FORM Options History — November 2013

In November 2013, FORM traded between $5.00 and $5.44. ATM implied volatility averaged 38.5%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 15.3% (HV 20d: 53.8%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2013-11-25: Highest Volume — 266 contracts
  • 2013-11-05: Largest IV drop — 33.7% change
  • 2013-11-12: Highest IV Rank — 72.1%
  • 2013-11-05: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.22$5.00$5.44$5.18$5.42
Max Pain$5.10$5.00$7.00$7.00$5.00
ATM IV38.5%28.9%53.7%41.9%37.7%
Expected Move11.0%9.6%12.4%12.0%10.8%
HV 20d53.8%33.1%63.8%62.0%33.9%
HV 60d45.9%44.1%46.8%45.8%44.1%
IV Rank40.3%20.2%72.1%47.5%38.7%
IV Percentile65.0%14.3%98.4%86.1%66.7%
Term Structure-0.3%-9.8%9.8%-1.0%-7.0%
VWIV38.0%35.6%41.9%41.9%36.6%
Skew 25d9.1%-12.7%22.4%5.8%-12.7%
Skew 10d12.6%-5.9%33.3%8.0%3.8%
Call IV 25d31.9%25.0%43.6%36.0%43.6%
Put IV 25d41.0%31.0%48.8%41.8%31.0%
Bid-Ask Spread %104.7730.11148.7838.72108.64
Gamma HHI0.330.310.340.340.34
Net GEX10.9K9.2K13.9K10.1K13.1K
Net DEX-205.2K-317.1K-134.2K-179.5K-303.0K
Net VEX-1.6K-2.0K-1.4K-1.7K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.004.000.160.00
Total Volume25.7502665052
Total OI2,825.52,6702,9232,8352,903

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$5.18$7.0041.9%12.0%62.0%47.5%41.9%5.8%-1.0%10.1K-179.5K-1.7K0.1638.72N/AN/A4372,518317
2013-11-04$5.21$5.0043.6%11.9%62.3%51.0%0.0%14.9%-1.7%10.2K-175.6K-1.6K0.0055.77N/AN/A022,550324
2013-11-05$5.23$5.0028.9%12.4%62.4%20.2%0.0%17.1%-3.7%10.7K-185.7K-1.7K0.0030.11N/AN/A002,550325
2013-11-06$5.17$5.0034.7%10.6%62.4%32.4%0.0%15.8%1.9%10.2K-173.9K-1.6K1.00106.92N/AN/A662,550325
2013-11-07$5.06$5.0042.4%10.7%61.3%48.6%0.0%14.2%0.1%9.5K-134.2K-1.4K0.80106.22N/AN/A542,556331
2013-11-08$5.31$5.0035.4%11.9%63.8%33.8%0.0%4.8%3.6%11.6K-223.7K-1.8K0.00105.23N/AN/A502,561335
2013-11-11$5.36$5.0041.3%12.2%63.6%46.2%0.0%1.3%-5.3%11.6K-210.1K-1.6K0.00116.71N/AN/A002,562335
2013-11-12$5.23$5.0053.7%10.7%62.7%72.1%0.0%10.5%-9.8%10.7K-182.3K-1.6K0.00113.22N/AN/A002,562335
2013-11-13$5.20$5.0041.7%10.3%62.5%47.1%0.0%6.8%2.5%10.7K-177.8K-1.5K0.00101.72N/AN/A502,562325
2013-11-14$5.12$5.0037.6%10.8%61.8%38.5%0.0%14.9%-0.7%10.1K-154.9K-1.4K0.00119.95N/AN/A5502,538323
2013-11-15$5.27$5.0033.5%9.6%63.4%29.9%0.0%9.6%5.5%12.1K-229.6K-1.6K0.00110.13N/AN/A002,591323
2013-11-18$5.22$5.0034.6%9.9%62.8%32.2%0.0%6.0%-2.8%10.7K-228.0K-1.6K0.00106.23N/AN/A002,432238
2013-11-19$5.13$5.0035.6%10.2%62.6%34.2%35.6%16.8%4.7%10.2K-203.6K-1.5K3.00109.15N/AN/A392,432238
2013-11-20$5.00$5.0038.3%11.0%60.4%40.0%0.0%14.3%9.8%9.7K-168.1K-1.4K0.00148.78N/AN/A002,433247
2013-11-21$5.17$5.0036.7%10.5%33.2%36.5%36.6%0.8%-0.6%9.2K-184.7K-1.4K4.00142.59N/AN/A282,433247
2013-11-22$5.25$5.0034.4%9.9%33.7%31.8%0.0%0.8%3.4%10.5K-209.6K-1.5K2.20116.15N/AN/A5112,433251
2013-11-25$5.21$5.0039.4%11.3%33.5%42.3%0.0%9.8%0.1%10.5K-206.4K-1.4K0.00109.56N/AN/A26602,428252
2013-11-26$5.24$5.0040.8%11.7%33.1%45.2%0.0%7.5%-1.0%12.0K-255.6K-1.8K0.00145.00N/AN/A012,670252
2013-11-27$5.44$5.0037.3%10.7%34.0%37.8%0.0%22.4%-4.5%13.9K-317.1K-2.0K0.00104.56N/AN/A2002,670253
2013-11-29$5.42$5.0037.7%10.8%33.9%38.7%0.0%-12.7%-7.0%13.1K-303.0K-1.8K0.00108.64N/AN/A0522,650253