FORM Options History — March 2009

In March 2009, FORM traded between $13.35 and $18.80. ATM implied volatility averaged 55.4%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 1.4% (HV 20d: 56.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 5.96.

Notable Days

  • 2009-03-20: Highest Volume — 6,787 contracts
  • 2009-03-09: Largest IV spike — 19.9% change
  • 2009-03-09: Highest IV Rank — 42.8%
  • 2009-03-09: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.71$13.35$18.80$14.02$18.02
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV55.4%47.4%68.9%59.4%55.4%
Expected Move15.9%13.6%18.9%17.0%15.9%
HV 20d56.8%49.7%61.4%50.9%60.3%
HV 60d58.6%55.9%61.3%60.0%58.4%
IV Rank25.4%15.1%42.8%30.5%25.4%
IV Percentile35.9%8.3%74.2%51.6%38.1%
Term Structure4.5%-1.2%10.8%0.9%7.8%
VWIV53.5%31.9%66.6%66.6%51.2%
Skew 25d9.4%3.4%18.5%6.6%11.3%
Skew 10d21.1%-5.6%38.6%-4.3%30.2%
Call IV 25d51.9%40.7%62.1%61.1%50.3%
Put IV 25d61.3%53.7%69.3%67.8%61.6%
Bid-Ask Spread %18.5712.3228.8220.0217.60
Gamma HHI0.370.250.500.390.40
Net GEX30.9K-25.2K132.1K-15.0K98.5K
Net DEX-3.6M-13.2M1.4M597.2K-10.0M
Net VEX-33.4K-51.7K-23.3K-25.8K-48.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.960.00101.001.460.94
Total Volume653.36426,787123212
Total OI13,30810,89118,18510,89117,576

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$14.02$15.0059.4%17.0%50.9%30.5%66.6%6.6%0.9%-15.0K597.2K-25.8K1.4620.02N/AN/A50735,8135,078
2009-03-03$14.01$15.0058.8%16.8%49.7%29.7%0.0%5.7%0.0%-15.8K597.1K-25.5K1.0420.46N/AN/A24255,7875,105
2009-03-04$14.69$15.0054.8%15.7%53.2%24.5%54.8%4.7%3.9%-7.7K-96.4K-26.9K1.8428.82N/AN/A50925,8115,110
2009-03-05$14.04$15.0059.4%17.0%53.0%30.5%58.9%3.4%1.4%-14.4K542.5K-25.5K0.6619.53N/AN/A70465,8775,200
2009-03-06$13.87$15.0057.5%16.0%53.0%28.0%55.8%9.8%3.7%-20.8K885.5K-25.1K1.8918.42N/AN/A541025,8625,246
2009-03-09$13.35$15.0068.9%18.9%53.6%42.8%0.0%10.9%-1.2%-25.2K1.4M-23.3K0.0021.83N/AN/A5305,8695,244
2009-03-10$14.24$15.0058.1%16.5%59.9%28.9%57.5%9.0%2.5%-16.4K464.5K-24.9K0.0019.27N/AN/A16005,8585,244
2009-03-11$14.39$15.0055.4%16.5%58.1%25.3%0.0%9.4%2.0%-11.8K215.6K-25.0K11.0021.12N/AN/A1115,8555,244
2009-03-12$15.17$15.0056.6%16.2%61.4%26.9%56.4%8.2%2.7%-411-648.2K-25.6K0.2112.32N/AN/A191405,8555,254
2009-03-13$15.10$15.0055.6%15.9%61.3%25.6%0.0%9.6%2.8%-40-579.5K-25.7K0.1713.04N/AN/A300505,9395,284
2009-03-16$14.77$15.0057.1%16.4%60.6%27.5%31.9%11.1%2.6%-6.2K-243.1K-26.6K101.0015.11N/AN/A11016,1895,334
2009-03-17$15.59$15.0054.8%15.7%61.2%24.6%54.9%9.6%3.5%7.1K-1.3M-26.4K0.3613.36N/AN/A204746,1895,375
2009-03-18$15.63$15.0056.0%16.1%61.2%26.1%56.3%10.3%1.7%4.4K-1.8M-27.8K0.0017.32N/AN/A206,4365,449
2009-03-19$15.62$15.0055.1%15.8%57.3%25.0%0.0%8.9%3.4%12.7K-1.7M-27.6K0.0015.78N/AN/A0106,3875,449
2009-03-20$16.35$15.0048.7%14.0%59.2%16.7%57.5%18.5%10.8%8.9K-2.8M-27.8K0.0222.35N/AN/A6,6391486,3875,449
2009-03-23$16.97$15.0051.5%14.8%53.9%20.3%52.0%10.7%9.1%109.9K-9.6M-46.9K0.1424.15N/AN/A4386211,5575,344
2009-03-24$16.98$15.0051.0%14.6%51.4%19.6%51.2%10.5%9.3%121.8K-10.1M-48.5K3.0217.89N/AN/A18555811,9845,383
2009-03-25$16.87$15.0051.1%14.6%51.5%19.7%54.1%6.8%8.3%116.0K-9.5M-50.2K0.0018.97N/AN/A269012,0575,908
2009-03-26$18.61$15.0051.8%14.8%60.6%20.6%52.5%8.6%7.2%132.1K-13.2M-49.7K0.2822.42N/AN/A3,08187312,2775,908
2009-03-27$18.80$15.0047.4%13.6%60.0%15.1%49.9%13.0%10.4%104.6K-12.0M-51.7K0.2415.47N/AN/A832011,5356,508
2009-03-30$18.46$15.0055.4%15.9%59.0%25.3%48.9%10.5%6.9%96.5K-10.7M-49.5K0.8313.28N/AN/A121011,0426,518
2009-03-31$18.02$15.0055.4%15.9%60.3%25.4%51.2%11.3%7.8%98.5K-10.0M-48.6K0.9417.60N/AN/A10910311,0486,528