FORM Options History — July 2009 In July 2009, FORM traded between $18.05 and $23.35. ATM implied volatility averaged 46.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 0.4% (HV 20d: 46.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.12.
Notable Days 2009-07-16 : Highest Volume — 2,406 contracts2009-07-16 : Largest IV spike — 53.0% change2009-07-27 : Highest IV Rank — 33.3%2009-07-13 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $21.27 $18.05 $23.35 $18.05 $23.05 Max Pain $18.30 $15.00 $20.00 $15.00 $20.00 ATM IV 46.9% 32.9% 54.9% 43.9% 40.2% Expected Move 14.6% 11.5% 16.5% 12.6% 11.5% HV 20d 46.5% 35.7% 56.9% 51.2% 37.1% HV 60d 55.1% 47.8% 59.0% 58.6% 48.4% IV Rank 24.1% 8.1% 33.3% 20.7% 16.5% IV Percentile 15.2% 0.4% 39.3% 3.2% 2.0% Term Structure -2.1% -7.2% 11.1% 11.1% 1.0% VWIV 50.5% 33.5% 63.1% 40.2% 39.9% Skew 25d 8.3% 3.2% 29.5% 14.1% 11.4% Skew 10d 12.0% -3.8% 38.4% 19.4% 18.6% Call IV 25d 46.7% 23.1% 52.9% 30.3% 34.5% Put IV 25d 55.0% 44.4% 61.9% 44.4% 45.8% Bid-Ask Spread % 29.38 16.34 43.12 20.95 35.14 Gamma HHI 0.35 0.27 0.50 0.44 0.33 Net GEX 132.3K 64.1K 222.3K 157.6K 127.8K Net DEX -12.3M -17.7M -6.5M -6.5M -11.5M Net VEX -34.0K -38.3K -27.5K -27.9K -37.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.00 9.21 0.23 9.21 Total Volume 551.455 14 2,406 102 337 Total OI 13,753.318 11,516 16,810 12,277 13,297
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-07-01 $18.05 $15.00 43.9% 12.6% 51.2% 20.7% 40.2% 14.1% 11.1% 157.6K -6.5M -27.9K 0.23 20.95 N/A N/A 83 19 8,852 3,425 2009-07-02 $18.64 $15.00 52.3% 15.0% 50.1% 30.3% 52.0% 29.5% 1.4% 140.2K -7.8M -28.7K 0.07 38.51 N/A N/A 2,052 150 8,871 3,413 2009-07-06 $19.90 $17.50 47.4% 15.9% 55.7% 24.7% 45.1% 3.2% -4.7% 177.2K -13.5M -27.5K 0.32 32.84 N/A N/A 283 91 10,719 3,550 2009-07-07 $19.21 $17.50 51.9% 15.7% 56.9% 29.8% 57.9% 6.5% -3.0% 199.2K -12.0M -29.0K 3.41 36.40 N/A N/A 338 1,152 10,706 3,609 2009-07-08 $18.97 $17.50 44.0% 15.5% 52.3% 20.8% 53.8% 7.8% -2.6% 222.3K -11.4M -30.8K 0.00 25.60 N/A N/A 14 0 11,032 3,936 2009-07-09 $19.54 $17.50 45.4% 16.2% 52.3% 22.4% 63.1% 10.4% -4.6% 161.9K -12.9M -30.7K 0.19 29.32 N/A N/A 411 78 11,043 4,163 2009-07-10 $19.88 $17.50 40.3% 15.5% 52.7% 16.6% 52.4% 3.8% -2.4% 64.1K -14.1M -29.0K 0.31 35.17 N/A N/A 13 4 11,213 4,236 2009-07-13 $20.53 $17.50 40.2% 16.5% 53.9% 16.4% 33.5% 10.4% -6.3% 70.3K -15.3M -28.8K 0.09 43.12 N/A N/A 555 49 11,217 4,238 2009-07-14 $20.79 $17.50 39.7% 15.2% 53.9% 15.9% 56.7% 5.9% -1.5% 80.7K -16.3M -31.3K 0.90 35.87 N/A N/A 323 290 11,735 4,241 2009-07-15 $21.31 $17.50 32.9% 13.9% 53.9% 8.1% 49.5% 5.5% -0.5% 71.5K -17.3M -34.3K 0.28 23.83 N/A N/A 92 26 12,033 4,530 2009-07-16 $21.55 $17.50 50.3% 14.4% 53.2% 28.0% 53.5% 6.9% -2.2% 75.2K -17.7M -33.9K 0.01 19.73 N/A N/A 2,384 22 12,107 4,556 2009-07-17 $21.80 $17.50 48.8% 14.0% 49.9% 26.2% 52.2% 7.2% -1.6% 132.5K -17.5M -37.2K 1.11 25.74 N/A N/A 149 165 12,260 4,550 2009-07-20 $21.79 $17.50 49.9% 14.3% 47.4% 27.5% 51.4% 9.5% -2.8% 113.9K -8.8M -38.3K 0.20 23.42 N/A N/A 88 18 8,168 3,348 2009-07-21 $22.01 $20.00 51.6% 14.8% 39.7% 29.5% 46.5% 10.1% -6.8% 116.5K -9.2M -38.2K 1.11 25.29 N/A N/A 9 10 8,241 3,366 2009-07-22 $22.82 $20.00 49.5% 14.2% 38.9% 27.1% 56.0% 7.4% -1.4% 110.6K -10.4M -38.2K 0.03 31.48 N/A N/A 383 10 8,242 3,364 2009-07-23 $23.06 $20.00 50.6% 14.5% 38.8% 28.4% 51.5% 3.4% -3.9% 118.7K -11.1M -37.6K 0.03 27.12 N/A N/A 672 20 8,454 3,332 2009-07-24 $23.35 $20.00 49.1% 14.1% 38.8% 26.6% 50.7% 4.0% 0.6% 158.6K -12.1M -37.8K 0.93 32.15 N/A N/A 27 25 9,059 3,352 2009-07-27 $23.27 $20.00 54.9% 15.7% 38.4% 33.3% 54.0% 4.4% -7.2% 156.9K -12.0M -38.1K 0.33 23.34 N/A N/A 61 20 9,075 3,362 2009-07-28 $23.00 $20.00 50.9% 14.6% 36.0% 28.7% 51.3% 6.6% -2.6% 157.1K -11.6M -38.2K 1.23 27.42 N/A N/A 13 16 9,100 3,362 2009-07-29 $23.00 $20.00 54.8% 15.7% 35.7% 33.1% 55.7% 10.0% -4.3% 157.6K -11.5M -37.7K 3.29 16.34 N/A N/A 223 733 9,099 3,370 2009-07-30 $22.33 $20.00 43.3% 12.4% 37.1% 20.0% 43.6% 3.8% -2.0% 140.7K -10.4M -36.8K 1.30 37.62 N/A N/A 315 409 9,143 3,604 2009-07-31 $23.05 $20.00 40.2% 11.5% 37.1% 16.5% 39.9% 11.4% 1.0% 127.8K -11.5M -37.7K 9.21 35.14 N/A N/A 33 304 9,317 3,980
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