FORM Options History — May 2009

In May 2009, FORM traded between $15.50 and $18.26. ATM implied volatility averaged 48.8%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 19.3% (HV 20d: 68.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.60.

Notable Days

  • 2009-05-20: Highest Volume — 1,828 contracts
  • 2009-05-13: Largest IV spike — 23.2% change
  • 2009-05-07: Highest IV Rank — 27.0%
  • 2009-05-11: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.06$15.50$18.26$17.93$18.15
Max Pain$16.00$15.00$20.00$20.00$17.50
ATM IV48.8%40.0%56.7%50.8%40.0%
Expected Move14.1%11.5%15.9%14.6%11.5%
HV 20d68.1%53.7%72.5%71.6%53.7%
HV 60d61.9%60.0%62.9%61.6%61.6%
IV Rank12.2%0.0%27.0%19.4%0.0%
IV Percentile12.8%0.0%43.7%17.5%0.0%
Term Structure0.6%-3.2%5.0%2.4%5.0%
VWIV48.8%42.1%55.0%42.1%46.7%
Skew 25d8.4%0.3%19.1%11.3%10.7%
Skew 10d17.0%1.7%28.0%21.3%10.1%
Call IV 25d42.9%27.4%53.0%46.0%27.4%
Put IV 25d51.3%38.2%57.3%57.3%38.2%
Bid-Ask Spread %36.1318.8866.7830.2266.78
Gamma HHI0.280.260.340.280.34
Net GEX91.0K70.8K111.1K111.1K86.4K
Net DEX-4.6M-7.2M-2.1M-6.7M-6.1M
Net VEX-38.7K-45.0K-35.5K-45.0K-36.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.0423.8023.800.10
Total Volume206.5551,82849622
Total OI13,321.5512,12814,39414,34512,833

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$17.93$20.0050.8%14.6%71.6%19.4%42.1%11.3%2.4%111.1K-6.7M-45.0K23.8030.22N/AN/A2047610,1894,156
2009-05-04$18.26$15.0052.7%14.2%71.9%21.9%46.0%9.1%0.3%111.0K-7.2M-43.8K0.2033.57N/AN/A44910,1934,201
2009-05-05$17.87$15.0053.5%14.5%71.2%22.9%0.0%7.6%-1.4%109.8K-6.7M-43.7K1.2531.14N/AN/A121510,1604,196
2009-05-06$17.94$15.0049.5%15.0%69.0%17.8%0.0%11.6%-1.9%107.5K-6.8M-43.2K0.0046.07N/AN/A08710,1484,201
2009-05-07$16.70$15.0056.7%15.8%72.1%27.0%54.4%4.7%-0.8%104.3K-4.4M-42.1K0.9027.23N/AN/A716410,1484,243
2009-05-08$16.65$15.0050.1%14.8%64.8%18.5%53.5%7.8%-0.3%86.0K-3.4M-39.5K2.1318.88N/AN/A1583369,3824,235
2009-05-11$16.31$15.0050.0%15.9%64.9%18.3%55.0%2.0%-3.2%88.1K-3.1M-37.9K0.2726.78N/AN/A195539,4574,042
2009-05-12$16.03$15.0045.1%14.2%64.3%12.1%50.6%0.9%2.3%80.4K-2.5M-36.8K1.1334.08N/AN/A15179,4254,132
2009-05-13$15.50$15.0055.6%15.6%64.8%25.6%55.0%5.7%-1.5%78.0K-2.1M-35.5K0.8448.55N/AN/A69589,4394,145
2009-05-14$16.25$15.0050.4%14.4%66.7%18.8%50.6%6.3%1.1%84.7K-3.0M-36.7K7.5021.93N/AN/A2159,4674,013
2009-05-15$16.55$15.0050.5%14.5%67.1%10.6%50.4%11.7%0.4%85.9K-3.5M-37.8K0.0441.57N/AN/A9449,4674,018
2009-05-18$17.29$15.0047.1%13.5%68.5%5.7%47.4%3.3%-0.3%92.4K-5.1M-38.2K0.2839.73N/AN/A60178,5033,625
2009-05-19$17.36$15.0044.2%12.7%68.6%0.9%45.3%5.7%1.2%96.2K-5.3M-37.9K0.1231.31N/AN/A86108,5423,627
2009-05-20$17.11$15.0045.4%13.0%68.0%2.3%44.7%5.8%2.6%96.9K-5.0M-37.1K0.3134.24N/AN/A1,3994298,6263,637
2009-05-21$16.20$17.5044.6%12.8%69.5%1.1%46.4%0.3%4.9%70.8K-2.8M-35.7K0.3031.00N/AN/A56178,6784,045
2009-05-22$16.64$17.5047.9%13.7%69.6%5.9%49.1%10.6%-0.9%76.3K-3.6M-36.8K0.1624.96N/AN/A76128,7254,062
2009-05-26$17.62$17.5048.2%13.8%72.5%6.4%44.3%16.3%-1.5%89.2K-5.0M-36.4K1.9352.48N/AN/A28548,7454,074
2009-05-27$17.43$17.5044.7%12.8%72.0%1.3%46.7%19.1%2.9%79.8K-5.0M-37.1K5.5721.68N/AN/A7398,7654,059
2009-05-28$17.48$17.5049.2%14.1%71.6%7.8%0.0%17.4%-0.3%85.9K-5.0M-36.9K0.0060.33N/AN/A058,7654,063
2009-05-29$18.15$17.5040.0%11.5%53.7%0.0%0.0%10.7%5.0%86.4K-6.1M-36.4K0.1066.78N/AN/A2028,7654,068