M Options History — July 2007

In July 2007, M traded between $36.07 and $43.09. ATM implied volatility averaged 42.5%. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.6% (HV 20d: 39.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2007-07-18: Highest Volume — 144,445 contracts
  • 2007-07-06: Largest IV spike — 63.9% change
  • 2007-07-30: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.01$36.07$43.09$39.83$36.07
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV42.5%26.5%53.6%29.5%53.0%
Expected Move11.9%7.6%15.4%8.5%15.2%
HV 20d39.9%30.6%47.1%30.6%46.3%
Term Structure-6.8%-14.5%6.0%2.4%-7.8%
VWIV43.1%27.1%56.8%29.7%55.1%
Skew 25d-7.4%-11.9%4.5%-9.2%-7.8%
Skew 10d-13.5%-23.4%10.1%-20.7%-14.0%
Call IV 25d46.8%32.9%59.6%37.1%59.6%
Put IV 25d39.4%24.7%53.0%27.9%51.8%
Bid-Ask Spread %14.967.4724.5715.1814.07
Gamma HHI0.190.160.240.200.16
Net GEX9.4M673.7K16.4M10.1M876.1K
Net DEX-107.5M-358.6M96.9M-91.8M93.4M
Net VEX-1.7M-1.9M-1.5M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.132.391.632.39
Total Volume27,294.2381,984144,4458,13410,064
Total OI317,274.143271,339383,631271,339319,538

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$39.83$40.0029.5%8.5%30.6%0.0%29.7%-9.2%2.4%10.1M-91.8M-1.5M1.6315.18N/AN/A3,0975,037178,47492,865
2007-07-03$39.36$40.0026.5%7.6%30.9%0.0%27.1%-8.3%6.0%9.9M-60.9M-1.5M0.3812.33N/AN/A1,437547179,27992,481
2007-07-05$39.77$40.0030.6%8.8%30.7%0.0%33.0%-10.3%3.4%10.6M-93.3M-1.5M0.3216.63N/AN/A13,8704,393179,41992,636
2007-07-06$41.99$40.0050.2%11.4%34.4%0.0%39.8%-9.3%-9.3%12.2M-260.8M-1.7M0.4114.18N/AN/A48,59920,075186,75696,151
2007-07-09$41.65$40.0049.8%12.2%34.2%0.0%45.5%-9.5%-11.0%12.9M-242.5M-1.8M0.5110.69N/AN/A15,6457,923203,092109,375
2007-07-10$40.13$40.0041.7%11.1%37.1%0.0%44.1%-10.1%-7.9%12.2M-135.8M-1.7M0.3213.69N/AN/A14,3164,558208,466107,131
2007-07-11$40.41$40.0040.5%11.2%37.0%0.0%41.9%-10.5%-8.4%12.8M-147.6M-1.7M0.7615.44N/AN/A2,2651,728213,499107,354
2007-07-12$39.25$40.0039.7%11.4%38.6%0.0%39.3%-10.4%-8.6%9.4M-56.0M-1.6M0.4215.08N/AN/A17,4597,263211,964107,910
2007-07-13$39.75$40.0039.5%11.3%38.8%0.0%42.3%-9.2%-8.7%12.3M-90.6M-1.7M0.1316.14N/AN/A11,2261,467220,254112,958
2007-07-16$40.14$40.0042.2%12.1%38.6%0.0%43.8%-9.8%-11.3%14.5M-132.8M-1.7M0.1715.57N/AN/A16,1032,788222,691111,884
2007-07-17$40.03$40.0041.4%11.9%38.6%0.0%40.3%-11.9%-9.0%14.8M-118.4M-1.6M2.3812.95N/AN/A3,6238,640223,215112,586
2007-07-18$43.09$40.0049.5%14.2%46.2%0.0%50.0%0.4%-14.5%16.2M-358.6M-1.7M0.3124.57N/AN/A110,56833,877218,625118,731
2007-07-19$42.40$40.0047.1%13.5%46.7%0.0%47.8%-3.9%-13.3%16.4M-294.4M-1.9M0.5516.11N/AN/A27,57715,181250,427133,204
2007-07-20$41.92$40.0045.6%13.1%47.1%0.0%46.1%-6.2%-12.6%11.2M-209.3M-1.8M0.7213.12N/AN/A13,4729,661242,520136,692
2007-07-23$41.86$40.0041.4%11.9%41.4%0.0%42.4%-7.9%-6.1%7.6M-154.0M-1.8M0.6617.78N/AN/A18,31011,993177,012115,416
2007-07-24$40.84$40.0036.6%10.5%41.6%0.0%41.0%-8.6%-3.3%5.9M-86.5M-1.7M0.4410.68N/AN/A19,0338,333183,957121,181
2007-07-25$40.15$40.0035.6%10.2%41.2%0.0%38.7%-9.4%-1.7%5.3M-56.1M-1.8M0.397.47N/AN/A8,3193,230194,337123,660
2007-07-26$38.04$40.0049.4%14.2%45.4%0.0%49.4%4.5%-7.0%1.3M60.3M-1.7M0.6819.38N/AN/A21,31214,595190,600123,693
2007-07-27$36.90$40.0049.4%14.2%46.2%0.0%50.1%-3.7%-5.1%1.0M80.4M-1.6M1.2320.35N/AN/A7,4389,142196,090123,970
2007-07-30$36.59$40.0053.6%15.4%46.2%0.0%56.8%-5.2%-8.5%673.7K96.9M-1.6M0.8812.69N/AN/A10,1078,908196,107126,557
2007-07-31$36.07$40.0053.0%15.2%46.3%0.0%55.1%-7.8%-7.8%876.1K93.4M-1.5M2.3914.07N/AN/A2,9697,095196,890122,648