FORM Options History — December 2008

In December 2008, FORM traded between $12.32 and $15.11. ATM implied volatility averaged 70.8%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 2.9% (HV 20d: 73.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.54.

Notable Days

  • 2008-12-18: Highest Volume — 715 contracts
  • 2008-12-30: Largest IV drop — 13.6% change
  • 2008-12-01: Highest IV Rank — 59.3%
  • 2008-12-01: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.62$12.32$15.11$12.32$14.60
Max Pain$17.39$15.00$17.50$17.50$17.50
ATM IV70.8%61.6%81.8%81.8%62.4%
Expected Move20.2%17.6%23.4%23.4%17.9%
HV 20d73.8%65.5%80.7%76.9%66.1%
HV 60d82.3%80.9%85.1%81.3%81.1%
IV Rank45.3%33.3%59.3%59.3%34.3%
IV Percentile73.1%56.3%88.5%88.5%57.9%
Term Structure3.4%-3.6%6.6%-1.6%4.7%
VWIV68.7%48.6%81.3%81.3%62.4%
Skew 25d9.5%2.1%20.0%10.3%20.0%
Skew 10d17.8%-12.7%41.6%25.4%28.6%
Call IV 25d64.4%46.2%79.1%79.1%46.2%
Put IV 25d73.9%64.4%89.4%89.4%66.1%
Bid-Ask Spread %14.897.8432.9826.108.04
Gamma HHI0.330.240.440.310.33
Net GEX-61.7K-101.0K-22.8K-42.1K-79.9K
Net DEX2.8M864.8K3.9M3.9M1.7M
Net VEX-30.1K-33.2K-27.1K-28.7K-29.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.0010.330.950.00
Total Volume206.09187156118
Total OI19,936.04519,08020,78019,08019,823

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$12.32$17.5081.8%23.4%76.9%59.3%81.3%10.3%-1.6%-42.1K3.9M-28.7K0.9526.10N/AN/A31329811,5287,552
2008-12-02$12.51$17.5080.2%23.0%75.3%57.3%80.2%11.5%-3.6%-46.3K3.8M-29.5K6.3329.80N/AN/A8151311,8057,842
2008-12-03$13.33$17.5077.8%22.3%80.7%54.3%71.4%11.6%-2.8%-45.3K3.0M-32.1K0.6228.82N/AN/A28617611,8587,684
2008-12-04$12.83$15.0075.8%21.7%79.5%51.7%75.8%8.7%-1.2%-48.6K3.4M-31.0K1.3932.98N/AN/A496812,0177,854
2008-12-05$13.03$17.5073.5%21.5%79.3%48.7%79.3%11.4%1.2%-49.8K3.3M-31.3K5.6013.30N/AN/A3519612,0487,885
2008-12-08$13.31$17.5080.2%21.0%79.9%57.4%68.6%8.6%3.4%-53.6K3.1M-31.3K10.3312.13N/AN/A33112,0838,024
2008-12-09$13.49$17.5076.5%21.2%77.9%52.6%81.3%10.4%4.5%-52.4K2.8M-31.3K3.4013.11N/AN/A155112,0848,055
2008-12-10$13.63$17.5074.8%20.9%77.4%50.3%63.5%9.4%3.7%-51.5K2.8M-31.6K0.9411.24N/AN/A171612,0898,015
2008-12-11$13.40$17.5073.5%21.1%72.8%48.7%73.5%12.4%2.9%-56.5K3.0M-30.2K8.0015.05N/AN/A21612,0948,012
2008-12-12$14.20$17.5066.0%18.9%69.4%39.0%0.0%9.0%4.8%-50.2K2.2M-32.1K0.5913.57N/AN/A855012,0967,995
2008-12-15$13.37$17.5073.0%20.9%69.4%48.1%64.4%9.2%2.4%-62.7K3.0M-29.5K2.0017.02N/AN/A102012,1658,024
2008-12-16$14.23$17.5066.2%19.0%72.3%39.2%63.5%8.3%5.2%-49.8K2.1M-31.0K0.5417.52N/AN/A1689012,1608,033
2008-12-17$15.11$17.5065.0%18.6%74.8%37.7%70.1%9.7%6.5%-22.8K864.8K-33.2K0.558.49N/AN/A472612,1538,039
2008-12-18$14.32$17.5063.5%18.2%71.3%35.8%67.1%2.1%6.6%-49.6K2.0M-30.9K4.9110.95N/AN/A12159412,1928,039
2008-12-19$14.60$17.5062.2%17.8%70.5%34.0%48.6%5.7%6.6%-50.6K1.9M-31.4K1.139.20N/AN/A14116012,1938,587
2008-12-22$13.67$17.5069.1%19.8%75.1%43.0%67.4%15.6%6.1%-87.7K3.1M-28.4K0.1913.47N/AN/A53110211,5548,138
2008-12-23$13.22$17.5067.6%19.4%72.2%41.1%63.8%7.4%5.8%-86.6K3.4M-28.1K0.0012.24N/AN/A32011,8228,017
2008-12-24$13.51$17.5068.6%19.7%72.5%42.3%62.2%6.4%5.1%-88.3K3.1M-28.5K0.007.95N/AN/A13011,8228,017
2008-12-26$13.47$17.5068.2%19.6%72.3%41.9%61.7%3.0%5.8%-93.6K3.0M-28.1K3.407.84N/AN/A103411,8247,909
2008-12-29$13.43$17.5071.2%20.4%72.3%45.7%0.0%2.9%3.5%-101.0K3.2M-27.1K0.009.78N/AN/A01811,8287,900
2008-12-30$14.14$17.5061.6%17.6%65.5%33.3%68.7%15.6%6.2%-88.2K2.3M-27.9K0.009.10N/AN/A010811,8287,906
2008-12-31$14.60$17.5062.4%17.9%66.1%34.3%62.4%20.0%4.7%-79.9K1.7M-29.1K0.008.04N/AN/A8011,8287,995