FORM Options History — February 2008

In February 2008, FORM traded between $17.93 and $26.23. ATM implied volatility averaged 63.9%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 7.5% (HV 20d: 71.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.44.

Notable Days

  • 2008-02-06: Highest Volume — 10,969 contracts
  • 2008-02-05: Largest IV spike — 35.9% change
  • 2008-02-04: Highest IV Rank — 100.0%
  • 2008-02-05: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.35$17.93$26.23$25.95$17.93
Max Pain$23.88$22.50$25.00$25.00$22.50
ATM IV63.9%48.1%111.0%71.2%52.0%
Expected Move16.8%13.8%22.0%20.4%14.9%
HV 20d71.4%63.1%82.5%64.0%69.0%
HV 60d60.4%53.3%61.9%54.0%61.2%
IV Rank49.3%27.3%100.0%94.5%31.9%
IV Percentile87.0%66.7%100.0%98.0%77.8%
Term Structure-0.4%-9.5%2.4%-9.5%1.3%
VWIV57.0%44.0%73.6%73.6%47.3%
Skew 25d8.2%5.0%19.1%19.1%5.4%
Skew 10d16.0%-1.3%40.2%40.2%17.4%
Call IV 25d54.7%43.9%66.7%59.8%48.2%
Put IV 25d62.9%53.6%78.9%78.9%53.6%
Bid-Ask Spread %17.0910.8038.7018.0516.99
Gamma HHI0.310.130.630.370.14
Net GEX-146.1K-375.5K-34.2K-282.3K-38.0K
Net DEX14.0M3.6M29.9M7.2M9.4M
Net VEX-52.8K-83.0K-41.5K-76.6K-41.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.0817.490.800.95
Total Volume2,519.431610,9695,538921
Total OI25,554.5517,54735,59923,19320,675

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$25.95$25.0071.2%20.4%64.0%94.5%73.6%19.1%-9.5%-282.3K7.2M-76.6K0.8018.05N/AN/A3,0842,4549,14114,052
2008-02-04$26.23$25.0081.7%18.4%63.1%100.0%63.5%8.8%-2.2%-231.0K3.6M-83.0K0.8911.03N/AN/A1,3601,20611,54415,770
2008-02-05$23.19$25.00111.0%22.0%75.2%100.0%73.5%12.0%-6.7%-247.6K12.6M-75.0K0.9138.70N/AN/A3,8563,52512,14316,446
2008-02-06$21.06$25.0082.9%19.1%80.6%67.6%57.7%8.7%-1.7%-303.6K24.8M-59.0K0.9413.05N/AN/A5,6575,31213,96018,198
2008-02-07$21.50$25.0074.9%17.9%81.7%58.3%63.1%7.2%-1.6%-375.5K22.1M-66.0K1.2919.02N/AN/A1,0941,41213,92519,108
2008-02-08$20.47$25.0071.3%18.1%82.5%54.1%63.2%7.7%0.0%-300.8K24.9M-56.1K6.2811.35N/AN/A7694,83014,42518,948
2008-02-11$19.62$25.0072.7%18.2%79.8%55.8%63.8%7.3%-0.8%-203.4K29.9M-49.0K2.9611.52N/AN/A5611,65814,95220,647
2008-02-12$19.53$25.0067.2%17.4%79.1%49.4%61.5%7.2%-0.1%-176.5K23.6M-48.3K2.7910.80N/AN/A4631,29415,28517,692
2008-02-13$20.09$25.0063.5%17.4%80.0%45.2%59.1%8.7%-0.2%-178.9K20.4M-51.0K3.4613.67N/AN/A15051915,51416,196
2008-02-14$19.56$25.0058.5%16.8%69.7%39.3%59.7%6.6%1.1%-186.8K20.3M-47.1K17.4914.85N/AN/A1252,18615,54415,792
2008-02-15$19.32$25.0058.0%16.6%66.6%38.8%56.8%6.9%1.7%-107.7K17.5M-45.1K2.0418.33N/AN/A43388515,55813,942
2008-02-19$19.03$22.5058.7%16.8%65.6%39.6%58.7%5.9%0.5%-34.4K7.7M-43.7K0.9817.65N/AN/A5385288,8558,692
2008-02-20$19.36$22.5054.7%15.7%66.3%35.0%54.0%7.8%0.9%-38.9K7.6M-46.3K1.0020.25N/AN/A4344369,2188,897
2008-02-21$18.82$22.5051.6%14.8%66.3%31.4%44.0%6.3%1.8%-39.4K8.1M-44.0K1.0216.91N/AN/A3413489,5589,117
2008-02-22$18.85$22.5049.7%14.2%66.5%29.2%47.4%5.0%1.8%-38.6K8.3M-44.5K0.5220.04N/AN/A3031579,8149,299
2008-02-25$19.04$22.5048.4%13.9%67.0%27.7%48.3%7.3%2.4%-34.9K7.9M-44.4K1.2621.57N/AN/A14017610,0679,270
2008-02-26$19.43$22.5048.1%13.8%68.1%27.3%47.8%6.8%2.0%-34.9K7.5M-46.7K0.7013.74N/AN/A36025210,0949,345
2008-02-27$19.35$22.5048.2%13.8%68.0%27.4%48.2%9.0%1.0%-34.2K7.6M-46.3K0.0816.88N/AN/A4893810,2199,486
2008-02-28$18.58$22.5053.1%15.2%68.6%33.1%47.9%10.8%0.1%-34.3K8.5M-41.9K2.3917.32N/AN/A6181,47610,2159,488
2008-02-29$17.93$22.5052.0%14.9%69.0%31.9%47.3%5.4%1.3%-38.0K9.4M-41.5K0.9516.99N/AN/A47344810,65910,016