FORM Options History — September 2009

In September 2009, FORM traded between $22.00 and $25.88. ATM implied volatility averaged 39.9%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 5.6% (HV 20d: 34.3%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2009-09-18: Highest Volume — 13,024 contracts
  • 2009-09-09: Largest IV spike — 19.1% change
  • 2009-09-15: Highest IV Rank — 19.9%
  • 2009-09-09: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.38$22.00$25.88$22.00$23.92
Max Pain$16.07$15.00$22.50$22.50$15.00
ATM IV39.9%33.9%43.3%40.8%37.3%
Expected Move11.7%10.7%12.6%11.7%10.7%
HV 20d34.3%29.4%40.0%36.8%34.0%
HV 60d38.9%33.2%42.9%42.3%33.2%
IV Rank16.1%9.3%19.9%17.2%13.2%
IV Percentile6.8%1.2%17.5%7.5%2.0%
Term Structure5.4%1.7%9.6%1.7%9.6%
VWIV42.5%39.2%52.9%40.5%39.7%
Skew 25d9.5%3.6%17.9%12.0%5.9%
Skew 10d15.4%-2.2%28.5%16.7%-1.3%
Call IV 25d35.1%25.4%43.0%32.1%37.8%
Put IV 25d44.7%41.9%48.5%44.1%43.6%
Bid-Ask Spread %22.5813.0345.4225.4617.09
Gamma HHI0.350.300.420.390.37
Net GEX201.9K67.8K424.6K96.2K424.6K
Net DEX-19.6M-35.1M-7.8M-7.8M-32.4M
Net VEX-62.7K-124.0K-27.4K-31.7K-124.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.0216.300.440.36
Total Volume1,204.6193013,024274698
Total OI17,557.57111,46628,04111,46628,041

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$22.00$22.5040.8%11.7%36.8%17.2%40.5%12.0%1.7%96.2K-7.8M-31.7K0.4425.46N/AN/A190847,8343,632
2009-09-02$22.36$22.5040.6%11.7%36.1%17.0%40.7%15.2%1.9%96.6K-8.6M-32.3K0.2725.14N/AN/A44127,9313,680
2009-09-03$22.96$22.5039.2%11.2%35.8%15.3%39.2%17.9%3.9%100.2K-9.5M-31.3K0.1228.61N/AN/A439517,9383,668
2009-09-04$23.72$15.0033.9%12.5%37.3%9.3%39.8%12.9%3.4%113.5K-11.0M-32.1K1.0227.37N/AN/A46478,1993,673
2009-09-08$24.20$15.0034.3%11.5%36.2%9.7%0.0%12.0%5.0%104.7K-11.9M-30.3K0.1521.58N/AN/A2648,2023,717
2009-09-09$25.88$15.0040.9%12.6%40.0%17.2%43.4%7.5%3.2%86.3K-14.4M-27.4K0.5645.42N/AN/A169948,2173,716
2009-09-10$25.82$15.0041.9%12.0%38.2%18.4%42.3%8.3%5.1%97.7K-14.5M-28.2K0.6522.94N/AN/A2421588,3453,729
2009-09-11$25.67$15.0041.0%11.8%38.5%17.4%52.9%5.8%5.4%89.9K-14.4M-28.4K1.1525.88N/AN/A33388,4033,852
2009-09-14$25.58$15.0043.0%12.3%34.0%19.6%44.0%8.2%4.2%90.6K-14.3M-28.4K16.3029.92N/AN/A376038,4353,882
2009-09-15$25.41$15.0043.3%12.4%29.4%19.9%0.0%6.2%2.7%70.3K-13.5M-30.9K0.1026.66N/AN/A4858,4304,436
2009-09-16$24.90$15.0043.0%12.3%31.5%19.6%44.7%5.5%2.2%67.8K-12.6M-31.8K0.9421.95N/AN/A81768,4134,440
2009-09-17$24.45$15.0041.7%12.0%33.0%18.2%49.1%12.1%3.5%71.7K-11.9M-32.2K1.4420.53N/AN/A861248,4664,500
2009-09-18$24.34$15.0039.6%11.3%32.5%15.7%43.1%10.2%4.7%67.9K-11.8M-32.3K0.0214.89N/AN/A12,7662588,5104,521
2009-09-21$24.34$15.0039.2%11.2%31.4%15.3%42.4%8.9%7.3%290.2K-25.8M-90.6K0.0920.24N/AN/A3,34329717,3054,389
2009-09-22$24.76$15.0038.8%11.1%31.6%14.9%39.9%11.2%8.7%334.4K-31.0M-106.2K0.0521.73N/AN/A2,63914319,8304,595
2009-09-23$24.91$15.0039.6%11.3%31.5%15.8%40.6%11.5%7.5%396.2K-35.1M-118.3K0.2313.03N/AN/A4099421,9464,719
2009-09-24$24.50$15.0038.5%11.0%32.5%14.5%43.8%9.8%8.5%404.0K-33.4M-119.3K0.1120.08N/AN/A3824222,1144,770
2009-09-25$24.35$15.0039.1%11.2%32.7%15.2%42.1%7.3%9.0%410.9K-33.2M-119.8K0.1415.33N/AN/A4265922,3754,799
2009-09-28$24.20$15.0038.1%10.9%32.9%14.1%40.1%8.0%8.6%410.7K-33.1M-120.1K0.1116.19N/AN/A3233722,5784,845
2009-09-29$23.67$15.0043.3%12.4%33.9%19.9%39.2%3.6%7.2%415.1K-31.2M-121.0K0.0814.09N/AN/A5984622,7624,872
2009-09-30$23.92$15.0037.3%10.7%34.0%13.2%39.7%5.9%9.6%424.6K-32.4M-124.0K0.3617.09N/AN/A51518323,1354,906