FORM Options History — March 2008

In March 2008, FORM traded between $16.38 and $19.10. ATM implied volatility averaged 54.5%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 5.8% (HV 20d: 48.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2008-03-05: Highest Volume — 2,491 contracts
  • 2008-03-28: Largest IV spike — 14.3% change
  • 2008-03-25: Highest IV Rank — 41.2%
  • 2008-03-25: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.77$16.38$19.10$17.50$19.10
Max Pain$20.75$20.00$22.50$22.50$20.00
ATM IV54.5%48.6%60.1%54.2%53.2%
Expected Move15.8%14.6%17.2%15.5%15.3%
HV 20d48.7%37.3%61.5%61.5%52.7%
HV 60d58.6%55.1%61.0%61.0%60.6%
IV Rank34.8%27.9%41.2%34.4%33.3%
IV Percentile81.7%66.7%90.1%84.5%78.6%
Term Structure4.2%0.0%8.6%0.0%8.1%
VWIV53.4%38.4%60.5%55.2%60.5%
Skew 25d9.1%6.7%20.9%7.6%7.5%
Skew 10d14.6%-3.0%29.7%16.0%17.9%
Call IV 25d50.8%39.5%54.3%50.6%52.8%
Put IV 25d59.9%56.1%62.8%58.2%60.3%
Bid-Ask Spread %13.987.0419.9415.6217.02
Gamma HHI0.220.140.660.150.16
Net GEX43.8K-39.5K362.4K-26.0K27.3K
Net DEX4.8M83.5K9.5M9.5M83.5K
Net VEX-55.9K-71.2K-39.0K-39.4K-71.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.086.450.954.22
Total Volume939.152222,4911,322313
Total OI23,133.120,48226,43020,87022,816

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$17.50$22.5054.2%15.5%61.5%34.4%55.2%7.6%0.0%-26.0K9.5M-39.4K0.9515.62N/AN/A67764510,9169,954
2008-03-04$17.30$22.5053.3%15.3%60.5%33.4%39.9%6.7%1.6%-21.0K8.8M-39.0K1.2219.94N/AN/A8681,05810,9679,515
2008-03-05$17.08$22.5052.6%15.1%46.9%32.6%38.4%20.9%2.1%-39.5K8.9M-41.4K0.2812.12N/AN/A1,94854311,3409,800
2008-03-06$16.38$22.5050.9%14.6%37.5%30.6%52.2%8.4%4.0%-20.2K8.3M-45.8K2.6611.68N/AN/A20353912,9089,960
2008-03-07$17.01$22.5049.4%15.5%39.9%28.9%53.7%8.6%4.4%-19.1K7.3M-49.5K0.4512.47N/AN/A22910212,9919,697
2008-03-10$16.83$22.5053.5%15.9%37.3%33.6%54.7%7.3%4.3%-11.6K7.2M-48.7K0.1617.01N/AN/A86613713,1769,708
2008-03-11$17.96$20.0050.8%15.2%43.8%30.4%49.5%9.1%5.3%9855.7M-53.6K0.9317.03N/AN/A43440213,6419,700
2008-03-12$17.70$20.0048.6%15.5%44.0%27.9%52.4%7.8%4.6%3.3K5.7M-53.8K2.389.98N/AN/A16038113,7759,883
2008-03-13$18.10$20.0053.0%15.2%43.4%33.0%53.0%7.1%5.6%-4.0K5.4M-56.6K0.7112.64N/AN/A1309213,81910,145
2008-03-14$17.18$20.0055.1%15.8%45.9%35.4%54.2%7.2%4.4%2.1K6.4M-53.0K0.0817.69N/AN/A1,83415013,90510,108
2008-03-17$17.35$20.0056.8%16.3%46.2%37.4%56.5%8.4%2.6%106.4K5.4M-54.5K2.1017.81N/AN/A29161115,21410,139
2008-03-18$18.04$20.0056.2%16.1%48.7%36.8%52.8%7.3%3.3%145.8K3.6M-57.5K0.7513.06N/AN/A26119615,2839,999
2008-03-19$17.33$20.0056.8%16.3%49.8%37.3%54.9%7.6%2.9%179.7K5.1M-53.9K0.177.64N/AN/A1,25920815,3389,971
2008-03-20$17.70$20.0057.6%16.5%49.9%38.3%53.8%10.2%2.6%362.4K3.0M-60.9K4.337.04N/AN/A17575816,4729,958
2008-03-24$18.35$20.0058.4%16.7%51.8%39.2%57.5%9.2%4.1%42.0K1.9M-64.5K1.0913.93N/AN/A53258112,9058,790
2008-03-25$18.67$20.0060.1%17.2%52.1%41.2%58.5%10.3%3.9%41.7K1.1M-68.9K0.8114.57N/AN/A22618313,2819,124
2008-03-26$18.11$20.0057.9%16.6%52.4%38.6%56.7%11.3%6.2%37.5K2.3M-66.1K1.309.30N/AN/A12516213,2609,188
2008-03-27$19.04$20.0052.4%15.0%55.8%32.4%54.1%11.6%8.6%36.5K549.4K-70.8K1.3716.47N/AN/A37451213,2479,306
2008-03-28$18.75$20.0059.9%17.2%54.1%41.0%59.8%8.4%5.6%31.2K646.0K-69.4K6.4516.55N/AN/A8353513,2489,215
2008-03-31$19.10$20.0053.2%15.3%52.7%33.3%60.5%7.5%8.1%27.3K83.5K-71.2K4.2217.02N/AN/A6025313,3109,506