FORM Options History — May 2013

In May 2013, FORM traded between $4.76 and $5.89. ATM implied volatility averaged 31.6%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 6.9% (HV 20d: 38.5%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.06.

Notable Days

  • 2013-05-01: Highest Volume — 2,701 contracts
  • 2013-05-02: Largest IV drop — 62.9% change
  • 2013-05-01: Highest IV Rank — 74.0%
  • 2013-05-01: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.31$4.76$5.89$4.96$5.89
Max Pain$4.73$3.00$5.00$3.00$5.00
ATM IV31.6%19.2%67.0%67.0%35.3%
Expected Move9.7%7.0%19.2%19.2%10.1%
HV 20d38.5%32.0%47.6%43.8%33.6%
HV 60d35.9%34.4%37.1%34.4%37.1%
IV Rank18.5%0.0%74.0%74.0%25.2%
IV Percentile21.3%0.0%99.2%99.2%38.9%
Term Structure2.2%-20.3%14.5%-20.3%-0.0%
VWIV33.8%21.6%66.9%66.9%35.3%
Skew 25d6.3%-5.7%43.6%0.6%-1.1%
Skew 10d15.5%-10.9%99.8%-1.5%-0.5%
Call IV 25d27.0%19.9%53.2%53.2%32.8%
Put IV 25d33.3%21.1%67.1%53.8%31.6%
Bid-Ask Spread %14.457.6724.9214.0722.96
Gamma HHI0.600.490.750.490.68
Net GEX64.3K32.5K91.6K32.5K64.6K
Net DEX-1.4M-2.3M-754.2K-800.9K-2.3M
Net VEX-5.4K-6.6K-4.5K-4.5K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.001.000.030.04
Total Volume442.13652,7012,701951
Total OI6,191.3184,7907,2664,7906,649

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$4.96$3.0067.0%19.2%43.8%74.0%66.9%0.6%-20.3%32.5K-800.9K-4.5K0.0314.07N/AN/A2,628734,444346
2013-05-02$4.76$3.0024.9%7.1%46.1%5.8%24.2%9.4%10.9%86.7K-754.2K-4.5K0.0014.19N/AN/A2,50706,847419
2013-05-03$4.95$3.0026.5%7.6%47.6%8.4%26.7%-5.7%7.2%72.3K-918.3K-4.8K1.0013.23N/AN/A10105,496419
2013-05-06$5.06$5.0026.8%9.9%45.5%8.8%34.3%5.8%0.7%79.6K-1.1M-4.9K0.0011.83N/AN/A21005,496429
2013-05-07$5.13$5.0024.7%9.3%45.6%5.4%32.3%7.5%4.4%73.3K-1.3M-5.0K0.0013.34N/AN/A13205,432429
2013-05-08$5.13$5.0029.8%9.8%44.2%13.8%34.2%9.1%1.2%67.5K-1.2M-4.9K0.0011.15N/AN/A16605,450429
2013-05-09$5.06$5.0030.9%9.7%44.2%15.6%0.0%6.2%-0.5%81.6K-1.1M-4.7K0.0013.12N/AN/A5605,557429
2013-05-10$5.12$5.0019.2%9.6%44.3%0.0%0.0%7.8%1.2%91.6K-1.3M-4.7K0.0012.31N/AN/A805,569429
2013-05-13$5.19$5.0026.9%10.1%38.8%12.1%0.0%10.7%-0.8%72.3K-1.4M-4.7K0.0015.61N/AN/A3005,561429
2013-05-14$5.17$5.0031.2%9.8%35.9%18.8%0.0%9.3%0.9%77.7K-1.4M-4.7K0.0014.84N/AN/A505,536429
2013-05-15$5.25$5.0038.0%10.6%35.3%29.5%0.0%43.6%-1.7%60.5K-1.5M-4.6K0.0014.34N/AN/A11605,539429
2013-05-16$5.46$5.0038.9%11.2%35.4%30.9%37.6%4.0%1.6%45.5K-1.7M-4.9K0.0424.92N/AN/A286115,499429
2013-05-17$5.61$5.0028.3%8.1%34.7%14.3%27.3%-3.8%6.1%44.3K-2.0M-5.1K0.0010.62N/AN/A1,97605,751439
2013-05-20$5.67$5.0032.1%9.2%34.2%20.1%23.4%-1.6%1.7%57.1K-1.8M-6.6K0.0021.78N/AN/A3505,911429
2013-05-21$5.55$5.0031.5%9.0%35.8%19.3%21.6%-2.7%2.0%55.7K-1.7M-6.4K0.0112.99N/AN/A13515,910429
2013-05-22$5.41$5.0027.6%7.9%38.1%13.2%0.0%1.1%1.4%55.7K-1.5M-6.2K0.0013.37N/AN/A7905,924430
2013-05-23$5.43$5.0037.3%10.7%32.0%28.4%37.8%17.0%-4.1%56.9K-1.5M-6.2K0.219.64N/AN/A140305,997430
2013-05-24$5.41$5.0037.3%10.7%32.2%28.3%0.0%15.6%-1.0%57.6K-1.5M-6.3K0.0018.98N/AN/A2506,130460
2013-05-28$5.53$5.0024.2%7.0%32.7%7.9%37.9%-2.6%12.1%60.2K-1.6M-6.4K0.009.81N/AN/A2706,137460
2013-05-29$5.46$5.0024.6%7.1%33.3%8.5%0.0%6.4%14.5%58.3K-1.5M-6.2K0.0017.15N/AN/A7506,141460
2013-05-30$5.56$5.0031.1%8.9%33.6%18.6%0.0%2.0%11.7%62.6K-1.7M-6.3K0.007.67N/AN/A506,191460
2013-05-31$5.89$5.0035.3%10.1%33.6%25.2%35.3%-1.1%-0.0%64.6K-2.3M-6.5K0.0422.96N/AN/A911406,189460