FORM Options History — June 2007

In June 2007, FORM traded between $38.30 and $42.80. ATM implied volatility averaged 30.8%. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.3% (HV 20d: 26.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2007-06-13: Highest Volume — 12,890 contracts
  • 2007-06-14: Largest IV spike — 24.7% change
  • 2007-06-06: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.86$38.30$42.80$40.42$38.30
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV30.8%24.4%33.0%31.3%32.0%
Expected Move9.6%8.9%10.5%9.0%9.2%
HV 20d26.5%23.2%29.7%24.4%29.5%
HV 60d26.6%25.5%28.1%28.0%27.2%
Term Structure5.8%3.1%8.5%3.6%8.5%
VWIV33.1%29.7%36.2%31.3%32.7%
Skew 25d3.4%2.3%5.5%2.7%5.5%
Skew 10d5.8%1.0%10.3%7.6%10.3%
Call IV 25d32.0%28.9%34.8%34.0%29.6%
Put IV 25d35.4%32.2%37.9%36.7%35.1%
Bid-Ask Spread %18.468.3026.888.3011.35
Gamma HHI0.560.410.860.690.86
Net GEX237.8K-807.2K976.8K976.8K697.2K
Net DEX-6.2M-27.6M14.9M2.2M1.7M
Net VEX-177.7K-222.3K-106.1K-106.1K-209.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.128.938.930.43
Total Volume2,394.6198612,8903,1971,265
Total OI32,655.04824,40643,67324,40636,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$40.42$40.0031.3%9.0%24.4%0.0%31.3%2.7%3.6%976.8K2.2M-106.1K8.938.30N/AN/A3222,87513,22111,185
2007-06-04$40.72$40.0031.1%10.3%24.4%0.0%35.5%3.6%3.8%463.9K3.4M-107.0K1.2717.98N/AN/A2,0392,59313,33613,554
2007-06-05$40.74$40.0032.2%10.3%24.3%0.0%35.7%3.7%3.6%-230.3K6.9M-112.2K0.9418.31N/AN/A59856013,08615,811
2007-06-06$40.94$40.0031.0%10.5%24.5%0.0%36.2%3.0%3.9%-436.9K5.8M-112.4K1.3220.72N/AN/A33344012,68115,902
2007-06-07$40.08$40.0030.8%10.2%25.2%0.0%35.6%3.2%3.7%-357.0K14.9M-109.6K0.5017.74N/AN/A6,1863,07512,88915,892
2007-06-08$41.56$40.0027.1%10.3%24.7%0.0%35.7%4.0%3.1%-4.6K-11.3M-161.2K0.3122.58N/AN/A1,40743718,47717,063
2007-06-11$41.33$40.0024.4%10.3%23.2%0.0%36.1%4.0%3.5%-247.5K-6.5M-156.2K0.1219.41N/AN/A831017,69217,041
2007-06-12$40.48$40.0028.2%10.2%23.9%0.0%35.6%3.1%4.0%-547.2K3.1M-153.6K1.369.12N/AN/A32544117,70217,040
2007-06-13$40.13$40.0026.5%9.7%23.6%0.0%33.7%3.8%5.1%-807.2K8.9M-147.6K1.1210.04N/AN/A6,0826,80817,75717,147
2007-06-14$41.63$40.0033.0%9.5%27.1%0.0%32.9%3.1%5.1%313.1K-19.3M-220.2K0.4922.54N/AN/A68733722,88420,408
2007-06-15$42.80$40.0031.3%9.0%28.5%0.0%30.6%2.3%5.5%410.2K-27.6M-221.4K0.2325.77N/AN/A74816923,15820,515
2007-06-18$42.32$40.0032.4%9.3%28.8%0.0%30.5%2.8%7.7%382.6K-18.5M-218.9K0.6226.88N/AN/A1,27378717,50411,994
2007-06-19$42.08$40.0031.6%9.1%28.8%0.0%29.7%3.3%7.7%522.6K-19.2M-219.2K0.3119.00N/AN/A66720518,64912,131
2007-06-20$41.45$40.0031.3%9.0%29.2%0.0%31.3%2.5%7.7%499.8K-15.2M-222.3K0.1420.79N/AN/A3004219,07012,165
2007-06-21$41.59$40.0032.3%9.3%28.9%0.0%32.1%3.8%7.2%546.2K-16.8M-221.6K0.5920.03N/AN/A86951119,30112,203
2007-06-22$41.05$40.0031.1%8.9%27.0%0.0%31.1%3.9%8.2%531.6K-12.9M-216.7K0.4918.65N/AN/A52525719,70912,353
2007-06-25$40.64$40.0032.9%9.4%27.2%0.0%32.8%3.3%7.5%564.1K-11.4M-215.1K0.3520.95N/AN/A73726120,06612,376
2007-06-26$40.49$40.0032.6%9.4%26.9%0.0%30.4%4.0%7.5%618.5K-10.7M-207.8K3.3022.75N/AN/A206620,18412,180
2007-06-27$40.33$40.0032.5%9.3%27.0%0.0%32.2%2.8%7.4%602.7K-9.0M-206.0K0.8023.06N/AN/A14611720,17112,166
2007-06-28$38.95$40.0032.1%9.2%29.7%0.0%32.5%2.8%7.5%495.2K815.9K-187.4K0.2311.64N/AN/A4,6281,05620,17312,200
2007-06-29$38.30$40.0032.0%9.2%29.5%0.0%32.7%5.5%8.5%697.2K1.7M-209.9K0.4311.35N/AN/A88637924,07412,646