FORM Options History — November 2009

In November 2009, FORM traded between $16.34 and $18.37. ATM implied volatility averaged 42.9%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 9.9% (HV 20d: 33.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2009-11-03: Highest Volume — 1,566 contracts
  • 2009-11-24: Largest IV drop — 8.8% change
  • 2009-11-05: Highest IV Rank — 36.3%
  • 2009-11-05: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.32$16.34$18.37$16.76$16.95
Max Pain$18.00$17.50$20.00$20.00$17.50
ATM IV42.9%37.5%49.8%44.7%37.8%
Expected Move12.2%10.7%14.3%12.8%10.8%
HV 20d33.0%27.4%35.9%28.1%32.6%
HV 60d34.7%33.4%36.1%36.1%34.6%
IV Rank26.5%19.1%36.3%28.7%21.4%
IV Percentile19.6%2.4%42.1%24.2%3.2%
Term Structure1.1%-3.9%4.7%2.0%2.5%
VWIV43.1%37.5%51.5%45.7%37.8%
Skew 25d4.2%0.1%8.9%5.0%8.5%
Skew 10d9.8%-6.8%18.3%2.1%14.9%
Call IV 25d42.5%34.3%49.2%49.2%34.3%
Put IV 25d46.7%42.1%54.2%54.2%42.8%
Bid-Ask Spread %27.9118.5636.9933.0530.44
Gamma HHI0.340.280.720.360.33
Net GEX457.0K288.5K2.0M322.6K294.7K
Net DEX-5.5M-9.8M-1.4M-2.1M-4.4M
Net VEX-78.4K-90.0K-66.7K-73.3K-66.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.011.120.231.11
Total Volume514.1911,566585289
Total OI34,507.8528,81737,52635,00828,903

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$16.76$20.0044.7%12.8%28.1%28.7%45.7%5.0%2.0%322.6K-2.1M-73.3K0.2333.05N/AN/A47710829,1205,888
2009-11-03$16.53$20.0045.3%13.0%27.4%29.6%46.6%1.8%0.2%288.5K-1.4M-70.5K0.0630.09N/AN/A1,4729428,9595,906
2009-11-04$16.34$20.0046.0%13.2%27.5%30.6%48.8%7.7%2.5%302.8K-2.0M-70.8K0.9224.68N/AN/A837629,9025,951
2009-11-05$16.73$20.0049.8%14.3%30.5%36.3%50.3%8.9%-3.9%331.2K-3.0M-75.3K0.1619.37N/AN/A4767529,9155,849
2009-11-06$17.11$17.5046.8%13.5%32.8%31.8%46.8%3.3%-1.7%379.9K-4.6M-82.4K0.3418.56N/AN/A56018830,1625,900
2009-11-09$17.25$17.5047.0%13.1%33.3%32.1%45.6%3.3%-0.7%398.1K-5.1M-81.8K0.1418.63N/AN/A4115730,3675,767
2009-11-10$17.00$17.5044.1%12.4%33.3%27.7%43.3%3.2%1.3%374.1K-4.1M-75.8K0.1721.08N/AN/A2754630,4985,719
2009-11-11$17.65$17.5045.0%11.7%35.2%29.0%51.5%0.1%4.7%443.9K-6.4M-84.5K0.4121.89N/AN/A1757130,6005,733
2009-11-12$17.33$17.5041.7%12.0%35.3%24.1%42.0%5.2%2.1%409.0K-5.3M-80.8K0.1521.35N/AN/A6359830,5945,786
2009-11-13$17.57$17.5042.0%12.1%30.2%24.6%0.0%2.7%1.4%436.2K-5.9M-81.3K0.0126.59N/AN/A453330,8415,860
2009-11-16$18.37$17.5043.8%12.6%35.0%27.3%41.7%3.8%-0.2%511.2K-9.6M-89.4K0.5726.66N/AN/A89651531,1225,861
2009-11-17$18.29$17.5042.5%12.2%35.0%25.3%41.2%4.0%1.8%446.5K-9.8M-90.0K1.0226.75N/AN/A505131,5575,969
2009-11-18$17.85$17.5042.6%12.2%35.6%25.5%42.4%3.2%1.3%479.3K-8.0M-84.7K0.3534.38N/AN/A1886531,5725,752
2009-11-19$17.65$17.5041.6%11.9%35.6%23.9%40.6%3.4%0.1%474.5K-6.9M-81.1K1.1236.15N/AN/A14416131,5235,724
2009-11-20$17.50$17.5040.7%11.7%34.4%22.5%39.5%2.1%1.9%2.0M-6.3M-80.0K0.1532.02N/AN/A95914731,5075,816
2009-11-23$17.66$17.5041.1%11.8%34.1%23.9%39.6%3.5%0.3%341.9K-7.1M-79.3K0.5833.83N/AN/A26015223,9314,893
2009-11-24$17.55$17.5037.5%10.7%34.0%19.1%37.5%2.9%2.9%327.3K-6.2M-75.2K0.0536.99N/AN/A151724,0794,912
2009-11-25$17.44$17.5037.7%10.8%33.8%20.5%37.7%2.9%2.7%327.0K-6.4M-75.9K0.0434.04N/AN/A3101324,0524,765
2009-11-27$16.84$17.5040.5%11.6%35.9%26.2%40.5%8.9%0.2%294.6K-4.7M-68.9K0.2831.75N/AN/A712024,2154,687
2009-11-30$16.95$17.5037.8%10.8%32.6%21.4%37.8%8.5%2.5%294.7K-4.4M-66.7K1.1130.44N/AN/A13715224,2214,682