FORM Options History — March 2013

In March 2013, FORM traded between $4.70 and $5.06. ATM implied volatility averaged 31.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.8% (HV 20d: 29.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 7.49.

Notable Days

  • 2013-03-19: Highest Volume — 114 contracts
  • 2013-03-28: Largest IV drop — 24.2% change
  • 2013-03-25: Highest IV Rank — 24.2%
  • 2013-03-25: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.90$4.70$5.06$5.06$4.70
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV31.8%23.8%36.3%30.1%24.4%
Expected Move9.5%7.0%10.4%8.6%7.0%
HV 20d29.0%24.2%31.4%29.7%24.3%
HV 60d29.3%28.0%31.3%30.9%28.3%
IV Rank17.0%4.1%24.2%14.3%5.0%
IV Percentile17.9%0.8%37.7%8.7%1.6%
Term Structure4.5%0.2%15.4%3.4%15.4%
VWIV33.0%31.2%36.2%31.2%31.9%
Skew 25d16.6%-9.3%101.2%-9.3%6.2%
Skew 10d24.0%-13.5%133.9%-13.5%0.3%
Call IV 25d30.3%23.1%39.4%39.4%23.1%
Put IV 25d46.9%29.0%133.5%30.1%29.3%
Bid-Ask Spread %13.138.2223.5023.509.37
Gamma HHI0.650.480.940.590.78
Net GEX15.7K8.0K27.0K19.1K8.3K
Net DEX-121.2K-255.3K46.2K-255.3K46.2K
Net VEX-2.1K-2.8K-1.5K-2.8K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.490.0070.000.007.25
Total Volume19.35011400
Total OI3,816.23,6183,9453,8793,733

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$5.06$5.0030.1%8.6%29.7%14.3%0.0%-9.3%3.4%19.1K-255.3K-2.8K0.0023.50N/AN/A002,911968
2013-03-04$4.93$5.0034.0%9.9%30.5%20.5%0.0%0.3%3.7%16.7K-175.0K-2.5K0.0015.88N/AN/A2702,911968
2013-03-05$5.00$5.0036.1%10.1%31.0%24.0%0.0%3.8%3.2%18.4K-207.5K-2.6K0.0013.36N/AN/A002,920968
2013-03-06$4.93$5.0032.8%10.3%31.3%18.6%0.0%2.0%1.6%17.9K-164.1K-2.4K0.008.22N/AN/A002,920968
2013-03-07$4.96$5.0034.1%9.3%31.3%20.7%0.0%1.8%6.1%18.3K-165.1K-2.4K0.0012.37N/AN/A1502,920968
2013-03-08$4.96$5.0029.1%10.0%30.9%12.7%0.0%2.8%3.9%20.3K-186.2K-2.5K0.9511.60N/AN/A20192,935968
2013-03-11$5.04$5.0029.1%9.7%31.4%12.6%0.0%5.1%3.9%22.4K-251.1K-2.4K0.0014.44N/AN/A402,935987
2013-03-12$5.01$5.0023.8%9.3%30.4%4.1%0.0%4.1%4.9%27.0K-216.4K-2.4K0.0012.19N/AN/A002,939987
2013-03-13$5.03$5.0027.3%9.4%30.4%9.8%31.2%4.1%4.0%27.0K-226.2K-2.3K70.0013.78N/AN/A1702,939987
2013-03-14$5.00$5.0033.4%9.6%29.9%19.5%0.0%67.2%4.5%26.3K-198.1K-2.3K0.0012.48N/AN/A002,9391,006
2013-03-15$4.88$5.0030.7%8.8%29.6%15.2%0.0%76.8%5.7%18.1K-68.1K-2.1K0.3312.45N/AN/A312,9391,006
2013-03-18$4.86$5.0032.2%9.2%29.3%17.6%32.2%-0.9%7.6%8.3K-72.9K-2.0K0.6710.71N/AN/A15102,683935
2013-03-19$4.79$5.0036.2%10.4%28.2%24.2%36.2%-3.3%0.2%8.0K-41.6K-1.9K0.1011.13N/AN/A104102,678943
2013-03-20$4.92$5.0033.9%9.7%29.5%20.4%33.9%79.5%1.7%11.2K-96.0K-2.0K0.0015.21N/AN/A0102,774953
2013-03-21$4.76$5.0035.6%10.2%30.9%23.1%0.0%-4.4%2.9%8.2K-9.0K-1.7K0.0016.50N/AN/A002,774953
2013-03-22$4.82$5.0032.8%9.4%27.4%18.6%32.8%-1.8%4.6%9.7K-36.2K-1.9K1.1019.04N/AN/A20222,774953
2013-03-25$4.83$5.0036.3%10.4%25.5%24.2%0.0%-1.0%2.7%10.6K-74.2K-1.9K0.009.98N/AN/A002,794933
2013-03-26$4.79$5.0031.5%9.0%24.3%16.5%0.0%101.2%4.9%9.7K-15.0K-1.6K2.0010.16N/AN/A122,794933
2013-03-27$4.78$5.0032.2%9.2%24.2%17.6%31.9%-1.2%4.6%9.2K-12.4K-1.6K7.2510.28N/AN/A4292,793935
2013-03-28$4.70$5.0024.4%7.0%24.3%5.0%0.0%6.2%15.4%8.3K46.2K-1.5K0.009.37N/AN/A002,793940