FORM Options History — August 2009

In August 2009, FORM traded between $20.11 and $22.69. ATM implied volatility averaged 41.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 6.1% (HV 20d: 35.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 4.05.

Notable Days

  • 2009-08-28: Highest Volume — 307 contracts
  • 2009-08-12: Largest IV drop — 33.3% change
  • 2009-08-11: Highest IV Rank — 24.4%
  • 2009-08-10: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.56$20.11$22.69$22.69$21.94
Max Pain$22.02$20.00$22.50$20.00$22.50
ATM IV41.7%31.4%47.1%44.2%40.1%
Expected Move12.1%11.2%13.8%12.7%11.5%
HV 20d35.5%28.3%40.2%32.0%36.8%
HV 60d44.7%42.3%46.3%45.9%42.4%
IV Rank18.1%6.4%24.4%21.1%16.4%
IV Percentile6.2%0.4%15.9%6.3%4.4%
Term Structure1.0%-1.7%5.2%-1.0%1.0%
VWIV40.9%34.2%46.0%44.2%40.2%
Skew 25d10.0%4.1%16.1%9.8%12.3%
Skew 10d15.3%-0.4%25.5%4.7%14.1%
Call IV 25d35.7%29.4%43.4%36.4%33.4%
Put IV 25d45.8%43.0%48.2%46.2%45.7%
Bid-Ask Spread %33.9917.4852.3544.8717.48
Gamma HHI0.460.280.640.360.37
Net GEX122.5K22.3K236.1K122.0K91.1K
Net DEX-7.9M-10.7M-5.3M-10.7M-7.6M
Net VEX-33.8K-38.5K-30.2K-38.5K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.050.0060.252.640.14
Total Volume144.429130751130
Total OI12,847.57110,91713,76713,30411,357

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$22.69$20.0044.2%12.7%32.0%21.1%44.2%9.8%-1.0%122.0K-10.7M-38.5K2.6444.87N/AN/A14379,3034,001
2009-08-04$22.60$20.0041.8%12.0%28.3%18.3%41.8%5.9%0.2%125.4K-10.5M-37.9K0.0034.60N/AN/A0619,3084,012
2009-08-05$22.02$20.0040.4%11.6%30.0%16.6%44.5%16.0%3.6%126.2K-9.4M-37.5K2.6827.74N/AN/A22599,3084,004
2009-08-06$21.47$20.0042.2%12.1%30.9%18.7%42.7%6.7%-0.5%127.8K-8.5M-37.0K1.7126.32N/AN/A48829,3274,049
2009-08-07$21.61$22.5040.4%11.5%30.6%16.7%0.0%4.5%5.2%124.7K-8.8M-36.6K0.3346.86N/AN/A30109,3754,063
2009-08-10$21.12$22.5046.3%13.8%30.1%23.4%46.0%8.8%-1.5%138.5K-7.8M-35.7K60.2538.64N/AN/A42419,3984,064
2009-08-11$20.60$22.5047.1%13.7%31.2%24.4%0.0%12.9%0.7%144.5K-6.6M-35.4K0.2528.03N/AN/A3699,3964,237
2009-08-12$21.56$22.5031.4%12.1%34.2%6.4%42.3%16.1%-1.7%114.2K-8.5M-35.2K0.5252.35N/AN/A142749,4004,218
2009-08-13$21.81$22.5041.4%11.9%34.2%17.8%40.7%9.1%2.5%126.8K-8.8M-35.4K0.0448.69N/AN/A11159,4844,222
2009-08-14$20.91$22.5045.5%13.0%37.1%22.5%39.0%11.3%-0.4%188.8K-7.1M-34.3K2.8434.20N/AN/A431229,4464,222
2009-08-17$20.11$22.5046.2%13.2%39.3%23.3%40.1%4.1%1.3%190.0K-5.3M-33.4K0.0827.89N/AN/A274239,4594,308
2009-08-18$20.40$22.5045.6%13.1%39.5%22.6%0.0%6.2%1.2%236.1K-5.9M-32.9K0.0022.92N/AN/A109,3924,295
2009-08-19$20.68$22.5045.5%13.1%37.3%22.6%45.6%4.1%-0.9%182.5K-6.4M-31.7K1.7632.75N/AN/A25449,3414,295
2009-08-20$21.26$22.5039.9%11.4%38.7%16.1%42.9%8.2%3.3%91.9K-7.8M-31.8K5.6834.02N/AN/A442509,3414,297
2009-08-21$21.91$22.5039.2%11.2%40.2%15.3%34.2%6.0%1.7%22.3K-9.0M-31.2K0.1351.44N/AN/A139189,3414,297
2009-08-24$21.93$22.5039.9%11.4%40.2%16.1%40.0%15.5%1.8%73.7K-7.3M-31.1K0.1222.08N/AN/A267327,3923,525
2009-08-25$21.93$22.5039.1%11.2%40.1%15.2%39.1%13.3%2.0%89.3K-7.6M-30.8K0.7619.79N/AN/A1431097,5813,530
2009-08-26$22.04$22.5039.1%11.2%40.1%15.2%39.3%14.4%1.1%86.8K-7.7M-30.9K0.0020.56N/AN/A807,5343,532
2009-08-27$22.00$22.5040.3%11.6%38.8%16.6%34.4%11.5%0.1%84.1K-7.6M-30.2K0.6032.27N/AN/A43267,5343,532
2009-08-28$22.15$22.5039.3%11.3%37.0%15.4%39.3%14.0%1.2%86.7K-7.7M-30.5K0.3650.27N/AN/A225827,5213,558
2009-08-31$21.94$22.5040.1%11.5%36.8%16.4%40.2%12.3%1.0%91.1K-7.6M-31.3K0.1417.48N/AN/A114167,7293,628