FORM Options History — June 2009

In June 2009, FORM traded between $17.28 and $21.51. ATM implied volatility averaged 44.3%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 6.3% (HV 20d: 50.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2009-06-01: Highest Volume — 458 contracts
  • 2009-06-11: Largest IV spike — 66.5% change
  • 2009-06-17: Highest IV Rank — 25.7%
  • 2009-06-09: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.38$17.28$21.51$18.99$17.28
Max Pain$15.45$15.00$17.50$17.50$15.00
ATM IV44.3%25.8%48.3%46.0%45.1%
Expected Move13.1%11.8%14.2%13.2%12.9%
HV 20d50.6%46.7%56.0%55.1%48.2%
HV 60d59.5%58.3%61.3%61.3%58.4%
IV Rank16.2%0.0%25.7%8.2%22.1%
IV Percentile4.5%0.0%9.9%4.0%5.2%
Term Structure3.8%-2.5%11.8%-2.5%5.9%
VWIV46.2%41.7%52.9%52.9%45.1%
Skew 25d6.3%-9.8%19.2%10.4%17.7%
Skew 10d12.3%-12.9%30.8%14.2%28.5%
Call IV 25d41.4%33.2%47.3%42.2%33.8%
Put IV 25d47.7%36.4%52.6%52.6%51.5%
Bid-Ask Spread %27.5515.9338.4021.0324.53
Gamma HHI0.350.320.420.340.37
Net GEX122.1K93.3K156.2K93.3K150.6K
Net DEX-8.8M-12.3M-5.2M-7.6M-5.2M
Net VEX-31.9K-36.8K-28.5K-36.8K-28.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.008.968.960.83
Total Volume118745845877
Total OI12,730.68212,01913,23212,84712,252

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$18.99$17.5046.0%13.2%55.1%8.2%52.9%10.4%-2.5%93.3K-7.6M-36.8K8.9621.03N/AN/A464128,7794,068
2009-06-02$19.07$17.5041.3%11.8%54.8%1.7%50.7%9.5%0.1%105.0K-8.1M-36.1K0.7230.87N/AN/A64468,7963,934
2009-06-03$19.00$17.5042.4%12.2%54.2%3.3%47.6%8.3%2.0%108.8K-7.9M-35.5K0.7132.15N/AN/A24178,8203,940
2009-06-04$19.83$17.5045.5%13.0%56.0%7.4%44.8%19.2%0.8%114.4K-9.3M-34.7K0.1829.89N/AN/A90168,8433,957
2009-06-05$19.76$15.0040.8%13.0%48.3%1.0%44.5%5.9%4.7%113.6K-9.3M-35.1K2.2422.77N/AN/A1012268,8633,965
2009-06-08$19.52$15.0043.5%13.1%48.7%4.7%49.9%5.3%4.6%107.3K-9.0M-34.2K4.1427.07N/AN/A22918,8634,177
2009-06-09$20.73$15.0045.2%14.2%50.8%7.0%43.9%12.5%1.3%108.2K-10.9M-32.6K1.8323.23N/AN/A23428,8574,173
2009-06-10$21.36$15.0025.8%12.4%50.0%0.0%42.2%8.2%7.1%101.0K-11.9M-31.9K0.0128.74N/AN/A7618,8624,178
2009-06-11$21.51$15.0043.0%12.3%46.8%19.6%42.8%5.9%4.6%97.8K-12.3M-31.6K0.4422.71N/AN/A77348,8884,178
2009-06-12$21.14$15.0046.9%13.4%46.7%24.1%0.0%13.1%3.1%111.0K-11.7M-31.4K2.6735.62N/AN/A6168,9024,210
2009-06-15$20.81$15.0046.1%13.2%47.8%23.2%0.0%5.3%4.9%127.5K-11.3M-30.5K0.5931.58N/AN/A22138,9034,205
2009-06-16$20.35$15.0047.7%13.7%47.6%25.0%47.4%2.5%1.8%127.3K-10.6M-31.3K0.0238.40N/AN/A6418,9184,215
2009-06-17$20.91$15.0048.3%13.8%48.1%25.7%44.9%13.5%-1.2%111.4K-11.6M-30.7K0.3031.50N/AN/A40128,9614,214
2009-06-18$19.93$15.0046.0%13.2%51.6%23.0%45.0%3.1%4.6%156.2K-10.0M-31.4K0.3226.50N/AN/A57188,9884,206
2009-06-19$19.18$15.0046.4%13.3%49.3%23.5%52.0%4.8%1.6%123.3K-8.7M-31.2K3.1132.99N/AN/A1103429,0164,216
2009-06-22$18.01$15.0047.7%13.7%54.8%25.0%45.8%-3.5%5.3%124.8K-6.8M-30.5K0.3223.97N/AN/A44148,6413,378
2009-06-23$17.63$15.0048.1%13.8%51.7%25.5%45.7%-9.8%3.2%129.4K-5.8M-30.3K0.0615.93N/AN/A14698,6543,388
2009-06-24$17.96$15.0044.3%12.7%51.9%21.1%42.6%-3.7%11.8%137.0K-6.4M-30.1K0.4019.65N/AN/A528,7363,396
2009-06-25$18.08$15.0044.9%12.9%52.0%21.8%44.0%-2.4%9.6%146.5K-6.5M-29.7K0.0038.26N/AN/A5508,7373,398
2009-06-26$17.92$15.0042.1%12.1%50.3%18.7%41.7%-4.3%8.8%145.7K-6.4M-29.5K0.0819.97N/AN/A5148,7873,398
2009-06-29$17.37$15.0046.9%13.4%48.3%24.1%49.9%16.5%0.6%145.3K-5.6M-28.7K0.3628.64N/AN/A59218,8183,397
2009-06-30$17.28$15.0045.1%12.9%48.2%22.1%45.1%17.7%5.9%150.6K-5.2M-28.5K0.8324.53N/AN/A42358,8443,408