FORM Options History — May 2007

In May 2007, FORM traded between $39.26 and $43.77. ATM implied volatility averaged 36.3%. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.2% (HV 20d: 29.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2007-05-25: Highest Volume — 5,846 contracts
  • 2007-05-11: Largest IV drop — 8.3% change
  • 2007-05-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$39.26$43.77$42.32$39.78
Max Pain$44.32$40.00$45.00$45.00$40.00
ATM IV36.3%33.8%39.9%39.9%34.4%
Expected Move10.3%9.7%11.4%11.4%9.9%
HV 20d29.0%24.0%31.6%28.3%24.0%
HV 60d31.9%27.9%33.5%33.1%27.9%
Term Structure1.7%-2.2%3.0%-1.5%1.7%
VWIV35.1%26.3%39.0%38.6%26.3%
Skew 25d4.5%3.5%5.4%5.0%3.9%
Skew 10d8.5%6.7%12.0%8.0%7.7%
Call IV 25d35.8%34.8%37.0%35.7%34.8%
Put IV 25d40.2%38.7%41.4%40.8%38.7%
Bid-Ask Spread %18.708.8534.2110.6823.48
Gamma HHI0.460.340.680.450.68
Net GEX-207.1K-660.6K867.0K-161.3K867.0K
Net DEX11.0M4.6M19.0M9.6M6.5M
Net VEX-101.2K-117.3K-79.1K-117.3K-105.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.032.630.380.23
Total Volume870.0911255,846407654
Total OI20,204.86416,46224,34420,63724,344

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$42.32$45.0039.9%11.4%28.3%0.0%38.6%5.0%-1.5%-161.3K9.6M-117.3K0.3810.68N/AN/A2961119,19611,441
2007-05-02$42.81$45.0037.4%10.7%28.5%0.0%38.1%5.4%-1.4%-233.5K10.9M-112.6K0.7014.85N/AN/A2842008,08511,392
2007-05-03$43.30$45.0037.5%10.7%28.8%0.0%37.5%5.1%-2.2%-264.2K6.5M-114.9K0.2616.99N/AN/A181478,14911,419
2007-05-04$43.64$45.0036.0%10.0%28.4%0.0%34.7%4.9%2.2%-238.7K5.4M-115.2K0.559.82N/AN/A4632538,25011,446
2007-05-07$43.77$45.0037.2%10.2%28.2%0.0%39.0%4.1%1.5%-228.5K4.7M-113.7K0.2911.93N/AN/A112328,32411,584
2007-05-08$43.58$45.0037.1%10.2%26.3%0.0%37.1%4.3%1.7%-227.4K5.9M-111.2K2.6312.51N/AN/A1824798,39411,549
2007-05-09$43.74$45.0036.4%10.1%26.4%0.0%36.7%4.5%1.8%-191.8K5.0M-112.0K0.6212.79N/AN/A77488,46411,829
2007-05-10$41.88$45.0037.1%10.6%30.2%0.0%34.5%5.0%2.5%-485.6K15.5M-101.1K1.5324.92N/AN/A1612468,52411,819
2007-05-11$42.83$45.0034.0%9.7%31.4%0.0%36.1%4.6%2.5%-309.1K10.2M-104.3K0.0818.35N/AN/A750628,55811,848
2007-05-14$42.30$45.0036.8%10.6%31.3%0.0%34.2%4.3%2.6%-373.5K12.0M-99.6K1.2723.86N/AN/A2613329,14811,842
2007-05-15$41.68$45.0037.2%10.7%31.5%0.0%34.9%5.1%2.3%-583.4K14.8M-94.9K1.2924.47N/AN/A2463179,25211,740
2007-05-16$41.39$45.0036.6%10.5%31.5%0.0%34.9%4.3%2.7%-616.0K15.9M-93.8K1.8610.02N/AN/A3005579,29911,939
2007-05-17$40.98$45.0036.0%10.3%31.6%0.0%35.1%4.4%2.6%-660.6K16.4M-92.5K1.338.85N/AN/A1321759,46911,857
2007-05-18$40.83$45.0037.0%10.6%30.8%0.0%35.5%4.6%2.3%-544.4K15.1M-92.5K0.5515.30N/AN/A6103379,58011,565
2007-05-21$40.55$45.0036.5%10.5%30.5%0.0%31.4%4.2%2.2%-463.4K15.2M-88.9K0.1721.63N/AN/A1,2752136,02510,437
2007-05-22$40.94$45.0036.7%10.5%30.8%0.0%34.1%4.2%1.7%-431.6K13.2M-92.8K0.1724.55N/AN/A8911556,70810,493
2007-05-23$40.47$45.0036.0%10.3%30.8%0.0%34.6%3.7%2.5%-371.2K13.9M-92.3K0.2021.75N/AN/A109227,16510,556
2007-05-24$39.26$45.0035.2%10.1%29.1%0.0%35.5%3.5%2.7%-218.5K19.0M-79.1K0.4626.95N/AN/A5002317,20510,544
2007-05-25$39.57$45.0033.8%9.7%29.4%0.0%33.8%3.9%3.0%-286.1K17.3M-82.5K0.0320.59N/AN/A5,6821647,33510,576
2007-05-29$40.07$40.0034.4%9.8%26.4%0.0%34.3%4.1%2.2%735.8K5.2M-101.0K0.5034.21N/AN/A99750312,48410,693
2007-05-30$40.04$40.0034.7%9.9%24.6%0.0%34.6%5.0%2.0%730.7K4.6M-109.7K0.6223.00N/AN/A30519012,88511,095
2007-05-31$39.78$40.0034.4%9.9%24.0%0.0%26.3%3.9%1.7%867.0K6.5M-105.0K0.2323.48N/AN/A53112313,20311,141