FORM Options History — August 2013

In August 2013, FORM traded between $6.00 and $6.94. ATM implied volatility averaged 34.3%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 3.7% (HV 20d: 38.1%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.74.

Notable Days

  • 2013-08-05: Highest Volume — 348 contracts
  • 2013-08-09: Largest IV spike — 53.5% change
  • 2013-08-27: Highest IV Rank — 43.2%
  • 2013-08-27: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.37$6.00$6.94$6.94$6.07
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV34.3%21.8%45.4%31.7%35.5%
Expected Move10.2%8.7%11.4%9.1%10.2%
HV 20d38.1%30.2%47.7%46.8%32.8%
HV 60d37.4%36.6%38.6%36.6%37.9%
IV Rank27.3%4.1%43.2%19.6%34.2%
IV Percentile42.7%1.6%89.7%22.6%50.0%
Term Structure2.0%-2.9%10.5%3.0%2.2%
VWIV36.3%31.7%46.0%31.7%34.4%
Skew 25d4.2%-6.3%14.0%1.4%5.5%
Skew 10d8.9%-13.1%72.9%2.4%7.6%
Call IV 25d32.6%24.2%43.8%30.3%29.0%
Put IV 25d36.7%28.1%43.7%31.7%34.5%
Bid-Ask Spread %34.568.08104.7831.958.53
Gamma HHI0.390.360.430.410.37
Net GEX49.1K40.2K60.7K60.7K40.2K
Net DEX-1.5M-2.2M-1.1M-2.2M-1.1M
Net VEX-4.5K-5.1K-3.8K-4.8K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0016.400.480.00
Total Volume73.9550348254110
Total OI6,121.6825,6846,5266,1326,037

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$6.94$7.0031.7%9.1%46.8%19.6%31.7%1.4%3.0%60.7K-2.2M-4.8K0.4831.95N/AN/A172825,482650
2013-08-02$6.70$7.0033.8%9.7%47.7%22.8%33.8%-6.3%1.5%57.9K-1.8M-5.0K0.1425.81N/AN/A145205,471628
2013-08-05$6.62$7.0026.0%10.2%47.6%10.6%37.3%4.6%1.4%58.6K-1.7M-4.8K16.4011.10N/AN/A203285,545610
2013-08-06$6.73$7.0029.9%10.2%47.3%16.7%0.0%8.5%2.6%57.8K-1.9M-5.1K0.0016.49N/AN/A005,560897
2013-08-07$6.63$7.0021.8%10.2%47.1%4.1%35.2%8.9%0.8%54.5K-1.7M-4.8K0.068.08N/AN/A5035,560897
2013-08-08$6.56$7.0027.8%10.6%46.6%13.5%0.0%5.1%-0.6%54.8K-1.6M-5.0K0.0010.46N/AN/A0235,610881
2013-08-09$6.47$7.0042.7%10.8%46.8%36.8%38.6%4.3%-2.9%52.0K-1.5M-4.8K0.1012.77N/AN/A1015,610878
2013-08-12$6.53$7.0029.8%10.3%47.0%16.6%0.0%5.4%-0.3%51.6K-1.6M-4.7K0.0012.55N/AN/A7505,604867
2013-08-13$6.63$7.0045.4%10.0%33.9%41.1%0.0%5.9%2.0%58.9K-1.8M-4.7K10.0023.98N/AN/A1105,674847
2013-08-14$6.58$7.0035.6%9.7%33.7%25.7%33.7%8.3%2.5%54.7K-1.7M-4.8K0.0019.43N/AN/A905,674852
2013-08-15$6.32$7.0035.0%10.0%33.6%24.7%0.0%-0.1%10.5%44.0K-1.4M-4.6K0.0025.08N/AN/A205,674852
2013-08-16$6.22$7.0035.4%10.2%33.7%25.4%0.0%-4.4%2.0%43.8K-1.2M-4.4K0.0011.13N/AN/A7505,674852
2013-08-19$6.18$7.0037.6%10.8%33.7%28.8%46.0%-0.0%1.6%44.7K-1.3M-4.2K0.04104.78N/AN/A2615,030672
2013-08-20$6.13$7.0038.4%11.0%33.6%40.1%0.0%1.1%-0.9%44.8K-1.2M-4.2K0.0074.46N/AN/A005,030672
2013-08-21$6.18$7.0030.2%8.7%31.7%23.0%0.0%2.3%7.1%41.9K-1.2M-4.0K0.0098.43N/AN/A4005,030672
2013-08-22$6.30$7.0032.4%9.3%30.2%27.5%0.0%8.4%10.3%42.3K-1.4M-4.1K0.0028.39N/AN/A205,012672
2013-08-23$6.00$7.0033.4%9.6%32.9%29.6%0.0%3.1%3.0%40.7K-1.1M-3.9K0.0096.87N/AN/A1905,012672
2013-08-26$6.08$7.0036.6%10.5%32.5%36.4%34.4%2.1%0.1%42.6K-1.1M-3.9K0.10103.00N/AN/A115125,016672
2013-08-27$6.01$7.0039.9%11.4%32.5%43.2%0.0%7.6%-1.8%42.5K-1.1M-3.8K0.7512.45N/AN/A67505,103684
2013-08-28$6.05$7.0038.1%10.9%32.9%39.6%0.0%6.3%0.7%43.3K-1.2M-4.0K0.0412.47N/AN/A5025,162734
2013-08-29$6.26$7.0038.5%11.0%33.3%40.5%0.0%14.0%-0.2%47.6K-1.4M-4.2K4.9412.12N/AN/A18895,212734
2013-08-30$6.07$7.0035.5%10.2%32.8%34.2%0.0%5.5%2.2%40.2K-1.1M-4.0K0.008.53N/AN/A11005,215822