FORM Options History — January 2008

In January 2008, FORM traded between $24.22 and $33.16. ATM implied volatility averaged 64.8%, placing in the 91.7% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 11.4% (HV 20d: 53.5%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2008-01-11: Highest Volume — 6,527 contracts
  • 2008-01-11: Largest IV spike — 13.0% change
  • 2008-01-11: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.15$24.22$33.16$33.16$24.22
Max Pain$30.24$25.00$35.00$35.00$25.00
ATM IV64.8%48.6%73.9%48.6%67.8%
Expected Move18.7%13.9%21.2%13.9%19.4%
HV 20d53.5%35.2%62.2%58.7%57.2%
HV 60d59.6%52.0%67.2%60.2%52.0%
IV Rank91.7%65.4%100.0%65.4%87.7%
IV Percentile97.6%79.3%100.0%79.3%95.6%
Term Structure-4.0%-7.8%4.5%4.0%-7.6%
VWIV64.6%51.1%75.2%51.1%71.1%
Skew 25d9.7%1.3%26.0%3.9%26.0%
Skew 10d17.7%-4.1%44.6%-4.1%44.6%
Call IV 25d60.6%50.0%68.1%50.0%50.7%
Put IV 25d70.4%52.5%79.7%53.9%76.7%
Bid-Ask Spread %15.796.2721.2313.2911.29
Gamma HHI0.580.300.720.300.42
Net GEX-261.3K-385.1K-110.0K-110.0K-331.0K
Net DEX11.6M3.5M18.7M3.5M12.8M
Net VEX-60.3K-71.9K-44.5K-53.8K-69.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.478.312.751.61
Total Volume1,615.429906,527901,686
Total OI19,924.71416,15526,03516,27422,301

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$33.16$35.0048.6%13.9%58.7%65.4%51.1%3.9%4.0%-110.0K3.5M-53.8K2.7513.29N/AN/A246610,0226,252
2008-01-03$31.97$35.0053.1%15.2%59.2%77.5%52.8%1.3%4.5%-137.5K6.1M-48.8K3.816.27N/AN/A3171,20710,0206,282
2008-01-04$30.57$30.0054.0%16.5%59.0%80.0%55.6%6.4%-2.1%-234.8K8.8M-47.5K0.4714.27N/AN/A45121010,0207,172
2008-01-07$29.98$30.0057.6%17.0%59.0%89.5%57.0%7.2%-3.3%-228.8K9.9M-44.5K1.0219.85N/AN/A52553810,2477,222
2008-01-08$28.99$30.0058.1%17.2%37.9%91.1%58.3%7.5%-2.9%-213.0K11.2M-44.6K2.8920.66N/AN/A25874510,4857,471
2008-01-09$28.64$30.0058.0%17.6%37.9%90.6%62.2%7.8%-1.8%-211.2K11.4M-45.1K2.5919.43N/AN/A9902,56910,5987,622
2008-01-10$28.53$30.0060.2%17.3%35.2%96.6%61.6%7.6%-2.1%-260.3K12.9M-56.9K2.1620.69N/AN/A5021,08311,1569,256
2008-01-11$26.36$30.0068.0%19.5%42.4%100.0%67.5%8.6%-5.3%-162.2K15.9M-54.1K8.3111.66N/AN/A7015,82611,43810,043
2008-01-14$26.77$30.0068.8%19.7%43.3%100.0%63.5%10.1%-5.1%-336.7K18.7M-67.2K1.2710.26N/AN/A61177311,84714,063
2008-01-15$25.71$30.0067.3%19.3%44.5%96.6%67.1%9.3%-4.5%-257.8K17.4M-66.0K0.7318.83N/AN/A78657012,41213,623
2008-01-16$28.22$30.0061.0%17.5%56.9%82.5%61.7%8.1%-2.3%-385.1K9.5M-71.9K0.9919.27N/AN/A99698612,79212,754
2008-01-17$26.22$30.0068.1%19.5%61.8%98.4%65.8%8.3%-4.8%-240.9K13.8M-67.8K1.6620.42N/AN/A46377012,82112,915
2008-01-18$26.62$30.0069.3%19.9%62.2%100.0%68.0%10.3%-6.4%-263.4K12.2M-71.3K4.0716.01N/AN/A12350113,07312,861
2008-01-22$25.69$30.0073.3%21.0%60.2%100.0%69.0%10.3%-7.0%-271.9K9.5M-67.1K0.5120.42N/AN/A4422265,48010,675
2008-01-23$25.58$30.0073.9%21.2%59.3%100.0%75.2%11.5%-6.2%-268.8K9.7M-66.7K1.2011.35N/AN/A3404095,78610,632
2008-01-24$24.95$30.0072.5%20.8%59.0%97.3%69.1%10.1%-6.1%-281.1K10.5M-64.8K2.239.98N/AN/A3658135,93310,682
2008-01-25$24.66$30.0069.3%19.9%57.0%90.7%69.2%11.2%-4.3%-295.4K11.2M-64.8K3.2410.69N/AN/A3711,2016,17710,834
2008-01-28$24.44$30.0072.2%20.7%57.0%96.5%65.7%12.4%-6.4%-319.8K12.5M-64.6K0.8415.21N/AN/A3272746,43111,621
2008-01-29$24.48$30.0071.3%20.4%57.4%94.7%73.3%13.4%-7.8%-329.4K12.6M-64.5K1.9621.23N/AN/A2675246,64311,781
2008-01-30$24.41$30.0069.5%19.9%57.5%91.2%72.1%13.2%-7.6%-348.0K13.2M-64.7K0.9120.49N/AN/A2,1421,9466,82212,154
2008-01-31$24.22$25.0067.8%19.4%57.2%87.7%71.1%26.0%-7.6%-331.0K12.8M-69.1K1.6111.29N/AN/A6461,0408,56913,732