FORM Options History — July 2013

In July 2013, FORM traded between $6.50 and $7.66. ATM implied volatility averaged 36.0%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 0.1% (HV 20d: 36.1%). Max pain ranged from $4.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2013-07-16: Highest Volume — 815 contracts
  • 2013-07-08: Largest IV spike — 29.6% change
  • 2013-07-31: Highest IV Rank — 43.9%
  • 2013-07-31: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.11$6.50$7.66$6.60$7.27
Max Pain$6.09$4.00$7.00$5.00$7.00
ATM IV36.0%19.4%47.3%35.2%47.3%
Expected Move11.0%5.7%13.5%10.1%13.5%
HV 20d36.1%27.8%44.4%29.9%43.3%
HV 60d35.3%32.1%37.0%36.8%35.1%
IV Rank26.2%0.4%43.9%25.1%43.9%
IV Percentile49.6%0.4%90.1%42.5%90.1%
Term Structure0.4%-5.6%20.5%6.2%-5.6%
VWIV37.6%21.9%46.2%26.0%46.2%
Skew 25d2.8%-11.5%15.3%-11.5%1.2%
Skew 10d2.1%-11.4%14.2%-11.4%1.2%
Call IV 25d34.4%18.5%44.1%35.2%44.1%
Put IV 25d37.2%21.4%45.4%23.6%45.4%
Bid-Ask Spread %33.696.6496.597.5029.46
Gamma HHI0.390.310.510.490.34
Net GEX47.6K36.7K56.1K55.1K52.3K
Net DEX-3.1M-4.3M-2.4M-2.8M-2.6M
Net VEX-4.7K-5.4K-3.8K-5.2K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.006.470.000.00
Total Volume203.409258155687
Total OI6,434.8185,2397,5416,5986,071

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$6.60$5.0035.2%10.1%29.9%25.1%26.0%-11.5%6.2%55.1K-2.8M-5.2K0.007.50N/AN/A5605,954644
2013-07-02$6.56$5.0027.5%7.9%30.2%13.0%21.9%0.6%20.5%55.8K-2.7M-5.4K0.007.67N/AN/A10906,009644
2013-07-03$6.50$5.0019.8%5.7%30.1%0.9%26.4%2.8%20.1%56.1K-2.6M-5.2K0.306.64N/AN/A67205,951644
2013-07-05$6.69$7.0019.4%10.8%31.5%0.4%38.0%10.4%1.1%41.8K-2.9M-4.8K0.0523.26N/AN/A329155,927662
2013-07-08$6.59$4.0025.2%12.2%30.4%9.4%34.8%5.8%-3.0%47.3K-2.8M-4.9K0.0624.91N/AN/A12786,067671
2013-07-09$6.74$4.0030.7%11.0%28.3%17.9%39.5%8.7%0.8%51.7K-3.0M-5.0K1.0027.61N/AN/A22226,110669
2013-07-10$6.86$6.0029.8%11.1%28.0%16.6%38.6%10.8%-0.1%42.7K-3.2M-4.7K0.0021.80N/AN/A3406,132683
2013-07-11$6.98$6.0038.0%10.9%28.6%29.4%38.0%2.7%1.0%44.4K-3.4M-4.5K0.0123.30N/AN/A31336,154683
2013-07-12$6.96$6.0038.5%11.0%28.5%30.3%38.5%2.8%0.6%49.6K-3.4M-4.6K0.0122.79N/AN/A29926,299686
2013-07-15$6.95$6.0040.1%11.5%27.8%32.8%0.0%0.8%-1.6%50.8K-3.4M-4.7K0.0022.86N/AN/A2506,491688
2013-07-16$7.58$6.0041.4%11.9%40.2%34.8%38.9%5.1%-5.0%36.7K-4.3M-3.9K0.0225.13N/AN/A796196,491688
2013-07-17$7.47$6.0040.1%11.5%40.4%32.8%40.8%0.5%-3.9%43.6K-4.1M-4.0K0.0029.27N/AN/A8906,624684
2013-07-18$7.66$6.0039.6%11.3%39.7%31.9%39.8%6.4%-4.6%39.5K-4.3M-3.8K0.0426.71N/AN/A449206,525684
2013-07-19$7.62$6.0040.5%11.6%39.6%33.4%38.7%2.4%-3.9%44.5K-4.3M-4.4K0.2596.34N/AN/A157406,837704
2013-07-22$7.53$7.0039.0%11.2%40.1%31.1%43.2%4.9%-2.1%44.7K-2.8M-4.3K0.0233.67N/AN/A21254,898383
2013-07-23$7.51$7.0031.7%9.1%39.7%19.6%37.6%0.7%-2.6%45.6K-2.7M-4.4K0.3396.59N/AN/A55184,851388
2013-07-24$7.19$7.0039.6%11.3%42.4%31.9%35.4%-5.1%-0.1%47.6K-2.4M-4.5K0.2428.04N/AN/A255604,901406
2013-07-25$7.41$7.0042.7%12.2%42.7%36.7%42.7%1.5%-3.6%47.8K-2.7M-4.7K0.2939.52N/AN/A231675,085466
2013-07-26$7.21$7.0038.9%11.2%44.1%30.9%38.9%-3.1%-0.0%50.3K-2.4M-4.8K0.0792.91N/AN/A4235,111526
2013-07-29$7.33$7.0043.3%12.4%44.4%37.8%43.2%15.3%-3.0%50.5K-2.5M-4.7K6.4728.78N/AN/A171105,147529
2013-07-30$7.31$7.0042.8%12.3%43.3%36.9%42.1%-2.1%-1.6%47.7K-2.5M-4.8K0.0426.49N/AN/A281115,160639
2013-07-31$7.27$7.0047.3%13.5%43.3%43.9%46.2%1.2%-5.6%52.3K-2.6M-5.0K0.0029.46N/AN/A8705,421650