FORM Options History — October 2009 In October 2009, FORM traded between $16.99 and $22.54. ATM implied volatility averaged 49.4%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 18.3% (HV 20d: 31.1%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.27.
Notable Days 2009-10-28 : Highest Volume — 3,936 contracts2009-10-29 : Largest IV drop — 25.4% change2009-10-28 : Highest IV Rank — 53.9%2009-10-28 : Largest Expected Move — 17.6%Monthly Statistics Metric Avg Min Max Open Close Price $19.92 $16.99 $22.54 $22.54 $16.99 Max Pain $20.80 $15.00 $25.00 $15.00 $20.00 ATM IV 49.4% 40.6% 61.3% 43.6% 46.2% Expected Move 14.9% 12.4% 17.6% 12.5% 13.2% HV 20d 31.1% 25.3% 40.5% 40.5% 28.1% HV 60d 35.5% 34.4% 36.4% 35.5% 36.1% IV Rank 30.3% 16.9% 53.9% 20.3% 30.9% IV Percentile 38.0% 11.5% 75.0% 19.4% 30.6% Term Structure -2.7% -8.5% 9.7% 9.7% 1.5% VWIV 51.2% 41.2% 59.9% 41.2% 47.4% Skew 25d 3.1% -5.6% 12.8% -5.6% -2.6% Skew 10d 6.6% -11.8% 18.1% -11.8% -4.8% Call IV 25d 49.9% 34.6% 58.9% 39.4% 49.2% Put IV 25d 52.9% 33.8% 61.6% 33.8% 46.6% Bid-Ask Spread % 17.57 10.67 28.08 25.12 28.08 Gamma HHI 0.36 0.33 0.40 0.37 0.37 Net GEX 483.0K 372.2K 583.8K 415.2K 372.2K Net DEX -16.5M -27.3M -3.8M -27.3M -3.8M Net VEX -113.8K -128.9K -79.8K -121.7K -79.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.27 0.04 0.88 0.26 0.13 Total Volume 1,510.864 459 3,936 588 1,595 Total OI 32,475.273 28,404 35,843 28,404 35,385
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 2009-10-01 $22.54 $15.00 43.6% 12.5% 40.5% 20.3% 41.2% -5.6% 9.7% 415.2K -27.3M -121.7K 0.26 25.12 N/A N/A 468 120 23,344 5,060 2009-10-02 $22.01 $15.00 43.4% 12.4% 40.1% 20.1% 42.6% 12.8% 7.1% 414.3K -25.1M -123.2K 0.31 20.16 N/A N/A 661 203 23,507 5,097 2009-10-05 $21.72 $25.00 44.5% 15.1% 38.1% 21.4% 52.9% 4.7% -4.9% 420.2K -23.4M -119.9K 0.15 14.39 N/A N/A 741 111 23,672 5,084 2009-10-06 $21.78 $22.50 41.6% 14.6% 37.1% 18.1% 53.1% 4.0% -4.0% 430.6K -24.0M -120.7K 0.59 14.67 N/A N/A 406 241 23,928 5,132 2009-10-07 $21.48 $22.50 40.6% 14.7% 25.4% 16.9% 51.2% 5.9% -3.9% 425.1K -22.8M -122.0K 0.40 15.30 N/A N/A 1,510 608 24,142 5,356 2009-10-08 $21.16 $22.50 42.5% 15.3% 25.4% 19.1% 50.5% 4.8% -1.0% 456.7K -21.1M -121.6K 0.56 19.00 N/A N/A 909 513 25,147 5,823 2009-10-09 $20.99 $22.50 51.6% 15.9% 25.3% 29.5% 54.0% 4.6% -5.6% 444.4K -21.1M -121.5K 0.04 16.57 N/A N/A 2,996 122 25,210 5,860 2009-10-12 $20.63 $22.50 56.3% 16.3% 25.3% 35.0% 55.8% 3.4% -5.5% 540.4K -21.7M -126.5K 0.30 11.81 N/A N/A 1,150 343 27,644 5,877 2009-10-13 $20.37 $22.50 51.5% 16.1% 25.3% 29.7% 54.4% 1.7% -5.6% 544.0K -19.9M -124.2K 0.10 15.34 N/A N/A 1,342 138 27,903 6,143 2009-10-14 $20.90 $22.50 46.1% 16.4% 28.2% 25.3% 54.3% 3.5% -8.5% 573.6K -22.8M -128.9K 0.16 10.67 N/A N/A 404 63 28,392 6,156 2009-10-15 $20.62 $22.50 55.3% 15.9% 28.0% 39.1% 52.9% 3.2% -5.5% 583.8K -21.6M -127.8K 0.06 18.60 N/A N/A 1,051 62 28,637 6,108 2009-10-16 $19.40 $22.50 55.0% 15.8% 33.6% 38.7% 54.5% 3.1% -6.0% 547.5K -15.7M -117.7K 0.11 19.71 N/A N/A 2,159 244 29,385 6,027 2009-10-19 $19.30 $20.00 53.5% 15.3% 33.4% 36.6% 53.4% 4.5% -4.2% 554.0K -13.7M -115.9K 0.17 12.51 N/A N/A 1,498 260 27,478 4,815 2009-10-20 $19.26 $20.00 51.7% 14.8% 31.9% 34.3% 51.6% 2.5% -2.8% 542.9K -13.2M -115.0K 0.26 13.32 N/A N/A 527 138 27,554 4,969 2009-10-21 $19.40 $20.00 49.4% 14.2% 31.9% 31.2% 49.4% 4.2% -3.1% 578.3K -13.9M -115.4K 0.66 13.22 N/A N/A 521 346 27,767 5,045 2009-10-22 $19.16 $20.00 48.7% 14.0% 31.9% 30.4% 49.1% 4.0% -2.5% 547.6K -12.0M -113.1K 0.88 12.85 N/A N/A 244 215 27,910 5,293 2009-10-23 $18.62 $20.00 51.2% 14.7% 32.3% 33.6% 49.1% 3.3% -4.0% 491.1K -9.7M -105.4K 0.06 16.21 N/A N/A 2,282 132 27,954 5,399 2009-10-26 $18.25 $20.00 52.9% 15.2% 32.3% 35.8% 51.5% 1.1% -1.2% 430.9K -8.4M -100.2K 0.07 22.45 N/A N/A 1,946 127 27,195 5,447 2009-10-27 $18.07 $20.00 53.0% 15.2% 32.2% 36.1% 52.5% 1.0% -2.4% 441.4K -7.5M -95.8K 0.28 23.02 N/A N/A 902 249 28,117 5,505 2009-10-28 $17.87 $20.00 61.3% 17.6% 30.9% 53.9% 59.9% 2.6% -6.8% 432.8K -7.7M -96.5K 0.13 22.12 N/A N/A 3,474 462 28,421 5,725 2009-10-29 $17.74 $20.00 45.8% 13.1% 26.1% 30.3% 45.3% 0.9% -0.1% 440.0K -5.7M -91.7K 0.16 21.44 N/A N/A 1,518 238 29,864 5,979 2009-10-30 $16.99 $20.00 46.2% 13.2% 28.1% 30.9% 47.4% -2.6% 1.5% 372.2K -3.8M -79.8K 0.13 28.08 N/A N/A 1,407 188 29,458 5,927
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