FORM Options History — March 2007

In March 2007, FORM traded between $42.00 and $47.78. ATM implied volatility averaged 38.0%. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 3.2% (HV 20d: 41.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2007-03-05: Highest Volume — 3,255 contracts
  • 2007-03-02: Largest IV spike — 8.0% change
  • 2007-03-05: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.01$42.00$47.78$43.53$44.75
Max Pain$44.32$40.00$45.00$40.00$45.00
ATM IV38.0%34.5%43.8%38.8%35.8%
Expected Move10.9%9.9%12.2%11.1%10.3%
HV 20d41.2%33.2%50.2%50.2%33.2%
HV 60d42.9%41.3%45.0%45.0%41.3%
Term Structure4.1%-0.8%9.4%-0.7%9.4%
VWIV38.2%34.8%41.2%39.1%35.8%
Skew 25d3.6%2.3%4.5%2.9%2.9%
Skew 10d4.6%-2.5%14.4%6.3%3.3%
Call IV 25d36.4%33.2%39.9%37.7%35.4%
Put IV 25d40.0%36.9%43.6%40.6%38.3%
Bid-Ask Spread %15.087.1428.0728.0713.40
Gamma HHI0.400.250.690.410.37
Net GEX223.2K42.6K500.1K228.9K54.6K
Net DEX-16.7M-29.0M-7.8M-16.8M-7.8M
Net VEX-90.3K-101.5K-74.4K-77.1K-101.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0913.801.661.69
Total Volume923.455963,2551,025632
Total OI17,71814,95720,55817,03817,808

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$43.53$40.0038.8%11.1%50.2%0.0%39.1%2.9%-0.7%228.9K-16.8M-77.1K1.6628.07N/AN/A38564010,5956,443
2007-03-02$42.16$40.0041.9%12.0%38.7%0.0%40.5%3.2%-0.8%327.6K-11.3M-77.3K0.3910.29N/AN/A2268710,7246,417
2007-03-05$42.00$40.0043.8%12.2%37.9%0.0%40.0%3.7%1.4%352.1K-11.2M-74.4K13.8018.56N/AN/A2203,03510,8066,431
2007-03-06$43.44$45.0040.7%11.3%39.7%0.0%41.2%2.5%2.4%368.1K-17.1M-78.2K0.2018.08N/AN/A78715410,8276,588
2007-03-07$43.00$45.0039.3%11.3%39.7%0.0%41.0%2.8%2.1%404.4K-16.4M-78.9K1.5119.67N/AN/A6710111,1356,610
2007-03-08$45.36$45.0038.8%11.2%43.4%0.0%39.0%3.8%2.9%322.6K-25.4M-74.6K0.3324.49N/AN/A1,29142411,1156,663
2007-03-09$45.90$45.0036.7%11.2%43.5%0.0%40.1%4.1%2.2%338.0K-29.0M-77.2K8.4912.23N/AN/A2331,97811,7466,807
2007-03-12$46.24$45.0038.4%11.3%41.9%0.0%38.2%3.6%2.3%241.3K-27.9M-98.7K0.4612.72N/AN/A1265811,8688,630
2007-03-13$45.24$45.0039.4%11.3%42.8%0.0%39.2%3.4%2.4%286.2K-23.9M-99.4K0.6411.81N/AN/A19412411,9308,628
2007-03-14$45.17$45.0037.3%11.3%42.5%0.0%40.8%4.5%2.4%334.0K-23.8M-99.1K1.1213.97N/AN/A13815411,9468,584
2007-03-15$45.41$45.0038.9%11.1%42.1%0.0%39.8%4.3%2.8%442.6K-25.2M-97.2K0.3918.68N/AN/A41516311,9708,542
2007-03-16$45.46$45.0038.6%11.1%41.8%0.0%38.7%4.3%3.4%500.1K-26.6M-95.1K0.0910.40N/AN/A1,66414911,8728,601
2007-03-19$45.44$45.0037.3%10.7%41.8%0.0%37.5%4.4%5.0%45.3K-10.1M-92.5K1.0015.40N/AN/A4984967,9946,963
2007-03-20$45.46$45.0036.4%10.4%41.8%0.0%36.2%3.3%5.2%42.6K-10.3M-94.6K0.617.14N/AN/A1901158,3317,258
2007-03-21$47.78$45.0034.5%9.9%44.8%0.0%36.2%4.0%6.0%90.9K-16.7M-91.9K0.1618.61N/AN/A7131118,4267,349
2007-03-22$46.97$45.0036.5%10.5%45.0%0.0%34.8%3.7%6.0%116.8K-15.5M-94.5K1.5020.87N/AN/A1822738,8417,412
2007-03-23$45.92$45.0036.6%10.5%45.4%0.0%35.5%3.9%5.8%66.4K-11.7M-97.2K0.449.14N/AN/A207918,8237,625
2007-03-26$45.80$45.0036.5%10.5%44.4%0.0%36.1%3.6%6.7%69.8K-11.6M-94.6K0.3312.70N/AN/A6872258,8317,623
2007-03-27$45.64$45.0036.4%10.4%35.5%0.0%36.3%2.3%7.4%105.4K-11.8M-98.3K0.1911.44N/AN/A81159,2747,751
2007-03-28$45.11$45.0036.8%10.5%35.4%0.0%37.7%3.0%7.3%93.4K-10.0M-97.0K0.3710.83N/AN/A3551309,2267,731
2007-03-29$44.48$45.0037.1%10.6%35.4%0.0%37.2%4.0%8.6%80.1K-7.9M-96.4K1.3813.32N/AN/A1,0501,4529,2837,769
2007-03-30$44.75$45.0035.8%10.3%33.2%0.0%35.8%2.9%9.4%54.6K-7.8M-101.5K1.6913.40N/AN/A2353979,5328,276