FORM Options History — October 2013

In October 2013, FORM traded between $5.16 and $6.84. ATM implied volatility averaged 37.8%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.3% (HV 20d: 37.4%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-10-24: Highest Volume — 1,159 contracts
  • 2013-10-10: Largest IV spike — 40.3% change
  • 2013-10-31: Highest IV Rank — 61.0%
  • 2013-10-08: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.15$5.16$6.84$6.84$5.22
Max Pain$6.74$5.00$7.00$5.00$7.00
ATM IV37.8%21.8%48.4%35.2%48.4%
Expected Move11.6%6.3%14.1%10.1%13.9%
HV 20d37.4%23.5%62.0%34.5%62.0%
HV 60d38.6%33.7%46.7%38.8%45.8%
IV Rank38.8%5.5%61.0%33.5%61.0%
IV Percentile61.6%1.6%98.0%50.4%98.0%
Term Structure1.1%-9.4%19.4%5.4%-9.2%
VWIV35.7%21.3%41.9%21.3%29.6%
Skew 25d4.2%-6.8%13.8%-2.6%6.0%
Skew 10d7.2%-8.6%33.8%-2.3%8.2%
Call IV 25d36.3%22.6%42.3%32.5%42.3%
Put IV 25d40.5%22.2%50.5%29.8%48.3%
Bid-Ask Spread %22.818.30114.3713.4930.40
Gamma HHI0.470.290.730.440.38
Net GEX27.7K3.8K66.9K42.4K9.1K
Net DEX-1.1M-2.1M-35.8K-2.1M-152.5K
Net VEX-1.7K-2.3K-836-2.3K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.003.891.150.08
Total Volume95.95701,1590135
Total OI4,168.4781,5935,5915,3882,700

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$6.84$5.0035.2%10.1%34.5%33.5%0.0%-2.6%5.4%42.4K-2.1M-2.3K0.0013.49N/AN/A004,752636
2013-10-02$6.69$5.0032.7%9.4%31.4%28.2%0.0%-6.8%7.4%47.6K-1.9M-2.1K0.0010.88N/AN/A0254,752636
2013-10-03$6.59$5.0021.8%6.3%27.7%5.5%21.3%-0.4%19.4%34.4K-1.8M-1.7K0.009.77N/AN/A044,752636
2013-10-04$6.50$7.0030.4%11.9%26.3%23.4%41.9%5.8%-0.2%47.2K-1.7M-1.9K1.1515.54N/AN/A20234,752636
2013-10-07$6.42$7.0026.9%12.0%26.0%16.2%39.1%2.3%0.8%45.4K-1.6M-1.7K3.8912.48N/AN/A19744,772659
2013-10-08$6.29$7.0027.4%14.1%24.8%17.2%0.0%5.8%-9.4%62.6K-1.4M-2.0K0.3518.68N/AN/A69244,787652
2013-10-09$6.24$7.0029.8%12.2%23.5%22.1%0.0%-4.0%-2.4%66.9K-1.3M-1.9K0.0012.26N/AN/A204,779676
2013-10-10$6.38$7.0041.8%12.0%25.1%47.3%41.5%-1.5%-0.5%38.8K-1.6M-1.5K1.2910.98N/AN/A35454,779676
2013-10-11$6.53$7.0040.5%11.6%27.2%44.6%0.0%2.9%-0.8%34.1K-1.7M-1.7K0.0015.53N/AN/A1004,804705
2013-10-14$6.62$7.0040.5%11.6%27.1%44.5%0.0%8.3%-0.8%28.9K-1.8M-1.6K0.0025.97N/AN/A604,804705
2013-10-15$6.34$7.0042.3%12.1%30.6%48.4%0.0%2.0%-1.5%40.0K-1.6M-1.4K0.0015.58N/AN/A13504,798705
2013-10-16$6.36$7.0043.0%12.3%30.7%49.8%0.0%4.2%-2.5%28.8K-1.7M-1.5K0.008.30N/AN/A004,908683
2013-10-17$6.46$7.0039.6%11.4%31.5%42.7%0.0%2.3%1.1%21.5K-1.6M-1.5K0.0614.18N/AN/A3224,614681
2013-10-18$6.42$7.0043.6%12.5%31.3%51.0%36.1%4.7%-7.2%20.1K-1.5M-1.5K0.0013.34N/AN/A3304,603651
2013-10-21$6.51$7.0039.5%11.3%31.1%42.5%37.9%0.8%0.4%9.8K-298.7K-1.5K0.8513.97N/AN/A53451,325268
2013-10-22$6.54$7.0038.5%11.0%29.2%40.4%37.8%2.0%0.3%10.0K-303.6K-1.5K3.0013.99N/AN/A10301,351296
2013-10-23$6.17$7.0046.2%13.3%34.9%56.6%0.0%13.8%-5.0%7.8K-207.2K-1.4K0.0020.14N/AN/A3001,352296
2013-10-24$5.31$7.0036.4%10.4%61.7%35.9%29.6%11.0%16.4%3.8K-35.8K-8360.0693.52N/AN/A1,093661,378296
2013-10-25$5.29$7.0044.1%12.6%61.5%52.1%0.0%9.6%-2.0%9.1K-171.4K-1.8K0.1012.65N/AN/A97102,285287
2013-10-28$5.23$7.0044.3%12.7%60.4%52.5%0.0%6.3%-0.8%9.1K-141.0K-1.6K0.3313.14N/AN/A60202,333297
2013-10-29$5.31$7.0038.4%11.0%61.2%40.3%0.0%10.4%9.8%9.7K-177.5K-1.8K0.0015.56N/AN/A002,393316
2013-10-30$5.16$7.0037.1%10.6%61.4%37.4%0.0%12.7%5.5%9.1K-144.4K-1.6K0.00114.37N/AN/A002,393316
2013-10-31$5.22$7.0048.4%13.9%62.0%61.0%0.0%6.0%-9.2%9.1K-152.5K-1.6K0.0830.40N/AN/A125102,393307