FORM Options History — December 2007

In December 2007, FORM traded between $31.42 and $39.20. ATM implied volatility averaged 48.5%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 5.8% (HV 20d: 54.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2007-12-07: Highest Volume — 8,828 contracts
  • 2007-12-07: Largest IV spike — 24.2% change
  • 2007-12-11: Highest IV Rank — 98.5%
  • 2007-12-11: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.09$31.42$39.20$37.70$33.10
Max Pain$35.75$35.00$40.00$35.00$35.00
ATM IV48.5%42.0%60.9%45.1%47.6%
Expected Move13.8%12.0%15.9%12.9%13.6%
HV 20d54.3%31.7%62.0%36.6%58.7%
HV 60d59.1%53.6%60.9%53.6%60.2%
IV Rank65.0%47.5%98.5%55.9%62.5%
IV Percentile77.4%60.3%99.6%71.9%74.4%
Term Structure3.4%-0.2%5.4%3.3%4.4%
VWIV48.5%44.7%51.9%44.9%49.5%
Skew 25d5.4%4.0%7.4%4.6%4.6%
Skew 10d8.6%-4.0%14.6%11.4%-4.0%
Call IV 25d47.3%42.7%52.4%45.2%48.5%
Put IV 25d52.7%47.7%57.0%49.8%53.1%
Bid-Ask Spread %17.089.1321.5521.4212.52
Gamma HHI0.310.240.390.380.30
Net GEX20.1K-192.0K534.9K407.7K-108.9K
Net DEX4.4M-8.2M11.4M-4.1M3.5M
Net VEX-62.2K-80.2K-53.5K-73.5K-54.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0910.685.330.50
Total Volume1,033.21508,828563353
Total OI19,319.1515,88521,95417,88216,318

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$37.70$35.0045.1%12.9%36.6%55.9%44.9%4.6%3.3%407.7K-4.1M-73.5K5.3321.42N/AN/A8947411,8066,076
2007-12-04$38.20$35.0044.0%12.6%34.6%53.0%45.0%5.2%3.3%427.7K-4.5M-78.9K0.4421.55N/AN/A2059011,8466,500
2007-12-05$39.20$35.0043.5%12.5%33.3%51.5%44.7%5.7%3.6%534.9K-8.2M-80.2K0.0917.47N/AN/A1381211,9236,513
2007-12-06$38.87$35.0042.0%12.0%31.7%47.5%46.6%5.0%4.7%514.5K-6.9M-77.3K2.3616.43N/AN/A16639211,8976,522
2007-12-07$33.90$40.0052.2%14.4%58.2%75.0%51.9%6.0%3.0%37.9K7.8M-55.9K1.3317.73N/AN/A3,7895,03911,9176,864
2007-12-10$33.84$40.0052.8%14.5%56.9%76.7%50.7%5.0%2.1%-40.7K7.5M-60.8K1.0318.97N/AN/A62664412,1798,134
2007-12-11$32.32$40.0060.9%15.9%58.5%98.5%51.8%4.6%-0.2%-108.1K10.8M-53.5K0.2620.56N/AN/A1,89649912,2818,145
2007-12-12$32.93$35.0048.5%14.0%58.7%65.1%49.2%5.3%3.0%-73.9K7.7M-65.6K1.0920.62N/AN/A46550913,3718,195
2007-12-13$32.91$35.0048.6%13.9%58.5%65.3%48.6%5.4%2.2%-108.8K8.0M-65.1K0.5421.09N/AN/A27114613,2668,259
2007-12-14$32.71$35.0048.3%13.8%58.6%64.5%48.6%4.3%2.6%-114.2K8.4M-61.7K1.6116.00N/AN/A23137313,3448,162
2007-12-17$31.46$35.0052.6%15.1%59.3%76.1%50.2%5.8%2.1%-162.3K11.4M-54.8K2.2217.53N/AN/A5531,23013,3558,311
2007-12-18$31.42$35.0052.1%14.9%59.0%74.8%50.1%7.4%2.8%-192.0K11.1M-56.4K10.6821.16N/AN/A2223513,5518,403
2007-12-19$31.57$35.0051.8%14.8%58.9%73.8%48.8%6.8%2.7%-178.1K10.4M-54.9K1.1520.77N/AN/A799113,5638,142
2007-12-20$32.82$35.0048.5%13.9%61.2%65.1%48.5%5.1%2.9%-77.9K8.1M-58.9K0.1915.44N/AN/A1953813,4958,115
2007-12-21$33.39$35.0046.1%13.2%61.7%58.5%46.5%4.8%4.8%-74.8K7.4M-59.2K1.6714.92N/AN/A14424013,6148,110
2007-12-24$33.62$35.0046.4%13.3%61.3%59.3%48.8%4.0%5.4%-65.3K2.6M-59.3K0.9515.19N/AN/A1641569,6556,230
2007-12-26$34.51$35.0046.5%13.3%62.0%59.6%49.0%6.5%5.3%-45.9K972.5K-59.6K0.799.13N/AN/A2041629,7356,258
2007-12-27$33.85$35.0046.2%13.2%58.9%58.8%47.9%5.2%4.7%-77.4K2.3M-57.8K0.2310.38N/AN/A424999,8816,233
2007-12-28$33.47$35.0045.9%13.2%58.7%58.1%48.5%6.6%5.4%-92.6K2.8M-56.6K0.8412.80N/AN/A1201019,9906,224
2007-12-31$33.10$35.0047.6%13.6%58.7%62.5%49.5%4.6%4.4%-108.9K3.5M-54.6K0.5012.52N/AN/A23511810,0346,284