FORM Options History — July 2008

In July 2008, FORM traded between $15.87 and $20.18. ATM implied volatility averaged 64.2%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 7.1% (HV 20d: 57.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2008-07-23: Highest Volume — 6,210 contracts
  • 2008-07-31: Largest IV drop — 30.8% change
  • 2008-07-30: Highest IV Rank — 62.2%
  • 2008-07-30: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.16$15.87$20.18$19.70$17.40
Max Pain$19.32$17.50$20.00$20.00$17.50
ATM IV64.2%49.9%81.7%49.9%56.5%
Expected Move18.6%14.3%23.4%14.3%16.2%
HV 20d57.1%43.8%74.0%49.5%71.1%
HV 60d48.1%43.4%54.2%46.9%54.2%
IV Rank39.9%23.4%62.2%23.4%29.8%
IV Percentile86.4%50.8%98.8%50.8%71.8%
Term Structure-4.7%-18.7%8.8%8.8%-1.3%
VWIV64.6%51.8%82.9%53.0%56.7%
Skew 25d4.4%-2.1%8.6%5.8%-0.5%
Skew 10d11.3%-13.1%24.9%18.7%5.0%
Call IV 25d62.3%47.5%80.1%47.5%57.4%
Put IV 25d66.6%51.5%84.2%53.3%56.9%
Bid-Ask Spread %20.358.5830.7914.9527.66
Gamma HHI0.250.200.470.230.23
Net GEX91.3K-214.5K224.3K149.8K179.4K
Net DEX-3.5M-9.6M1.7M-6.7M-4.6M
Net VEX-75.3K-88.7K-58.2K-88.7K-73.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.056.890.731.32
Total Volume1,131.682476,2101,9173,670
Total OI28,212.18221,18030,46129,39930,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$19.70$20.0049.9%14.3%49.5%23.4%53.0%5.8%8.8%149.8K-6.7M-88.7K0.7314.95N/AN/A1,10880917,77611,623
2008-07-02$18.69$20.0055.0%15.8%52.4%29.4%58.8%-0.3%8.5%123.8K-3.9M-84.9K0.0514.93N/AN/A134718,33511,588
2008-07-03$18.47$20.0053.9%15.5%49.1%27.4%51.8%-0.6%8.2%104.6K-2.9M-82.8K0.058.58N/AN/A127618,22111,592
2008-07-07$18.58$20.0060.0%18.2%48.9%34.3%60.4%6.0%-4.1%110.0K-3.2M-80.7K0.1818.58N/AN/A2153918,31911,588
2008-07-08$18.84$20.0053.9%17.4%48.3%26.5%0.0%7.5%-3.4%114.0K-4.0M-82.1K0.1823.19N/AN/A1212218,38111,557
2008-07-09$17.88$20.0059.2%18.4%49.7%33.3%64.0%6.1%-5.4%94.6K-926.6K-76.8K0.4623.53N/AN/A28213018,38911,545
2008-07-10$18.08$20.0066.1%18.9%47.7%42.2%63.5%6.9%-6.2%88.4K-1.6M-76.9K0.2214.01N/AN/A2826218,34911,564
2008-07-11$18.49$20.0066.8%19.1%48.5%43.0%65.2%7.7%-5.3%96.2K-3.1M-79.0K1.3524.19N/AN/A13418118,40711,434
2008-07-14$18.08$20.0067.5%19.3%43.8%43.9%64.0%8.1%-7.8%98.8K-1.6M-75.1K0.0715.52N/AN/A44318,46711,429
2008-07-15$18.89$20.0064.5%18.5%47.3%40.2%64.5%6.9%-6.3%99.7K-4.3M-79.0K0.1024.70N/AN/A8118318,45711,407
2008-07-16$19.99$20.0065.1%18.7%51.8%40.9%64.9%5.9%-6.8%134.4K-9.0M-84.6K0.4725.94N/AN/A1999319,05311,408
2008-07-17$20.05$20.0063.9%18.3%51.5%39.3%61.7%5.9%-5.3%76.8K-9.0M-82.3K4.4830.79N/AN/A2511218,56211,427
2008-07-18$19.92$20.0063.0%18.0%50.8%38.1%61.0%6.5%-5.5%-214.5K-7.8M-81.2K0.6128.58N/AN/A45127618,54411,360
2008-07-21$20.18$20.0063.5%18.2%50.4%38.8%62.6%6.2%-4.8%224.3K-9.6M-78.9K0.3426.61N/AN/A1765914,7686,412
2008-07-22$18.50$20.0070.0%20.1%58.3%47.1%68.6%8.6%-7.6%178.9K-5.3M-72.0K2.5625.19N/AN/A27570514,8566,420
2008-07-23$16.30$20.0070.2%20.1%72.9%47.5%70.1%1.0%-6.9%87.4K-198.4K-58.2K1.8517.57N/AN/A2,1794,03114,9176,999
2008-07-24$16.57$17.5069.3%19.9%73.4%46.3%69.3%3.1%-6.7%55.8K-335.4K-68.5K0.2816.08N/AN/A61017216,58210,782
2008-07-25$16.43$17.5067.3%19.3%72.9%43.8%67.8%-2.1%-7.2%49.7K84.4K-65.9K0.3913.42N/AN/A1586216,89210,835
2008-07-28$15.87$17.5070.7%20.3%73.6%48.1%70.7%-0.4%-8.9%19.1K1.7M-60.6K6.8924.07N/AN/A1481,01916,93010,791
2008-07-29$16.12$17.5074.4%21.3%74.0%52.8%74.1%3.6%-11.0%60.4K444.9K-61.0K5.9915.28N/AN/A7243116,96510,144
2008-07-30$16.48$17.5081.7%23.4%69.7%62.2%82.9%4.0%-18.7%77.9K-677.3K-64.3K0.9114.25N/AN/A2,8202,55416,97710,304
2008-07-31$17.40$17.5056.5%16.2%71.1%29.8%56.7%-0.5%-1.3%179.4K-4.6M-73.6K1.3227.66N/AN/A1,5852,08518,66611,646