FORM Options History — November 2008

In November 2008, FORM traded between $11.91 and $18.07. ATM implied volatility averaged 82.9%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded above realized volatility by 4.9% (HV 20d: 78.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 2.25.

Notable Days

  • 2008-11-05: Highest Volume — 2,262 contracts
  • 2008-11-12: Largest IV spike — 15.0% change
  • 2008-11-20: Highest IV Rank — 72.3%
  • 2008-11-20: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.29$11.91$18.07$18.07$13.53
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV82.9%71.4%91.8%80.1%80.2%
Expected Move23.7%20.5%26.3%23.0%23.0%
HV 20d78.1%71.0%96.4%96.4%71.7%
HV 60d76.4%71.8%80.3%72.2%79.3%
IV Rank60.8%46.0%72.3%57.2%57.3%
IV Percentile91.0%86.1%96.0%90.9%86.5%
Term Structure-2.0%-4.4%0.3%-1.2%-1.9%
VWIV77.6%58.5%91.1%74.3%75.2%
Skew 25d14.0%9.8%21.4%12.2%17.4%
Skew 10d31.4%1.2%54.3%6.8%43.2%
Call IV 25d74.2%62.9%90.0%72.7%65.1%
Put IV 25d88.2%82.5%99.8%84.8%82.5%
Bid-Ask Spread %26.5716.7934.0729.6222.84
Gamma HHI0.220.180.270.180.27
Net GEX4.2K-37.6K86.9K86.9K-37.6K
Net DEX1.8M-3.1M3.9M-3.1M3.0M
Net VEX-35.4K-47.1K-26.4K-44.3K-33.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0012.380.740.39
Total Volume425.15802,26275678
Total OI18,623.26316,72119,58916,72119,007

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$18.07$17.5080.1%23.0%96.4%57.2%74.3%12.2%-1.2%86.9K-3.1M-44.3K0.7429.62N/AN/A43532111,0615,660
2008-11-04$17.87$17.5077.7%22.3%90.9%54.1%58.5%15.3%-1.9%84.9K-2.8M-46.4K0.6620.01N/AN/A33922311,4215,935
2008-11-05$16.84$17.5071.4%20.5%84.7%46.0%71.5%13.2%0.3%59.4K-1.3M-43.9K0.5328.56N/AN/A1,48278011,5426,111
2008-11-06$16.12$17.5081.2%23.3%84.8%58.5%72.0%10.6%-0.8%44.4K-406.1K-47.1K1.0933.29N/AN/A818812,6576,861
2008-11-07$15.71$17.5075.6%22.4%79.7%51.3%0.0%13.9%-3.8%29.8K567.8K-43.7K3.6034.07N/AN/A3010812,7186,871
2008-11-10$14.81$17.5078.5%22.2%78.5%55.1%69.2%13.2%-1.2%7.9K1.8M-38.4K0.1429.99N/AN/A4496312,0326,892
2008-11-11$14.36$17.5079.0%22.8%77.4%55.7%0.0%13.0%-3.1%3.3K2.2M-36.6K1.9430.15N/AN/A173312,1196,886
2008-11-12$13.32$17.5090.8%24.8%76.7%71.0%82.9%12.9%-3.4%-13.4K3.3M-32.3K0.1722.73N/AN/A591012,1096,868
2008-11-13$14.48$17.5078.0%22.4%77.0%54.5%91.1%18.7%-1.4%-5802.3M-35.8K0.5428.03N/AN/A1095912,1096,764
2008-11-14$13.63$17.5087.2%25.0%78.9%66.3%86.2%14.7%-3.7%-8.9K2.7M-33.2K2.6432.88N/AN/A9424812,1336,775
2008-11-17$13.32$17.5086.1%24.7%71.8%65.0%0.0%13.9%-1.6%-16.6K3.1M-31.3K0.0031.04N/AN/A0012,1876,866
2008-11-18$13.17$17.5087.5%25.1%71.0%66.7%0.0%16.8%-2.7%-21.7K3.3M-29.8K0.5929.45N/AN/A1287512,1876,743
2008-11-19$12.16$17.5089.8%25.7%74.0%69.7%84.1%12.6%-4.4%-24.8K3.6M-27.0K1.9716.79N/AN/A14628712,2836,801
2008-11-20$11.91$17.5091.8%26.3%73.2%72.3%0.0%9.8%-0.9%-25.8K3.9M-26.4K12.3818.34N/AN/A1619812,3576,942
2008-11-21$12.25$17.5089.6%25.7%74.1%69.5%82.6%13.5%-1.6%-27.9K3.8M-27.0K3.8019.80N/AN/A207612,3716,893
2008-11-24$13.14$17.5087.0%24.9%79.7%66.1%83.2%11.9%-0.9%-16.3K2.7M-30.1K0.7430.06N/AN/A63246611,0416,377
2008-11-25$13.33$17.5084.0%24.1%71.4%62.3%79.1%11.5%-2.5%-20.9K2.7M-32.5K0.0028.67N/AN/A70011,3476,764
2008-11-26$13.50$17.5080.3%23.0%71.6%57.5%76.5%21.4%-1.8%-22.5K2.6M-32.9K8.6418.49N/AN/A8976911,3886,764
2008-11-28$13.53$17.5080.2%23.0%71.7%57.3%75.2%17.4%-1.9%-37.6K3.0M-33.4K0.3922.84N/AN/A562211,4757,532