FORM Options History — February 2007 In February 2007, FORM traded between $42.75 and $46.59. ATM implied volatility averaged 37.6%. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 9.4% (HV 20d: 47.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.41.
Notable Days 2007-02-01 : Highest Volume — 6,022 contracts2007-02-27 : Largest IV spike — 8.7% change2007-02-01 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $43.96 $42.75 $46.59 $44.65 $42.75 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 37.6% 35.3% 39.9% 39.9% 38.1% Expected Move 10.8% 10.1% 11.4% 11.4% 10.9% HV 20d 47.0% 42.4% 51.3% 50.4% 50.6% Term Structure 0.2% -1.8% 1.6% -1.8% 0.3% VWIV 38.2% 34.9% 41.3% 40.3% 39.0% Skew 25d 3.8% 0.0% 9.2% 4.4% 3.2% Skew 10d 7.6% 4.9% 15.8% 7.7% 6.9% Call IV 25d 36.1% 32.9% 38.1% 36.5% 37.7% Put IV 25d 39.8% 37.9% 42.1% 40.9% 40.9% Bid-Ask Spread % 18.06 10.20 26.89 10.20 10.30 Gamma HHI 0.40 0.28 0.51 0.35 0.51 Net GEX 349.8K 149.2K 530.6K 446.7K 280.8K Net DEX -23.8M -33.1M -13.4M -33.1M -13.4M Net VEX -77.9K -91.5K -65.0K -85.1K -77.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.41 0.19 8.47 1.07 0.66 Total Volume 1,107.105 112 6,022 6,022 587 Total OI 19,934.632 15,150 23,283 21,908 16,968
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $44.65 $40.00 39.9% 11.4% 50.4% 0.0% 40.3% 4.4% -1.8% 446.7K -33.1M -85.1K 1.07 10.20 N/A N/A 2,910 3,112 12,767 9,141 2007-02-02 $43.58 $40.00 37.1% 10.9% 49.4% 0.0% 38.7% 4.0% 0.8% 522.4K -27.5M -87.2K 2.63 13.46 N/A N/A 341 898 12,766 8,389 2007-02-05 $43.10 $40.00 38.3% 11.1% 48.8% 0.0% 39.8% 4.8% -0.2% 492.4K -25.5M -85.3K 4.72 14.05 N/A N/A 61 288 12,746 8,691 2007-02-06 $43.54 $40.00 38.0% 11.1% 48.6% 0.0% 41.3% 4.3% 0.0% 511.3K -27.2M -84.0K 0.76 16.71 N/A N/A 105 80 12,759 8,703 2007-02-07 $44.55 $40.00 38.0% 11.0% 48.9% 0.0% 38.7% 3.2% 0.5% 530.6K -32.4M -77.4K 0.47 24.81 N/A N/A 1,104 517 12,735 8,770 2007-02-08 $44.25 $40.00 38.6% 11.1% 47.3% 0.0% 39.5% 9.2% 0.1% 490.6K -29.3M -81.1K 8.47 20.82 N/A N/A 389 3,294 12,551 9,067 2007-02-09 $42.95 $40.00 38.4% 11.0% 48.7% 0.0% 39.1% 0.0% -0.3% 233.5K -19.6M -91.5K 0.51 18.82 N/A N/A 551 282 12,649 10,634 2007-02-12 $42.80 $40.00 38.4% 11.0% 48.7% 0.0% 38.8% 3.8% -0.2% 331.2K -20.7M -82.6K 0.91 26.89 N/A N/A 149 135 12,744 9,838 2007-02-13 $43.51 $40.00 37.8% 10.8% 48.3% 0.0% 38.3% 3.8% 0.5% 355.9K -24.3M -78.6K 1.36 26.68 N/A N/A 149 202 12,700 9,841 2007-02-14 $44.33 $40.00 37.5% 10.8% 48.6% 0.0% 37.8% 4.2% 0.4% 463.1K -28.7M -75.9K 0.51 15.69 N/A N/A 283 145 12,729 9,841 2007-02-15 $43.82 $40.00 36.9% 10.6% 43.9% 0.0% 37.0% 3.5% 0.3% 432.6K -26.1M -75.0K 0.34 12.49 N/A N/A 283 95 12,884 9,917 2007-02-16 $44.04 $40.00 36.8% 10.6% 43.8% 0.0% 37.6% 3.7% 0.5% 388.8K -25.8M -72.7K 0.94 13.53 N/A N/A 361 338 12,914 9,814 2007-02-20 $44.04 $40.00 36.3% 10.4% 43.1% 0.0% 36.5% 3.7% 0.3% 149.2K -16.3M -68.9K 0.39 19.68 N/A N/A 606 238 9,254 5,896 2007-02-21 $43.58 $40.00 36.2% 10.4% 43.3% 0.0% 36.5% 3.1% 0.5% 204.7K -15.8M -73.7K 1.43 22.60 N/A N/A 46 66 9,762 6,072 2007-02-22 $44.53 $40.00 35.8% 10.3% 43.1% 0.0% 35.9% 4.2% 1.2% 177.6K -19.1M -71.9K 0.60 18.63 N/A N/A 554 331 9,778 6,111 2007-02-23 $45.38 $40.00 35.3% 10.1% 42.4% 0.0% 34.9% 3.3% 1.6% 193.7K -22.9M -70.0K 0.27 22.57 N/A N/A 256 70 10,099 6,200 2007-02-26 $46.59 $40.00 36.4% 10.4% 42.8% 0.0% 35.7% 3.3% 0.9% 192.7K -27.1M -65.0K 0.19 23.74 N/A N/A 982 183 10,186 6,204 2007-02-27 $43.34 $40.00 39.6% 11.3% 51.3% 0.0% 40.8% 2.1% -1.8% 248.1K -16.4M -75.9K 0.52 11.50 N/A N/A 688 356 10,325 6,313 2007-02-28 $42.75 $40.00 38.1% 10.9% 50.6% 0.0% 39.0% 3.2% 0.3% 280.8K -13.4M -77.9K 0.66 10.30 N/A N/A 353 234 10,591 6,377
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