FORM Options History — January 2013

In January 2013, FORM traded between $4.61 and $5.15. ATM implied volatility averaged 39.2%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 6.3% (HV 20d: 32.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-01-18: Highest Volume — 2,929 contracts
  • 2013-01-07: Largest IV spike — 45.5% change
  • 2013-01-30: Highest IV Rank — 36.0%
  • 2013-01-30: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.97$4.61$5.15$4.71$5.01
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV39.2%27.5%43.5%31.7%41.8%
Expected Move11.7%9.1%12.5%9.1%12.0%
HV 20d32.9%28.4%35.8%35.2%28.7%
HV 60d40.9%37.3%44.0%43.3%37.3%
IV Rank29.1%10.1%36.0%16.8%33.2%
IV Percentile42.3%3.2%63.1%11.1%52.8%
Term Structure-0.3%-4.2%17.3%17.3%-2.0%
VWIV40.1%37.7%41.9%37.7%40.1%
Skew 25d4.5%-2.6%12.5%10.7%2.7%
Skew 10d6.5%-3.9%18.3%-0.8%4.2%
Call IV 25d34.6%25.7%39.9%25.7%39.2%
Put IV 25d39.1%32.7%44.9%36.4%41.9%
Bid-Ask Spread %11.167.4514.767.7611.66
Gamma HHI0.810.490.980.870.52
Net GEX39.4K11.0K135.7K23.8K18.2K
Net DEX-300.5K-744.3K2.7K-58.4K-300.5K
Net VEX-1.8K-2.8K-938-1.3K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.0011.1111.110.00
Total Volume205.66702,92910915
Total OI3,575.4762,5884,1654,0153,216

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$4.71$5.0031.7%9.1%35.2%16.8%37.7%10.7%17.3%23.8K-58.4K-1.3K11.117.76N/AN/A91002,6311,384
2013-01-03$4.61$5.0034.6%9.9%35.8%21.5%0.0%2.9%11.3%19.0K2.7K-1.2K0.007.45N/AN/A1002,6401,324
2013-01-04$4.75$0.0027.5%12.1%34.9%10.1%0.0%-2.6%-1.1%31.9K-56.9K-1.2K1.007.86N/AN/A222,6501,324
2013-01-07$4.89$0.0040.0%12.4%34.8%30.4%0.0%-0.9%-0.1%37.2K-254.5K-1.3K0.0510.79N/AN/A2112,6501,326
2013-01-08$4.79$0.0035.8%12.2%35.1%23.5%0.0%-1.2%-1.6%33.9K-174.0K-1.3K0.0010.10N/AN/A02122,6561,327
2013-01-09$4.80$0.0030.1%11.9%34.4%14.3%0.0%0.1%-0.8%38.9K-69.8K-1.2K0.009.20N/AN/A002,6561,386
2013-01-10$4.83$0.0042.9%12.3%33.6%35.0%0.0%-2.3%-1.7%38.7K-135.8K-1.3K0.9112.04N/AN/A11102,6561,386
2013-01-11$5.00$0.0041.9%12.0%35.1%33.3%41.9%3.9%-0.7%45.4K-357.9K-1.3K0.0010.25N/AN/A7002,6561,396
2013-01-14$5.07$5.0043.2%12.4%34.8%35.5%0.0%8.0%-3.6%63.3K-476.0K-1.2K0.039.68N/AN/A6122,7201,396
2013-01-15$4.99$5.0040.2%11.5%35.7%30.6%0.0%3.6%-0.4%67.6K-328.0K-1.2K0.0712.74N/AN/A7152,7121,394
2013-01-16$5.11$5.0041.9%12.0%33.5%33.4%0.0%12.5%-3.3%81.8K-712.1K-1.1K1.2813.86N/AN/A39502,7761,389
2013-01-17$5.06$5.0043.3%12.4%33.7%35.7%0.0%11.1%-4.0%135.7K-624.5K-1.1K0.009.14N/AN/A402,7771,341
2013-01-18$5.09$5.0041.5%11.9%33.7%32.7%0.0%6.8%-2.0%99.8K-744.3K-9380.0012.59N/AN/A2,92902,7771,341
2013-01-22$5.14$5.0038.9%11.1%32.4%28.5%38.9%3.3%-0.8%11.0K-282.7K-2.7K0.0914.16N/AN/A113102,005583
2013-01-23$5.14$5.0041.7%12.0%30.0%33.0%0.0%8.3%-3.2%12.7K-313.9K-2.8K0.0214.76N/AN/A4512,098593
2013-01-24$5.06$5.0041.7%12.0%30.2%33.1%41.7%6.4%-3.6%12.6K-289.0K-2.7K0.2212.72N/AN/A1842,143593
2013-01-25$5.06$5.0040.3%11.6%29.8%30.8%0.0%1.3%-0.0%13.1K-262.1K-2.7K0.0010.83N/AN/A002,160595
2013-01-28$5.15$5.0041.2%11.8%30.0%32.3%0.0%8.8%-0.8%13.8K-314.9K-2.8K0.0010.04N/AN/A0202,160595
2013-01-29$5.11$5.0040.2%11.5%28.4%30.6%40.1%7.6%-0.6%13.5K-290.8K-2.6K0.0013.42N/AN/A15302,160615
2013-01-30$4.98$5.0043.5%12.5%30.6%36.0%0.0%3.5%-4.2%15.1K-267.5K-2.6K0.0013.28N/AN/A33102,283615
2013-01-31$5.01$5.0041.8%12.0%28.7%33.2%0.0%2.7%-2.0%18.2K-300.5K-2.7K0.0011.66N/AN/A1502,601615