FORM Options History — September 2008

In September 2008, FORM traded between $16.88 and $20.52. ATM implied volatility averaged 58.2%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 9.6% (HV 20d: 48.6%). 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 12 of 21 days. Put/call ratio averaged 2.07.

Notable Days

  • 2008-09-18: Highest Volume — 3,735 contracts
  • 2008-09-29: Largest IV spike — 26.5% change
  • 2008-09-29: Highest IV Rank — 54.2%
  • 2008-09-29: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.78$16.88$20.52$19.68$17.42
Max Pain$18.81$17.50$20.00$20.00$20.00
ATM IV58.2%51.2%76.5%52.1%66.2%
Expected Move16.7%14.7%21.9%14.9%19.0%
HV 20d48.6%40.3%69.3%40.3%69.3%
HV 60d55.8%54.0%61.4%54.8%61.4%
IV Rank29.9%20.5%54.2%23.0%40.5%
IV Percentile68.9%40.9%98.4%50.8%87.3%
Term Structure-0.0%-3.6%2.9%0.4%1.7%
VWIV57.9%47.5%75.7%48.4%65.9%
Skew 25d7.0%-5.3%12.0%7.6%8.2%
Skew 10d13.3%-8.5%29.3%5.5%8.5%
Call IV 25d54.8%47.8%72.3%49.9%65.7%
Put IV 25d61.8%45.2%84.3%57.5%73.9%
Bid-Ask Spread %23.2014.4149.5927.4123.24
Gamma HHI0.370.180.500.440.21
Net GEX267.2K104.1K441.1K355.3K104.1K
Net DEX-5.1M-11.6M1.6M-9.6M1.6M
Net VEX-56.5K-65.0K-48.5K-64.7K-48.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0012.220.010.97
Total Volume622.81593,73578205
Total OI25,619.71424,08027,63924,99927,639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$19.68$20.0052.1%14.9%40.3%23.0%48.4%7.6%0.4%355.3K-9.6M-64.7K0.0127.41N/AN/A77117,0457,954
2008-09-03$18.67$20.0055.9%16.0%45.4%26.8%0.0%7.2%-0.3%300.5K-6.0M-60.0K1.1714.41N/AN/A354117,0927,953
2008-09-04$17.94$20.0052.1%14.9%46.3%21.8%52.0%-5.3%2.9%244.4K-3.6M-54.3K0.0422.45N/AN/A8393417,1177,942
2008-09-05$18.19$17.5051.2%15.6%45.9%20.5%51.2%4.6%-0.7%256.6K-4.1M-54.5K0.0015.04N/AN/A824416,8787,947
2008-09-08$18.91$17.5051.2%14.8%45.8%20.5%50.4%6.1%1.6%315.1K-6.2M-55.7K3.2219.59N/AN/A3611616,6847,948
2008-09-09$18.70$17.5056.0%16.1%43.4%26.8%50.4%7.6%0.6%301.3K-5.6M-55.7K1.2118.54N/AN/A27132716,6838,045
2008-09-10$18.82$17.5051.7%14.7%43.5%21.2%47.5%5.8%2.6%318.5K-5.8M-55.8K0.3214.84N/AN/A1103516,9098,117
2008-09-11$18.38$17.5055.4%15.9%42.4%26.0%50.6%8.1%0.1%272.4K-4.0M-52.3K5.2415.61N/AN/A4222016,9508,125
2008-09-12$18.27$17.5055.2%15.8%42.3%25.9%0.0%8.7%0.1%249.8K-3.2M-52.0K0.2621.22N/AN/A651716,9798,301
2008-09-15$18.19$17.5057.8%16.6%42.3%29.2%61.5%6.2%-1.1%248.3K-3.7M-51.1K12.2222.27N/AN/A911017,0038,184
2008-09-16$18.80$17.5052.1%14.9%43.8%21.8%52.1%7.3%2.8%319.0K-5.3M-52.8K0.2423.31N/AN/A791917,0018,240
2008-09-17$19.18$17.5056.1%16.1%44.1%27.0%55.3%7.3%0.8%366.5K-7.3M-55.1K0.1328.45N/AN/A1592117,0098,236
2008-09-18$20.38$17.5060.5%17.3%49.1%32.9%60.5%6.5%-2.1%441.1K-11.6M-58.8K1.0549.59N/AN/A1,8251,91016,9778,257
2008-09-19$20.52$20.0060.1%17.2%49.1%32.4%60.5%9.8%-1.8%387.5K-11.2M-62.4K0.3723.69N/AN/A27610316,77010,007
2008-09-22$19.12$20.0063.5%18.2%52.9%36.9%63.4%6.5%-1.8%213.9K-4.8M-56.4K2.3318.80N/AN/A19846115,4609,130
2008-09-23$18.66$20.0066.4%19.0%50.5%40.7%63.0%8.4%-3.6%130.4K-1.8M-51.7K0.0717.32N/AN/A3,30922314,5309,550
2008-09-24$19.40$20.0060.9%17.5%51.8%33.5%60.3%7.0%0.4%234.9K-6.2M-65.0K1.6321.39N/AN/A17528517,5859,554
2008-09-25$19.13$20.0060.3%17.3%52.1%32.6%65.3%7.1%0.2%221.7K-4.9M-63.8K9.7821.96N/AN/A2322517,6209,631
2008-09-26$19.20$20.0060.5%17.4%51.7%32.9%67.1%10.5%-0.4%220.1K-5.2M-62.9K1.3624.81N/AN/A253417,6319,837
2008-09-29$16.88$20.0076.5%21.9%68.9%54.2%75.7%12.0%-3.0%109.2K585.5K-53.0K1.8843.28N/AN/A10820317,6529,842
2008-09-30$17.42$20.0066.2%19.0%69.3%40.5%65.9%8.2%1.7%104.1K1.6M-48.5K0.9723.24N/AN/A10410117,6969,943