FORM Options History — November 2007

In November 2007, FORM traded between $36.32 and $39.32. ATM implied volatility averaged 50.5%, placing in the 70.5% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 18.7% (HV 20d: 69.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2007-11-02: Highest Volume — 2,683 contracts
  • 2007-11-28: Largest IV drop — 15.1% change
  • 2007-11-05: Highest IV Rank — 92.1%
  • 2007-11-05: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.99$36.32$39.32$38.25$37.94
Max Pain$37.38$35.00$40.00$40.00$35.00
ATM IV50.5%43.2%58.5%48.6%43.2%
Expected Move14.5%12.4%15.8%13.9%12.4%
HV 20d69.2%36.6%82.5%79.8%36.6%
HV 60d53.7%52.8%54.7%54.3%53.9%
IV Rank70.5%50.8%92.1%65.2%50.8%
IV Percentile85.9%65.7%99.1%85.2%65.7%
Term Structure1.8%-1.4%4.7%-1.4%4.7%
VWIV50.0%43.9%54.0%54.0%46.2%
Skew 25d5.9%3.9%7.5%3.9%6.1%
Skew 10d10.5%-6.0%17.6%-6.0%12.5%
Call IV 25d48.6%42.9%52.8%49.9%42.9%
Put IV 25d54.5%49.0%57.3%53.7%49.0%
Bid-Ask Spread %16.3711.2222.4912.7621.42
Gamma HHI0.310.270.370.350.37
Net GEX158.1K-40.4K454.7K71.5K414.7K
Net DEX-1.7M-8.6M5.5M-905.0K-4.7M
Net VEX-84.9K-96.1K-72.8K-87.5K-77.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.082.342.260.69
Total Volume785.1431582,683495233
Total OI18,268.04814,94420,11317,83217,805

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$38.25$40.0048.6%13.9%79.8%65.2%54.0%3.9%-1.4%71.5K-905.0K-87.5K2.2612.76N/AN/A15234310,2417,591
2007-11-02$38.02$40.0051.4%14.7%79.6%72.9%51.4%4.0%-0.4%43.0K-266.2K-88.4K1.6913.47N/AN/A9991,68410,2867,841
2007-11-05$36.72$40.0058.5%15.8%79.7%92.1%52.9%7.4%0.6%-40.4K5.5M-89.9K1.2220.24N/AN/A81799610,8019,020
2007-11-06$38.09$40.0052.5%14.8%81.2%75.9%52.4%6.3%1.6%25.2K515.1K-95.2K0.3318.71N/AN/A94731210,9548,879
2007-11-07$37.02$40.0055.3%15.4%81.3%83.3%50.8%5.3%1.1%5.4K3.7M-91.3K0.4419.25N/AN/A43719211,2198,894
2007-11-08$37.68$40.0051.8%14.5%81.4%73.9%51.0%5.9%1.8%19.2K2.1M-92.7K0.4122.49N/AN/A1124611,2158,858
2007-11-09$38.75$40.0048.2%14.7%82.3%64.3%50.6%4.3%1.0%43.6K-1.8M-96.1K2.3412.39N/AN/A14233211,1888,863
2007-11-12$38.46$40.0052.2%14.9%82.2%75.0%50.6%6.8%1.5%50.7K-955.5K-89.5K1.3316.53N/AN/A24132111,2468,742
2007-11-13$39.08$35.0049.6%14.9%82.5%68.1%51.5%5.4%1.5%72.3K-3.2M-90.4K0.9814.25N/AN/A36736011,3008,659
2007-11-14$39.30$40.0047.0%14.9%82.5%61.1%51.8%5.5%1.4%90.4K-4.4M-90.1K0.7112.55N/AN/A37126511,4598,497
2007-11-15$38.97$40.0052.1%14.9%82.5%74.8%53.7%6.2%0.7%65.0K-1.9M-87.4K0.0813.12N/AN/A2371911,4528,660
2007-11-16$39.17$35.0049.3%14.1%82.3%67.3%49.6%4.7%3.2%161.0K-2.4M-86.7K1.1820.20N/AN/A41649011,6118,455
2007-11-19$38.11$35.0049.2%14.1%81.7%66.8%48.9%5.7%2.2%233.8K-4.5M-79.4K0.4620.29N/AN/A5912709,4235,521
2007-11-20$37.13$35.0052.9%15.2%81.3%76.8%50.5%6.5%1.8%211.2K-2.0M-77.5K0.2211.22N/AN/A328739,7615,717
2007-11-21$36.67$35.0051.6%14.8%81.3%73.3%48.4%5.7%2.8%197.6K-1.1M-74.4K0.8113.33N/AN/A2281859,8525,736
2007-11-23$36.32$35.0052.6%15.1%41.2%76.3%48.0%7.5%2.4%185.3K-10.8K-72.8K0.1315.65N/AN/A719949,8455,749
2007-11-26$36.93$35.0054.0%15.5%41.1%79.9%49.6%7.0%0.7%243.6K-1.8M-74.1K0.3313.97N/AN/A90429610,3915,766
2007-11-27$37.45$35.0052.5%15.0%39.7%75.8%49.5%6.3%2.0%318.4K-3.3M-77.5K0.8715.86N/AN/A29225411,0785,908
2007-11-28$39.32$35.0044.5%12.8%36.6%54.3%45.8%7.0%4.0%454.7K-8.6M-83.0K0.7016.59N/AN/A69048111,2965,985
2007-11-29$38.50$35.0044.1%12.6%37.1%53.1%43.9%6.0%4.1%454.2K-6.6M-81.4K0.2319.50N/AN/A2054711,7806,085
2007-11-30$37.94$35.0043.2%12.4%36.6%50.8%46.2%6.1%4.7%414.7K-4.7M-77.8K0.6921.42N/AN/A1389511,7346,071