FORM Options History — January 2007

In January 2007, FORM traded between $38.18 and $42.14. ATM implied volatility averaged 49.3%. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 8.9% (HV 20d: 40.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-01-31: Highest Volume — 5,768 contracts
  • 2007-01-11: Largest IV spike — 28.3% change
  • 2007-01-31: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.17$38.18$42.14$38.18$40.65
Max Pain$39.50$35.00$40.00$40.00$40.00
ATM IV49.3%37.2%61.4%37.2%61.4%
Expected Move14.7%10.7%17.6%10.7%17.6%
HV 20d40.4%39.7%41.9%41.9%39.9%
Term Structure-2.7%-11.5%10.3%9.7%-11.5%
VWIV51.0%35.2%61.4%37.4%61.4%
Skew 25d3.2%-10.1%6.6%1.5%6.3%
Skew 10d5.3%-16.1%12.0%-4.7%10.9%
Call IV 25d42.9%36.6%46.3%39.2%43.2%
Put IV 25d46.0%33.5%52.7%40.8%49.5%
Bid-Ask Spread %17.9710.4723.6119.7314.34
Gamma HHI0.470.340.670.470.47
Net GEX362.4K118.5K570.3K206.1K527.0K
Net DEX-10.7M-18.5M-2.5M-4.4M-16.0M
Net VEX-58.5K-86.1K-50.0K-51.5K-86.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.142.980.392.98
Total Volume1,517.854035,7681,1235,768
Total OI15,934.5510,03218,68516,38217,763

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$38.18$40.0037.2%10.7%0.0%0.0%37.4%1.5%9.7%206.1K-4.4M-51.5K0.3919.73N/AN/A80931410,2536,129
2007-01-04$40.02$40.0037.3%10.7%0.0%0.0%35.2%3.7%10.3%341.2K-10.8M-56.9K0.5223.56N/AN/A68035210,7686,152
2007-01-05$39.16$35.0041.1%14.0%0.0%0.0%49.8%2.4%-0.4%307.5K-8.3M-56.2K0.5515.06N/AN/A1,05057910,7826,111
2007-01-08$39.79$35.0043.2%14.6%0.0%0.0%52.2%-10.1%-1.6%410.7K-11.0M-56.5K0.9010.47N/AN/A55850011,1855,980
2007-01-09$40.44$40.0042.2%14.6%0.0%0.0%50.7%-5.2%-2.5%466.4K-13.7M-56.3K0.9517.35N/AN/A48946411,3086,190
2007-01-10$42.06$40.0041.2%15.2%0.0%0.0%52.4%-1.1%-3.3%497.0K-18.5M-56.9K0.2719.18N/AN/A2,35964211,2736,533
2007-01-11$42.14$40.0052.9%15.2%0.0%0.0%50.5%-0.1%-3.8%432.9K-17.9M-58.9K1.0620.18N/AN/A43546311,2946,846
2007-01-12$41.95$40.0052.7%15.1%0.0%0.0%52.5%-0.7%-3.0%450.8K-17.9M-58.5K0.5319.32N/AN/A43523111,4676,986
2007-01-16$41.12$40.0054.6%15.6%0.0%0.0%53.4%6.6%-5.4%393.6K-14.6M-55.3K0.8521.75N/AN/A21818511,3137,102
2007-01-17$41.17$40.0054.5%15.6%0.0%0.0%54.1%6.4%-5.0%407.4K-15.4M-54.3K0.3720.59N/AN/A46617311,3817,163
2007-01-18$38.96$40.0054.5%15.6%0.0%0.0%55.1%6.4%-4.8%417.6K-5.0M-51.4K0.6417.15N/AN/A52133111,4307,238
2007-01-19$38.99$40.0053.8%15.4%0.0%0.0%53.6%6.2%-5.0%335.3K-4.1M-50.2K0.7423.00N/AN/A61946111,5497,136
2007-01-22$38.37$40.0052.6%15.1%0.0%0.0%53.0%6.2%-3.4%118.5K-2.5M-50.0K0.2419.64N/AN/A8762136,2343,798
2007-01-23$39.07$40.0051.5%14.8%0.0%0.0%52.5%6.0%-3.0%181.7K-4.4M-52.0K0.8322.66N/AN/A6295256,7463,881
2007-01-24$40.08$40.0050.7%14.5%0.0%0.0%51.3%5.6%-2.1%221.4K-6.6M-54.6K0.3212.66N/AN/A3221047,0764,107
2007-01-25$39.34$40.0051.3%14.7%41.9%0.0%51.4%5.1%-3.0%217.7K-5.3M-53.9K0.7223.61N/AN/A6114417,2484,160
2007-01-26$40.06$40.0048.4%13.9%41.0%0.0%47.6%5.9%-3.9%228.7K-6.5M-56.6K0.1413.82N/AN/A3,7255037,4704,521
2007-01-29$40.27$40.0052.9%15.2%39.7%0.0%53.4%6.4%-5.7%516.9K-13.5M-75.9K0.7411.73N/AN/A90266710,8084,765
2007-01-30$41.53$40.0053.1%15.2%39.8%0.0%51.6%5.5%-7.3%570.3K-18.5M-78.5K0.7113.57N/AN/A1,01572211,3215,224
2007-01-31$40.65$40.0061.4%17.6%39.9%0.0%61.4%6.3%-11.5%527.0K-16.0M-86.1K2.9814.34N/AN/A1,4504,31812,0435,720