FORM Options History — June 2008

In June 2008, FORM traded between $18.43 and $22.00. ATM implied volatility averaged 50.5%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 9.6% (HV 20d: 40.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2008-06-12: Highest Volume — 3,801 contracts
  • 2008-06-09: Largest IV spike — 9.9% change
  • 2008-06-30: Highest IV Rank — 31.0%
  • 2008-06-30: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.38$18.43$22.00$21.61$18.43
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV50.5%44.4%56.0%45.9%56.0%
Expected Move14.5%12.7%16.1%13.2%16.1%
HV 20d40.9%33.7%44.7%33.7%43.0%
HV 60d49.1%44.8%50.4%50.4%44.8%
IV Rank26.7%22.0%31.0%24.8%31.0%
IV Percentile57.7%34.1%77.4%39.7%77.4%
Term Structure3.7%0.8%7.1%0.8%3.6%
VWIV49.8%42.5%53.8%45.9%53.8%
Skew 25d5.4%-1.3%12.3%12.3%-1.3%
Skew 10d5.5%-14.9%25.2%13.2%-14.9%
Call IV 25d47.5%35.3%52.6%37.6%52.6%
Put IV 25d52.9%47.5%56.8%49.9%51.3%
Bid-Ask Spread %12.778.3725.8212.748.37
Gamma HHI0.230.200.270.210.23
Net GEX100.4K34.9K167.0K55.0K106.6K
Net DEX-5.8M-10.7M-2.0M-5.7M-2.4M
Net VEX-80.8K-90.4K-69.0K-77.5K-82.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.056.956.950.47
Total Volume759.429913,80115991
Total OI25,950.57122,43629,62622,52129,626

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$21.61$20.0045.9%13.2%33.7%24.8%45.9%12.3%0.8%55.0K-5.7M-77.5K6.9512.74N/AN/A2013912,12910,392
2008-06-03$20.94$20.0049.7%14.3%34.1%29.2%50.2%6.3%1.3%45.7K-4.3M-74.4K0.5323.83N/AN/A65735112,13610,300
2008-06-04$21.08$20.0047.0%13.5%34.0%26.0%46.7%5.4%2.4%53.6K-4.7M-77.7K1.2925.82N/AN/A37147812,61110,589
2008-06-05$22.00$20.0044.4%12.7%36.4%23.1%42.5%12.3%1.9%65.5K-6.9M-77.2K2.8815.92N/AN/A6518712,35310,555
2008-06-06$21.43$20.0045.6%13.7%38.2%24.4%47.5%4.4%2.8%51.0K-5.7M-74.8K0.8612.39N/AN/A16414112,33210,579
2008-06-09$21.91$20.0050.1%13.9%37.8%29.6%51.5%5.7%2.4%63.4K-6.7M-76.1K0.149.70N/AN/A6198812,43810,660
2008-06-10$21.08$20.0051.0%14.5%40.0%30.7%50.6%4.3%1.8%61.6K-4.8M-74.0K0.7110.11N/AN/A33323812,85210,683
2008-06-11$20.07$20.0050.9%14.3%43.9%28.9%49.2%5.4%2.6%34.9K-2.2M-69.0K3.2213.02N/AN/A21268312,98210,643
2008-06-12$20.24$20.0050.8%14.6%41.2%28.8%50.8%6.3%3.5%40.0K-2.6M-69.9K0.0515.64N/AN/A3,63716413,03810,592
2008-06-13$21.34$20.0048.7%14.0%44.7%22.0%50.3%5.2%4.0%167.0K-10.7M-89.0K0.139.96N/AN/A94112616,50310,593
2008-06-16$20.96$20.0051.9%14.9%44.4%26.0%51.0%5.1%2.6%166.1K-10.1M-90.4K0.4414.38N/AN/A2099117,18010,586
2008-06-17$20.54$20.0051.7%14.8%44.6%25.8%51.6%4.1%3.9%151.6K-8.8M-88.6K0.9311.79N/AN/A807417,31710,640
2008-06-18$20.24$20.0050.6%14.5%41.8%24.4%50.5%5.5%4.9%132.9K-7.5M-86.4K3.449.94N/AN/A6221317,32310,634
2008-06-19$20.70$20.0050.6%14.5%42.5%24.4%47.9%5.1%4.4%148.7K-9.4M-87.1K0.5011.40N/AN/A783917,32110,723
2008-06-20$20.20$20.0053.5%15.3%42.7%28.1%49.4%6.4%3.4%75.3K-7.6M-85.1K0.0514.62N/AN/A1,2076417,33710,714
2008-06-23$19.60$20.0053.4%15.3%43.7%28.0%53.6%4.5%5.1%156.6K-6.5M-85.6K2.159.31N/AN/A26356517,26810,098
2008-06-24$19.26$20.0051.4%14.7%42.8%25.2%50.7%3.8%6.2%151.1K-5.4M-83.4K3.959.69N/AN/A2821,11317,41910,215
2008-06-25$19.29$20.0050.3%14.4%42.9%23.9%50.4%6.0%7.1%142.5K-4.9M-85.2K2.1610.81N/AN/A8317917,51910,890
2008-06-26$18.73$20.0053.5%15.4%43.0%28.0%50.1%0.4%7.1%124.8K-3.4M-82.2K6.579.70N/AN/A12380817,55511,041
2008-06-27$18.43$20.0053.6%15.4%42.9%28.0%50.7%6.6%5.6%114.3K-2.0M-79.8K0.579.11N/AN/A45125917,55511,041
2008-06-30$18.43$20.0056.0%16.1%43.0%31.0%53.8%-1.3%3.6%106.6K-2.4M-82.8K0.478.37N/AN/A622917,76111,865