FORM Options History — June 2012

In June 2012, FORM traded between $5.58 and $6.50. ATM implied volatility averaged 42.1%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 5.0% (HV 20d: 47.0%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.22.

Notable Days

  • 2012-06-29: Highest Volume — 243 contracts
  • 2012-06-29: Largest IV drop — 44.8% change
  • 2012-06-04: Highest IV Rank — 71.8%
  • 2012-06-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.06$5.58$6.50$5.71$6.47
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV42.1%21.3%59.0%53.4%21.3%
Expected Move12.4%6.1%15.3%15.3%6.1%
HV 20d47.0%44.8%50.3%46.8%45.0%
HV 60d53.4%52.2%55.1%52.8%54.7%
IV Rank39.4%0.0%71.8%61.0%0.0%
IV Percentile34.8%0.0%87.3%77.0%0.0%
Term Structure6.1%-6.7%29.4%-6.7%29.4%
VWIV42.8%22.1%57.6%53.4%22.1%
Skew 25d11.0%-3.4%22.4%-3.4%1.4%
Skew 10d13.2%0.7%24.7%0.7%8.9%
Call IV 25d34.0%22.0%48.0%48.0%22.0%
Put IV 25d45.0%23.3%57.4%44.7%23.3%
Bid-Ask Spread %22.9516.9327.7622.3116.93
Gamma HHI0.670.350.830.610.77
Net GEX43.8K-32.7K77.9K29.2K69.8K
Net DEX-1.7M-2.8M-397.7K-917.5K-2.8M
Net VEX-8.4K-9.9K-7.3K-9.9K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.0022.500.130.15
Total Volume83.476024318243
Total OI10,299.5249,41111,28711,1259,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$5.71$6.0053.4%15.3%46.8%61.0%53.4%-3.4%-6.7%29.2K-917.5K-9.9K0.1322.31N/AN/A1627,4253,700
2012-06-04$5.60$6.0059.0%14.0%45.0%71.8%57.6%15.1%-1.5%27.3K-577.2K-9.3K1.6023.68N/AN/A25407,4303,702
2012-06-05$5.59$6.0055.5%13.6%45.0%65.2%0.0%14.8%2.3%26.3K-513.6K-9.0K0.0023.37N/AN/A3207,4163,693
2012-06-06$5.81$6.0046.4%13.2%45.7%47.6%46.7%15.8%3.5%24.1K-953.3K-9.5K0.1321.22N/AN/A75107,4163,693
2012-06-07$5.68$6.0042.1%13.1%45.6%39.5%0.0%17.0%1.8%26.8K-711.6K-9.1K0.0023.44N/AN/A7907,3413,693
2012-06-08$5.72$6.0039.8%13.3%44.8%35.0%0.0%17.6%3.1%23.7K-677.1K-8.9K0.0020.71N/AN/A007,2793,693
2012-06-11$5.58$6.0039.1%13.7%45.3%33.6%53.3%12.7%2.1%27.5K-397.7K-8.3K0.5327.76N/AN/A60327,2793,693
2012-06-12$5.77$6.0029.9%13.5%47.2%16.0%47.0%12.1%3.1%16.0K-602.6K-8.5K0.0023.92N/AN/A017,3033,703
2012-06-13$5.83$6.0037.5%13.4%47.4%30.6%46.9%15.8%2.5%5.0K-809.6K-8.7K1.0426.28N/AN/A961007,3033,703
2012-06-14$6.05$6.0047.3%13.6%48.8%49.4%35.7%7.6%1.3%-32.7K-1.5M-8.9K0.2318.31N/AN/A173407,3193,803
2012-06-15$6.29$6.0042.7%12.2%48.5%40.6%42.2%-0.3%5.5%41.4K-2.3M-8.6K0.7126.78N/AN/A1401007,4573,830
2012-06-18$6.26$6.0041.8%12.0%48.5%38.7%41.1%-2.5%9.3%64.5K-2.3M-8.4K0.8025.09N/AN/A45366,9002,549
2012-06-19$6.48$6.0045.1%12.9%48.3%45.2%44.8%6.5%4.8%61.5K-2.7M-8.2K0.1923.20N/AN/A101196,8972,533
2012-06-20$6.46$6.0041.9%12.0%46.3%39.1%40.8%17.1%5.0%73.2K-2.7M-7.9K3.8920.19N/AN/A9356,9522,549
2012-06-21$6.22$6.0041.2%11.8%48.7%37.7%0.0%9.7%8.1%68.8K-2.3M-8.1K0.0023.43N/AN/A006,9492,534
2012-06-22$6.50$6.0032.2%9.2%48.6%20.3%0.0%11.2%21.4%77.9K-2.8M-7.5K0.0025.71N/AN/A006,8772,534
2012-06-25$6.31$6.0041.7%11.9%50.3%38.6%41.7%13.5%8.6%70.5K-2.4M-7.8K0.5023.50N/AN/A216,8772,534
2012-06-26$6.33$6.0042.2%12.1%50.1%39.6%0.0%15.2%8.2%74.1K-2.4M-7.7K0.0017.96N/AN/A006,8792,534
2012-06-27$6.43$6.0045.3%13.0%45.5%45.5%30.8%22.4%6.0%66.6K-2.6M-7.5K3.0823.73N/AN/A13406,8792,534
2012-06-28$6.20$6.0038.6%11.1%46.7%32.7%38.6%10.9%10.3%77.9K-2.2M-7.5K22.5024.41N/AN/A81806,8912,538
2012-06-29$6.47$6.0021.3%6.1%45.0%0.0%22.1%1.4%29.4%69.8K-2.8M-7.3K0.1516.93N/AN/A211326,8912,585