FORM Options History — July 2012

In July 2012, FORM traded between $5.91 and $6.88. ATM implied volatility averaged 44.7%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 3.3% (HV 20d: 41.3%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2012-07-20: Highest Volume — 290 contracts
  • 2012-07-12: Largest IV spike — 75.4% change
  • 2012-07-27: Highest IV Rank — 62.5%
  • 2012-07-27: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.29$5.91$6.88$6.58$6.12
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV44.7%28.3%54.0%28.3%52.7%
Expected Move13.5%8.1%15.5%8.1%15.1%
HV 20d41.3%35.4%45.8%44.1%35.4%
HV 60d51.2%42.1%54.8%54.7%42.1%
IV Rank44.6%13.4%62.5%13.4%59.9%
IV Percentile46.5%2.8%77.4%2.8%73.4%
Term Structure0.8%-7.8%23.5%23.5%-7.8%
VWIV44.7%25.6%54.0%25.6%52.7%
Skew 25d4.5%-6.6%21.1%7.2%14.6%
Skew 10d5.8%-10.8%19.2%7.4%15.2%
Call IV 25d40.5%21.0%51.2%21.0%38.9%
Put IV 25d45.0%28.2%53.5%28.2%53.5%
Bid-Ask Spread %35.0416.5272.8420.3330.11
Gamma HHI0.760.550.940.710.70
Net GEX69.5K30.3K172.2K68.8K35.9K
Net DEX-2.2M-3.7M-864.5K-3.1M-1.1M
Net VEX-6.0K-6.9K-5.5K-6.9K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.003.502.540.35
Total Volume101.333029024877
Total OI8,266.2385,03410,0449,6625,171

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$6.58$6.0028.3%8.1%44.1%13.4%25.6%7.2%23.5%68.8K-3.1M-6.9K2.5420.33N/AN/A701787,0452,617
2012-07-03$6.79$6.0030.8%8.8%44.7%18.0%35.8%0.5%19.5%56.4K-3.4M-6.5K2.0030.22N/AN/A5107,0112,783
2012-07-05$6.88$6.0033.6%9.6%43.4%23.5%29.5%-6.5%11.6%48.8K-3.7M-6.1K0.1321.93N/AN/A204277,0092,793
2012-07-06$6.72$6.0036.8%12.6%43.5%29.7%0.0%1.8%2.0%58.1K-3.3M-6.3K0.0026.55N/AN/A2106,9262,810
2012-07-09$6.70$6.0039.9%12.9%43.6%35.6%0.0%13.9%1.9%57.9K-3.3M-6.1K0.0016.52N/AN/A2406,9462,810
2012-07-10$6.42$6.0035.3%15.1%45.8%26.8%0.0%7.3%-3.0%72.5K-2.9M-6.2K1.2023.17N/AN/A50606,9352,810
2012-07-11$6.36$6.0028.4%13.8%45.1%13.6%0.0%3.8%-0.2%71.4K-2.8M-6.0K0.0034.21N/AN/A1806,8852,858
2012-07-12$6.31$6.0049.8%14.3%45.2%54.5%0.0%2.9%-0.4%79.0K-2.7M-6.1K0.6431.97N/AN/A1751126,8962,858
2012-07-13$6.21$6.0048.3%13.8%44.0%51.5%0.0%-3.3%-1.4%104.2K-2.5M-6.3K0.0053.52N/AN/A15006,9722,950
2012-07-16$6.08$6.0049.9%14.3%42.3%54.5%0.0%-6.6%-0.3%106.9K-1.9M-6.6K0.0031.24N/AN/A007,0792,950
2012-07-17$6.14$6.0050.0%14.3%42.5%54.9%49.9%-4.0%-1.4%113.0K-2.1M-6.4K0.8637.15N/AN/A85737,0792,950
2012-07-18$6.28$6.0048.2%13.8%41.4%51.4%47.8%2.7%-1.2%75.8K-2.8M-5.9K0.0031.27N/AN/A7807,0812,963
2012-07-19$6.09$6.0050.1%14.4%42.6%55.1%0.0%-4.3%-2.8%172.2K-2.2M-6.0K0.0643.83N/AN/A10467,0752,955
2012-07-20$6.13$6.0046.8%13.4%40.7%48.7%46.9%15.0%0.4%146.2K-2.4M-5.8K0.7330.30N/AN/A1681227,0262,927
2012-07-23$5.96$6.0050.9%14.6%38.1%56.6%50.9%6.8%-2.9%31.2K-923.8K-5.6K0.2372.84N/AN/A61144,059975
2012-07-24$5.91$6.0052.9%15.2%37.0%60.3%0.0%-2.1%-5.3%30.3K-864.5K-5.5K0.1758.73N/AN/A1224,074989
2012-07-25$5.95$6.0052.6%15.1%37.1%59.8%0.0%1.2%-3.3%32.0K-910.8K-5.5K0.9454.25N/AN/A16154,074990
2012-07-26$5.94$6.0047.9%13.7%36.4%50.8%47.9%3.9%-2.1%32.3K-924.8K-5.5K0.0035.21N/AN/A2804,0751,005
2012-07-27$6.25$6.0054.0%15.5%39.2%62.5%54.0%21.1%-7.1%33.3K-1.2M-5.6K3.5024.63N/AN/A10354,0781,005
2012-07-30$6.18$6.0050.7%14.5%36.0%56.1%51.0%18.6%-3.8%33.0K-1.2M-5.5K0.0027.86N/AN/A11804,0811,016
2012-07-31$6.12$6.0052.7%15.1%35.4%59.9%52.7%14.6%-7.8%35.9K-1.1M-5.5K0.3530.11N/AN/A57204,1591,012