FORM Options History — October 2012

In October 2012, FORM traded between $4.52 and $5.65. ATM implied volatility averaged 43.1%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 1.7% (HV 20d: 41.3%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.31.

Notable Days

  • 2012-10-22: Highest Volume — 1,545 contracts
  • 2012-10-11: Largest IV spike — 47.4% change
  • 2012-10-25: Highest IV Rank — 50.0%
  • 2012-10-09: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.89$4.52$5.65$5.65$4.56
Max Pain$5.81$5.00$6.00$5.00$6.00
ATM IV43.1%27.8%52.2%32.3%45.8%
Expected Move13.3%9.3%16.1%9.3%13.1%
HV 20d41.3%32.5%47.4%37.5%47.4%
HV 60d38.0%35.4%40.3%35.4%39.1%
IV Rank35.3%10.5%50.0%17.8%39.7%
IV Percentile50.9%2.0%90.5%8.7%59.5%
Term Structure-0.6%-17.8%28.9%12.5%-1.8%
VWIV46.7%28.9%51.4%28.9%51.4%
Skew 25d-2.6%-12.2%13.1%7.0%-10.5%
Skew 10d0.1%-14.8%27.6%-8.8%-10.2%
Call IV 25d43.2%27.7%50.0%27.7%45.8%
Put IV 25d40.6%32.1%51.7%34.7%35.3%
Bid-Ask Spread %48.1715.83109.1197.2232.38
Gamma HHI0.620.350.940.940.86
Net GEX10.7K-1.0K63.2K63.2K14.5K
Net DEX227.8K-418.4K547.2K-418.4K74.0K
Net VEX-2.0K-3.1K-1.3K-3.1K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.0023.001.150.76
Total Volume165.33301,54511394
Total OI5,773.2382,2756,9976,3494,196

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$5.65$5.0032.3%9.3%37.5%17.8%0.0%7.0%12.5%63.2K-418.4K-3.1K0.0097.22N/AN/A01134,7901,559
2012-10-02$5.38$5.0037.2%10.7%39.7%25.7%28.9%-1.2%28.9%30.7K44.9K-2.5K1.1578.88N/AN/A40464,7901,672
2012-10-03$5.23$5.0035.4%10.1%40.8%22.8%0.0%4.8%9.2%15.0K213.9K-2.1K0.00109.11N/AN/A1004,8301,714
2012-10-04$5.31$5.0034.8%10.0%39.9%21.9%0.0%-9.4%6.5%19.5K157.1K-2.2K0.0074.38N/AN/A004,8401,714
2012-10-05$5.18$6.0037.0%13.7%40.3%25.5%0.0%5.1%-4.9%18.9K170.5K-2.2K0.0029.22N/AN/A074,8401,656
2012-10-08$5.14$6.0030.5%13.7%39.1%14.9%0.0%13.1%-1.4%6.8K279.6K-1.8K0.0021.13N/AN/A004,8401,662
2012-10-09$4.84$6.0027.8%16.1%43.7%10.5%0.0%3.1%-17.8%-966451.2K-1.4K0.6650.20N/AN/A53354,8401,621
2012-10-10$4.71$6.0034.4%13.4%44.1%21.1%46.6%-5.1%-0.1%-753502.9K-1.4K4.3345.33N/AN/A3134,8931,656
2012-10-11$4.60$6.0050.6%14.5%43.5%47.5%50.6%-12.2%-5.3%-1.0K502.4K-1.3K1.6043.00N/AN/A25404,8961,614
2012-10-12$4.52$6.0046.7%13.4%37.2%41.1%46.7%4.8%-1.8%-171484.3K-1.3K0.1945.97N/AN/A155304,9211,645
2012-10-15$4.60$6.0050.1%14.4%38.0%46.6%0.0%-11.8%-4.6%-354514.2K-1.3K0.0042.48N/AN/A0155,0391,665
2012-10-16$4.57$6.0046.7%13.4%33.1%41.1%46.5%-9.3%-0.8%-267517.4K-1.3K0.0058.66N/AN/A5205,0391,680
2012-10-17$4.56$6.0045.1%12.9%32.5%38.5%0.0%-7.8%0.7%-595547.2K-1.3K0.0035.82N/AN/A1005,0751,680
2012-10-18$4.87$6.0050.4%14.4%42.3%47.1%50.4%-0.8%-6.8%1.8K424.1K-1.6K0.2851.72N/AN/A257715,0851,661
2012-10-19$4.91$6.0046.8%13.4%42.2%41.2%46.7%3.0%-1.2%1.7K475.5K-1.6K0.0861.64N/AN/A3635,1851,812
2012-10-22$4.78$6.0050.3%14.4%42.7%47.0%49.3%-6.4%-4.5%1.3K237.2K-1.5K0.0860.33N/AN/A1,4281171,1461,129
2012-10-23$4.96$6.0050.0%14.3%45.6%46.6%50.0%2.7%-4.8%12.7K-120.1K-2.8K0.2617.80N/AN/A3991032,4301,208
2012-10-24$4.90$6.0051.4%14.7%45.5%48.7%51.4%-2.9%-5.9%14.3K-176.9K-3.1K23.0016.96N/AN/A51152,7301,283
2012-10-25$4.73$6.0052.2%15.0%46.4%50.0%0.0%-11.9%-5.8%13.8K-62.6K-2.9K0.0023.44N/AN/A0302,7301,371
2012-10-26$4.75$6.0049.5%14.2%46.6%45.8%0.0%-9.0%-2.6%14.4K-33.8K-2.8K0.7615.83N/AN/A95722,7301,371
2012-10-31$4.56$6.0045.8%13.1%47.4%39.7%0.0%-10.5%-1.8%14.5K74.0K-2.5K0.0032.38N/AN/A0942,7751,421