FORM Options History — November 2012

In November 2012, FORM traded between $3.78 and $4.75. ATM implied volatility averaged 40.4%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 7.9% (HV 20d: 48.2%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.82.

Notable Days

  • 2012-11-02: Highest Volume — 327 contracts
  • 2012-11-12: Largest IV spike — 76.5% change
  • 2012-11-01: Highest IV Rank — 66.9%
  • 2012-11-01: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.24$3.78$4.75$4.75$4.43
Max Pain$5.05$5.00$6.00$6.00$5.00
ATM IV40.4%26.2%62.6%62.6%29.2%
Expected Move12.1%7.5%18.0%18.0%8.4%
HV 20d48.2%45.2%51.4%48.5%46.8%
HV 60d42.4%39.6%45.0%40.1%44.6%
IV Rank30.9%8.0%66.9%66.9%12.8%
IV Percentile39.3%1.2%99.2%99.2%5.6%
Term Structure2.4%-14.1%20.4%-14.1%20.4%
VWIV43.8%28.6%77.5%62.6%43.8%
Skew 25d7.1%-12.0%41.3%-2.9%5.8%
Skew 10d20.0%-10.5%100.5%1.5%6.3%
Call IV 25d34.6%22.2%55.9%55.9%25.5%
Put IV 25d41.6%25.1%74.4%53.0%31.3%
Bid-Ask Spread %12.248.5518.8116.799.76
Gamma HHI0.810.600.910.790.90
Net GEX9.5K3.8K21.8K14.2K12.2K
Net DEX212.6K-33.0K376.8K-33.0K72.6K
Net VEX-1.7K-2.8K-993-2.8K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.820.0151.000.010.92
Total Volume119.7140327242293
Total OI4,335.7143,8524,8034,1964,102

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$4.75$6.0062.6%18.0%48.5%66.9%62.6%-2.9%-14.1%14.2K-33.0K-2.8K0.0116.79N/AN/A24022,7751,421
2012-11-02$4.72$5.0037.4%10.7%47.8%26.2%39.6%-4.1%4.8%21.8K-14.0K-2.8K1.1716.19N/AN/A1511762,9691,423
2012-11-05$4.55$5.0038.6%12.0%48.4%28.1%42.0%-12.0%-1.6%17.0K123.3K-2.4K1.0018.81N/AN/A1051053,0071,491
2012-11-06$4.48$5.0037.8%8.7%48.1%26.8%29.2%2.9%11.1%13.0K209.2K-2.3K0.9415.67N/AN/A33313,1121,591
2012-11-07$4.34$5.0031.7%12.5%48.9%16.9%0.0%24.1%-0.1%10.0K285.6K-2.0K51.009.99N/AN/A1513,1451,622
2012-11-08$4.25$5.0033.1%12.8%45.2%19.1%31.3%12.7%1.6%8.4K310.3K-2.0K1.0012.29N/AN/A1021023,1451,658
2012-11-09$4.35$5.0034.7%13.2%45.7%21.7%28.6%18.3%-1.3%9.8K263.6K-2.1K1.008.72N/AN/A28283,1281,641
2012-11-12$4.21$5.0061.2%13.4%46.3%64.6%0.0%15.8%1.9%8.0K312.1K-1.9K0.2718.59N/AN/A3393,1001,633
2012-11-13$4.01$5.0036.5%12.4%48.7%24.6%43.1%5.6%4.4%4.7K376.8K-1.5K2.978.75N/AN/A351043,1091,632
2012-11-14$4.08$5.0032.3%13.0%48.7%17.9%0.0%9.4%0.1%5.3K367.0K-1.5K0.0010.48N/AN/A0223,1391,608
2012-11-15$3.89$5.0044.2%12.7%50.9%37.0%77.5%1.4%0.6%3.8K345.8K-1.1K0.869.75N/AN/A50433,1391,397
2012-11-16$3.78$5.0044.9%12.9%51.4%38.2%40.6%-4.4%1.1%4.1K364.6K-9930.1411.75N/AN/A192263,1591,397
2012-11-19$3.92$5.0044.3%12.7%46.5%37.2%43.8%2.5%0.1%5.5K241.9K-1.1K0.3711.82N/AN/A54202,6621,190
2012-11-20$3.92$5.0045.0%12.9%46.2%38.3%0.0%2.5%-0.3%5.7K242.3K-1.2K0.0011.75N/AN/A002,6811,200
2012-11-21$4.12$5.0043.7%12.5%50.5%36.3%0.0%10.2%-0.2%7.9K186.5K-1.4K1.0013.69N/AN/A442,6811,200
2012-11-23$4.20$5.0043.1%12.4%48.8%35.4%0.0%41.3%0.1%8.6K178.9K-1.4K0.0012.43N/AN/A002,6811,204
2012-11-26$4.17$5.0046.0%13.2%48.8%40.0%0.0%12.2%-1.4%8.5K173.9K-1.4K1.3012.81N/AN/A20262,6811,204
2012-11-27$4.28$5.0040.9%11.7%49.1%31.8%0.0%10.1%1.0%10.0K135.6K-1.5K0.769.05N/AN/A1641242,6811,204
2012-11-28$4.22$5.0034.0%9.8%49.1%20.6%0.0%-1.3%5.1%9.8K163.4K-1.6K0.329.40N/AN/A75242,8451,289
2012-11-29$4.30$5.0026.2%7.5%48.0%8.0%0.0%-1.3%16.6%10.4K158.0K-1.6K0.008.55N/AN/A0372,8151,289
2012-11-30$4.43$5.0029.2%8.4%46.8%12.8%0.0%5.8%20.4%12.2K72.6K-1.9K0.929.76N/AN/A1531402,8151,287