M Options History — August 2007

In August 2007, M traded between $29.85 and $35.96. ATM implied volatility averaged 50.5%. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 4.2% (HV 20d: 46.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2007-08-03: Highest Volume — 16,719 contracts
  • 2007-08-15: Largest IV drop — 25.9% change
  • 2007-08-02: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.43$29.85$35.96$35.60$31.72
Max Pain$36.74$35.00$40.00$40.00$35.00
ATM IV50.5%39.8%76.4%50.9%43.1%
Expected Move13.4%11.4%14.9%14.6%12.4%
HV 20d46.3%41.3%52.1%46.3%48.2%
HV 60d41.3%39.9%43.5%40.7%43.5%
Term Structure-1.5%-5.7%2.2%-3.2%0.0%
VWIV47.4%39.9%59.8%53.0%43.4%
Skew 25d1.4%-5.6%9.0%-2.2%-3.5%
Skew 10d2.3%-12.7%18.0%0.2%-12.7%
Call IV 25d47.2%37.9%59.7%54.8%44.2%
Put IV 25d48.6%40.7%55.1%52.6%40.7%
Bid-Ask Spread %18.226.6229.9215.4112.40
Gamma HHI0.160.130.230.160.13
Net GEX-634.3K-1.5M499.2K103.1K44.8K
Net DEX134.9M75.7M210.3M118.6M75.7M
Net VEX-980.3K-1.4M-729.7K-1.4M-876.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.212.921.820.37
Total Volume8,973.9132,04016,71910,4443,219
Total OI259,936.826177,238316,299316,299202,770

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$35.60$40.0050.9%14.6%46.3%0.0%53.0%-2.2%-3.2%103.1K118.6M-1.4M1.8215.41N/AN/A3,7026,742195,219121,080
2007-08-02$35.96$40.0051.9%14.9%46.3%0.0%54.3%-2.5%-5.7%499.2K104.9M-1.4M0.2617.78N/AN/A12,0703,090195,988114,958
2007-08-03$33.70$40.0050.8%14.6%45.4%0.0%59.8%-5.6%-1.6%-453.9K154.3M-1.2M0.5124.15N/AN/A11,0835,636195,436113,705
2007-08-06$34.89$40.0057.4%14.3%48.2%0.0%51.2%2.4%-1.8%-1.0M152.3M-1.3M1.3717.43N/AN/A4,9216,742196,100115,693
2007-08-07$34.60$40.0054.6%14.0%47.0%0.0%48.9%0.5%-4.6%-621.4K151.2M-1.2M0.4420.40N/AN/A6,3492,770195,704117,369
2007-08-08$35.54$40.0055.0%12.9%48.3%0.0%45.7%1.4%-1.8%-346.5K124.3M-1.3M0.2824.18N/AN/A6,8001,901195,876117,098
2007-08-09$33.56$40.0055.6%13.4%51.0%0.0%48.2%1.2%-2.2%-1.2M177.7M-1.1M0.6419.86N/AN/A3,8812,503197,151115,988
2007-08-10$33.63$37.5056.9%13.9%50.6%0.0%48.9%-1.2%-1.4%-1.0M177.9M-1.1M0.7425.38N/AN/A5,2053,830198,083116,085
2007-08-13$33.36$37.5066.1%14.3%50.2%0.0%50.3%0.2%-3.1%-1.1M179.8M-1.1M2.9221.79N/AN/A1,1223,277197,806115,881
2007-08-14$31.73$35.0076.4%14.6%52.1%0.0%52.0%-0.5%-4.6%-1.5M206.6M-927.7K0.4928.52N/AN/A11,0795,441197,951115,744
2007-08-15$31.10$35.0056.6%14.0%41.3%0.0%48.8%-0.7%-1.9%-1.5M210.3M-856.1K1.0329.92N/AN/A7,3357,540203,836112,220
2007-08-16$30.33$35.0051.2%14.7%41.4%0.0%51.2%5.0%-2.1%-1.4M198.9M-804.9K1.3815.38N/AN/A6,1508,514207,398106,561
2007-08-17$30.91$35.0045.8%13.1%43.3%0.0%44.9%4.5%-1.4%-557.7K192.0M-818.1K1.9515.02N/AN/A2,3204,519208,183104,714
2007-08-20$30.74$35.0043.3%12.4%43.1%0.0%43.4%2.2%-0.3%-598.9K107.9M-745.2K1.6817.29N/AN/A3,9956,727106,01571,223
2007-08-21$30.63$35.0042.0%12.0%43.2%0.0%42.0%2.9%2.2%-758.2K108.9M-739.8K0.2617.27N/AN/A6,6871,751107,36575,046
2007-08-22$31.13$35.0039.8%11.4%44.5%0.0%39.9%3.1%2.1%-778.4K104.6M-729.7K0.6313.99N/AN/A3,0931,941109,02475,268
2007-08-23$31.13$35.0041.8%12.0%41.9%0.0%41.8%2.5%-0.8%-699.1K99.8M-767.1K1.4518.81N/AN/A2,6593,860110,85076,232
2007-08-24$31.78$35.0042.3%12.1%42.5%0.0%41.1%5.8%-0.3%-665.8K95.6M-781.9K0.2119.20N/AN/A5,7841,242112,45276,469
2007-08-27$31.40$35.0043.8%12.6%42.5%0.0%43.9%1.6%-0.8%-377.5K90.7M-807.5K0.8012.72N/AN/A1,131909116,46275,842
2007-08-28$29.85$35.0046.3%13.3%45.2%0.0%47.1%4.6%-1.3%-455.0K104.4M-732.8K0.519.15N/AN/A6,4783,329116,63875,986
2007-08-29$31.69$35.0045.8%13.1%51.4%0.0%45.4%9.0%-1.6%-34.2K78.6M-863.5K1.0716.32N/AN/A1,8121,936121,57277,171
2007-08-30$30.87$35.0044.0%12.6%51.5%0.0%45.0%2.0%0.4%-153.9K87.9M-828.5K1.146.62N/AN/A2,4912,834122,25278,083
2007-08-31$31.72$35.0043.1%12.4%48.2%0.0%43.4%-3.5%0.0%44.8K75.7M-876.2K0.3712.40N/AN/A2,357862123,53679,234