FORM Options History — July 2007

In July 2007, FORM traded between $36.70 and $41.12. ATM implied volatility averaged 42.1%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 10.8% (HV 20d: 31.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2007-07-10: Highest Volume — 9,694 contracts
  • 2007-07-26: Largest IV drop — 23.6% change
  • 2007-07-25: Highest IV Rank — 80.6%
  • 2007-07-25: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.83$36.70$41.12$38.55$38.39
Max Pain$37.38$35.00$40.00$40.00$35.00
ATM IV42.1%31.3%54.3%31.3%37.7%
Expected Move12.4%9.0%15.6%9.0%10.8%
HV 20d31.3%25.4%38.2%29.4%38.2%
HV 60d28.8%26.4%30.7%27.0%30.7%
IV Rank50.9%21.7%80.6%21.7%35.9%
IV Percentile71.2%15.1%97.1%15.1%54.9%
Term Structure-2.8%-11.1%9.1%9.1%1.5%
VWIV43.5%31.5%53.1%31.8%37.7%
Skew 25d3.4%-3.4%5.7%2.9%4.2%
Skew 10d5.6%-2.3%12.7%0.3%8.2%
Call IV 25d37.7%33.3%42.0%33.3%38.5%
Put IV 25d41.0%34.3%45.0%36.2%42.6%
Bid-Ask Spread %17.338.8829.2912.7119.67
Gamma HHI0.540.370.830.750.40
Net GEX714.3K256.7K1.1M783.7K755.3K
Net DEX-3.1M-25.7M15.8M-117.7K-5.0M
Net VEX-163.4K-206.6K-125.3K-206.0K-125.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.042.090.250.11
Total Volume2,330.2382819,6943391,614
Total OI32,673.04823,56739,96636,59227,153

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$38.55$40.0031.3%9.0%29.4%0.0%31.8%2.9%9.1%783.7K-117.7K-206.0K0.2512.71N/AN/A2716823,99512,597
2007-07-03$38.54$40.0031.6%9.1%29.4%0.0%31.5%3.1%8.6%802.3K-1.6M-206.4K2.0911.42N/AN/A9820524,20012,255
2007-07-05$38.67$40.0032.4%9.3%29.4%21.7%33.3%1.7%8.8%785.9K-2.0M-205.2K0.3414.16N/AN/A47716124,19212,461
2007-07-06$39.12$40.0033.6%11.7%29.0%24.7%41.3%0.3%-2.6%879.1K-5.6M-206.6K0.5211.68N/AN/A26013624,52212,575
2007-07-09$39.08$40.0035.1%12.0%25.4%28.9%43.0%1.0%-3.4%902.9K-5.1M-201.3K0.6914.68N/AN/A16611524,58912,550
2007-07-10$37.34$40.0042.4%13.1%29.5%48.7%45.1%1.6%-3.2%606.9K8.4M-172.9K0.0617.27N/AN/A9,17851624,69212,656
2007-07-11$36.70$40.0041.6%13.1%29.3%46.4%46.1%-0.5%-4.0%256.7K15.8M-135.0K1.5019.33N/AN/A44166320,22612,832
2007-07-12$37.83$40.0044.9%12.9%31.8%55.3%45.0%3.9%-6.1%351.2K9.5M-152.2K0.0417.74N/AN/A1,7727319,67213,298
2007-07-13$37.26$40.0046.4%13.3%28.4%59.3%45.4%-3.4%-4.8%359.1K13.5M-141.3K0.5322.47N/AN/A40021321,02313,307
2007-07-16$37.52$40.0044.9%12.9%26.0%55.3%47.8%4.9%-5.9%419.9K11.2M-141.3K0.0917.90N/AN/A7676921,16013,332
2007-07-17$39.40$35.0047.0%13.5%32.5%61.0%48.5%5.0%-6.9%824.1K-7.0M-166.5K0.0521.74N/AN/A8,68745421,70813,317
2007-07-18$39.38$35.0048.0%13.8%32.5%63.8%50.1%5.1%-7.7%1.1M-11.9M-197.2K0.6121.52N/AN/A25715726,39213,574
2007-07-19$39.30$35.0047.4%13.6%32.2%62.0%47.5%4.8%-7.3%793.1K-2.6M-153.6K0.8510.87N/AN/A35830520,80513,608
2007-07-20$38.84$35.0047.3%13.6%32.3%61.9%47.5%4.8%-7.5%513.7K5.3M-142.4K1.6919.25N/AN/A34257720,77113,739
2007-07-23$38.93$35.0047.7%13.7%32.1%62.8%47.6%5.4%-6.6%432.4K-3.4M-139.3K0.548.88N/AN/A3,0601,65314,0289,539
2007-07-24$38.75$35.0050.1%14.4%32.0%69.5%50.4%5.2%-8.8%542.6K-5.2M-145.6K0.5611.72N/AN/A1,23068615,8939,820
2007-07-25$40.22$35.0054.3%15.6%35.0%80.6%53.1%5.7%-11.1%748.0K-18.0M-146.6K0.2513.84N/AN/A5,1001,28016,7228,809
2007-07-26$41.12$35.0041.5%11.9%35.8%46.1%40.9%5.5%-1.7%1.1M-25.7M-156.1K0.8429.29N/AN/A2,0621,72719,0419,548
2007-07-27$40.18$35.0039.2%11.2%34.5%39.9%38.4%4.8%0.6%1.1M-19.0M-148.0K0.4027.74N/AN/A1,46058218,6059,412
2007-07-30$40.27$35.0040.4%11.6%33.8%43.3%40.5%4.7%-0.2%951.5K-17.2M-141.6K0.5720.10N/AN/A82347217,9059,611
2007-07-31$38.39$35.0037.7%10.8%38.2%35.9%37.7%4.2%1.5%755.3K-5.0M-125.3K0.1119.67N/AN/A1,45416017,6709,483