FORM Options History — September 2007

In September 2007, FORM traded between $44.37 and $47.47. ATM implied volatility averaged 40.3%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 7.4% (HV 20d: 32.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 3.03.

Notable Days

  • 2007-09-05: Highest Volume — 6,271 contracts
  • 2007-09-13: Largest IV spike — 9.9% change
  • 2007-09-17: Highest IV Rank — 50.7%
  • 2007-09-17: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.94$44.37$47.47$46.13$44.37
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV40.3%37.0%43.2%37.5%40.2%
Expected Move11.7%10.7%12.4%10.8%11.5%
HV 20d32.9%26.9%40.7%40.7%31.8%
HV 60d37.2%36.6%38.1%37.2%38.1%
IV Rank42.9%34.0%50.7%35.5%42.6%
IV Percentile65.2%42.0%76.8%52.4%64.0%
Term Structure1.5%-2.1%6.4%3.0%6.4%
VWIV40.9%34.8%46.2%37.5%40.0%
Skew 25d7.1%5.1%8.2%7.5%5.1%
Skew 10d14.4%2.7%25.2%14.0%2.7%
Call IV 25d37.5%35.7%39.2%36.0%39.2%
Put IV 25d44.5%42.9%46.4%43.6%44.4%
Bid-Ask Spread %16.657.6826.3219.567.68
Gamma HHI0.440.300.670.510.37
Net GEX355.3K-403.2K1.4M692.5K-403.2K
Net DEX-25.2M-41.4M-5.5M-28.3M-5.5M
Net VEX-137.4K-152.1K-121.0K-121.0K-137.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.030.0225.800.173.06
Total Volume1,136.8421096,2711,482702
Total OI28,338.94723,39830,61623,39829,660

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$46.13$45.0037.5%10.8%40.7%35.5%37.5%7.5%3.0%692.5K-28.3M-121.0K0.1719.56N/AN/A1,26621613,11510,283
2007-09-05$46.50$45.0037.3%10.7%39.4%34.8%37.3%7.3%3.5%755.0K-32.9M-126.7K25.8017.43N/AN/A2346,03714,03410,254
2007-09-06$46.97$45.0037.7%10.8%36.6%35.9%34.8%7.2%3.1%238.5K-29.3M-152.1K0.2410.68N/AN/A81919614,02915,905
2007-09-07$45.58$45.0037.5%11.8%38.4%35.3%40.4%6.8%0.2%467.9K-23.6M-151.2K0.9119.38N/AN/A24422314,61312,989
2007-09-10$44.78$45.0040.7%12.1%35.4%44.0%41.6%7.4%-0.8%426.3K-17.3M-148.3K0.5318.21N/AN/A20611014,63413,081
2007-09-11$45.41$45.0038.2%12.1%35.3%37.1%46.2%7.1%-0.6%516.3K-22.5M-145.6K2.0318.32N/AN/A14329014,71313,074
2007-09-12$45.03$45.0037.0%11.7%33.9%34.0%40.6%6.6%0.5%540.9K-19.6M-144.8K0.6519.26N/AN/A22114414,77413,185
2007-09-13$45.71$45.0040.6%11.7%34.1%43.8%39.5%6.7%0.2%654.2K-25.5M-140.8K0.0224.56N/AN/A6251514,86413,235
2007-09-14$46.23$45.0043.0%12.3%31.2%50.2%43.0%7.8%-2.1%706.2K-30.1M-138.4K8.8519.66N/AN/A1541,36315,14113,250
2007-09-17$45.98$45.0043.2%12.4%28.6%50.7%41.2%7.5%-1.6%723.9K-26.6M-141.6K1.6626.32N/AN/A416815,31514,308
2007-09-18$47.35$45.0041.8%12.0%29.9%46.9%41.3%8.1%-1.6%470.1K-38.9M-127.2K0.2513.52N/AN/A53813715,32814,297
2007-09-19$47.47$45.0041.8%12.0%26.9%46.9%39.8%7.4%-1.8%155.1K-41.4M-125.1K0.2415.99N/AN/A62814915,50514,382
2007-09-20$45.63$45.0041.4%11.9%30.5%45.9%42.7%6.7%-1.1%1.4M-27.0M-140.0K0.4524.16N/AN/A82437315,95214,372
2007-09-21$46.84$45.0041.0%11.8%31.2%44.8%41.2%6.6%-0.6%235.3K-40.4M-128.9K3.2217.02N/AN/A3701,19216,24714,369
2007-09-24$45.64$45.0041.6%11.9%30.4%46.3%40.4%6.4%4.9%-170.1K-16.9M-134.8K0.758.02N/AN/A47235213,27514,329
2007-09-25$45.73$45.0042.2%12.1%30.3%48.1%46.2%8.2%5.3%-155.8K-17.7M-135.7K3.1616.51N/AN/A7925013,59714,470
2007-09-26$46.14$45.0042.1%12.1%30.0%47.8%42.3%7.4%4.9%-127.5K-21.1M-132.2K5.2211.22N/AN/A2711,41413,62314,610
2007-09-27$45.45$45.0040.7%11.7%30.4%44.0%41.6%6.4%5.6%-381.9K-14.4M-139.2K0.368.81N/AN/A90832613,78515,843
2007-09-28$44.37$45.0040.2%11.5%31.8%42.6%40.0%5.1%6.4%-403.2K-5.5M-137.3K3.067.68N/AN/A17352914,06815,592