.9%256.9K-4.2M-13.2K0.3015.58N/AN/A1594713,5835,666
2012-05-16$6.02$6.0050.1%14.4%64.5%54.7%0.0%10.0%-5.7%290.5K-2.9M-13.0K1.3417.74N/AN/A324313,6695,633
2012-05-17$5.80$6.0050.5%14.5%65.3%55.5%0.0%-1.4%-6.9%208.7K-673.2K-11.7K0.0922.45N/AN/A88813,6695,632
2012-05-18$5.78$6.0047.4%13.6%64.8%49.6%0.0%-3.7%-2.5%165.5K-260.8K-11.1K0.5523.38N/AN/A965313,6755,632
2012-05-21$6.00$6.0050.9%14.6%65.3%56.3%50.9%9.8%-4.3%30.9K-1.5M-10.9K0.8522.31N/AN/A26227,3023,464
2012-05-22$5.80$6.0048.4%13.9%66.5%51.6%48.4%-8.8%-2.9%30.4K-1.1M-10.5K0.3025.20N/AN/A33107,2983,482
2012-05-23$5.83$6.0049.2%14.1%66.2%53.1%49.3%-4.2%-3.2%28.9K-1.1M-10.4K2.5622.96N/AN/A782007,2893,486
2012-05-24$5.63$6.0049.3%14.1%67.5%53.3%0.0%-10.1%-6.2%28.3K-701.3K-10.2K0.0025.75N/AN/A3507,3383,686
2012-05-25$5.65$6.0047.5%13.6%67.5%49.8%0.0%-9.2%-2.9%27.9K-644.8K-10.1K0.0025.68N/AN/A3607,3253,686
2012-05-29$5.76$6.0054.1%15.5%67.7%62.4%49.4%-11.1%-8.3%31.7K-878.6K-10.1K0.1822.48N/AN/A57107,3323,686
2012-05-30$6.13$6.0049.3%14.1%71.0%53.2%47.3%5.9%-4.5%32.3K-1.7M-10.5K0.2522.34N/AN/A93237,3603,696
2012-05-31$5.99$6.0049.9%14.3%44.4%54.3%49.9%4.3%-5.1%31.6K-1.4M-10.4K0.0016.74N/AN/A2307,4133,700