FORM Options History — August 2008

In August 2008, FORM traded between $17.22 and $20.73. ATM implied volatility averaged 52.6%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 5.4% (HV 20d: 58.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2008-08-11: Highest Volume — 1,128 contracts
  • 2008-08-11: Largest IV spike — 5.7% change
  • 2008-08-05: Highest IV Rank — 31.4%
  • 2008-08-04: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.33$17.22$20.73$17.22$19.19
Max Pain$19.05$17.50$20.00$17.50$20.00
ATM IV52.6%49.4%57.8%54.7%49.4%
Expected Move15.0%14.1%16.0%15.7%14.1%
HV 20d58.0%37.0%71.6%71.1%39.7%
HV 60d54.5%53.9%55.7%54.3%54.8%
IV Rank24.0%19.4%31.4%27.4%19.4%
IV Percentile52.1%32.9%73.8%67.1%32.9%
Term Structure0.9%-0.4%2.5%-0.2%2.0%
VWIV52.3%48.5%55.5%54.1%49.5%
Skew 25d5.4%3.2%17.3%17.3%4.0%
Skew 10d6.8%-6.0%28.2%28.2%-6.0%
Call IV 25d49.8%41.3%53.8%41.3%48.1%
Put IV 25d55.1%52.2%59.2%58.6%52.2%
Bid-Ask Spread %22.1516.2030.2616.2024.21
Gamma HHI0.370.260.440.260.44
Net GEX304.0K132.2K376.5K132.2K322.7K
Net DEX-10.5M-18.1M-2.9M-2.9M-7.8M
Net VEX-72.6K-77.8K-64.9K-73.5K-64.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.004.330.350.00
Total Volume207.095161,12824317
Total OI28,456.57124,16632,18431,67124,982

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$17.22$17.5054.7%15.7%71.1%27.4%54.1%17.3%-0.2%132.2K-2.9M-73.5K0.3516.20N/AN/A1806319,33112,340
2008-08-04$17.32$17.5057.3%16.0%71.1%30.9%55.3%5.4%0.3%155.1K-3.5M-73.2K0.8523.93N/AN/A342919,42112,367
2008-08-05$17.49$17.5057.8%15.9%71.0%31.4%55.5%6.7%0.1%175.3K-4.1M-72.3K1.7125.39N/AN/A457719,42512,342
2008-08-06$18.09$17.5056.6%15.9%69.7%30.0%52.3%5.3%0.1%252.4K-7.1M-73.8K0.2417.84N/AN/A1253019,44312,374
2008-08-07$18.48$17.5054.9%15.8%70.0%27.8%52.6%4.2%1.5%286.4K-9.1M-75.1K0.3116.37N/AN/A912819,45212,362
2008-08-08$19.24$17.5051.8%14.9%71.0%22.9%52.8%4.2%0.5%325.0K-12.4M-77.8K1.7928.29N/AN/A12322019,40912,375
2008-08-11$20.00$17.5054.8%15.5%71.6%26.7%53.9%4.6%0.4%354.7K-16.1M-76.9K0.5428.46N/AN/A73139719,48312,320
2008-08-12$19.89$17.5052.2%15.2%70.1%23.4%52.9%4.0%-0.1%352.6K-15.6M-76.3K1.5330.26N/AN/A18728719,41912,397
2008-08-13$20.48$20.0050.4%15.0%68.0%21.0%50.3%4.5%1.4%359.3K-17.7M-77.2K4.3318.57N/AN/A125219,52112,584
2008-08-14$20.50$20.0051.8%14.8%68.0%22.8%50.8%4.6%0.9%376.5K-18.0M-76.8K0.1021.74N/AN/A1361419,52512,569
2008-08-15$20.49$20.0052.1%14.9%67.9%23.2%51.5%4.2%0.5%375.8K-18.1M-76.3K0.0319.86N/AN/A127419,61612,568
2008-08-18$19.97$20.0052.7%15.1%68.4%24.0%51.6%7.2%-0.4%321.6K-10.9M-73.3K0.7423.28N/AN/A15811716,6367,530
2008-08-19$19.59$20.0051.4%14.7%60.9%22.3%51.5%3.2%1.7%306.4K-9.6M-71.7K0.5623.03N/AN/A623516,7487,634
2008-08-20$19.82$20.0051.8%14.8%37.0%22.8%54.3%4.7%0.9%321.1K-10.1M-71.7K2.2723.94N/AN/A112516,7997,643
2008-08-21$19.86$20.0051.5%14.8%37.0%22.4%52.2%4.6%1.2%324.8K-10.5M-71.1K1.0817.41N/AN/A28931316,8107,666
2008-08-22$20.73$20.0050.7%14.5%38.3%21.4%51.0%5.2%2.0%352.4K-13.6M-73.5K0.5623.69N/AN/A432416,9397,859
2008-08-25$19.69$20.0052.3%15.0%41.3%23.5%51.8%5.1%0.2%333.5K-9.7M-69.4K1.0019.43N/AN/A646416,9457,879
2008-08-26$19.21$20.0050.9%14.6%43.1%21.4%53.0%4.4%1.3%312.8K-8.1M-66.9K2.5918.10N/AN/A277017,0047,914
2008-08-27$19.14$20.0050.4%14.4%43.0%20.7%48.5%5.7%1.3%311.9K-7.7M-66.0K0.1024.56N/AN/A20217,0227,954
2008-08-28$19.45$20.0049.4%14.2%39.5%19.4%49.5%3.4%2.5%330.8K-8.8M-66.5K0.0020.64N/AN/A16017,0277,954
2008-08-29$19.19$20.0049.4%14.1%39.7%19.4%0.0%4.0%2.0%322.7K-7.8M-64.9K0.0024.21N/AN/A17017,0287,954