M Options History — September 2007

In September 2007, M traded between $28.83 and $33.72. ATM implied volatility averaged 46.0%. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 1.8% (HV 20d: 47.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.54.

Notable Days

  • 2007-09-14: Highest Volume — 40,359 contracts
  • 2007-09-10: Largest IV spike — 11.9% change
  • 2007-09-14: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.21$28.83$33.72$31.47$32.32
Max Pain$30.26$30.00$35.00$35.00$30.00
ATM IV46.0%42.6%51.6%48.4%45.5%
Expected Move13.1%12.2%14.8%13.9%13.0%
HV 20d47.8%41.4%55.8%46.1%48.0%
HV 60d45.9%43.3%48.3%43.3%48.3%
Term Structure0.2%-3.3%4.1%-3.3%0.4%
VWIV46.2%43.0%53.7%48.4%44.0%
Skew 25d-0.5%-9.5%5.4%-2.0%2.8%
Skew 10d-1.2%-17.8%14.8%-2.2%3.4%
Call IV 25d46.9%42.0%55.9%46.1%42.0%
Put IV 25d46.4%37.6%51.5%44.1%44.9%
Bid-Ask Spread %11.406.7324.657.5311.00
Gamma HHI0.150.110.300.130.11
Net GEX887.2K-545.8K4.3M-129.6K1.1M
Net DEX43.5M-59.2M114.2M82.4M8.9M
Net VEX-879.9K-1.1M-693.5K-814.9K-949.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.081.850.250.25
Total Volume9,939.8951,76240,3593,2195,596
Total OI222,931.263202,044249,333202,044221,331

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$31.47$35.0048.4%13.9%46.1%0.0%48.4%-2.0%-3.3%-129.6K82.4M-814.9K0.257.53N/AN/A2,577642123,36378,681
2007-09-05$30.57$30.0045.7%13.1%46.9%0.0%46.1%-9.5%-1.7%-195.9K95.7M-747.3K0.148.85N/AN/A3,426494124,41178,900
2007-09-06$30.87$30.0043.8%12.6%45.6%0.0%43.9%-5.7%-1.5%-49.7K89.6M-765.6K0.326.73N/AN/A6,5332,058126,01878,964
2007-09-07$29.76$30.0043.1%12.3%43.1%0.0%43.0%3.2%2.7%-252.2K104.8M-703.8K1.437.83N/AN/A3,0304,336127,40279,363
2007-09-10$29.21$30.0048.2%13.2%43.2%0.0%46.6%4.8%-0.5%-545.8K114.2M-693.5K0.2612.20N/AN/A5,2911,382126,88682,155
2007-09-11$29.60$30.0044.4%13.1%43.8%0.0%45.7%4.9%-0.1%-412.0K108.3M-727.9K0.0810.33N/AN/A8,666667129,59283,146
2007-09-12$28.83$30.0044.4%12.3%41.4%0.0%43.5%2.8%2.1%-117.7K109.2M-734.0K0.1010.70N/AN/A7,174731136,34883,455
2007-09-13$29.25$30.0047.3%13.6%41.5%0.0%46.7%5.4%-1.9%-10.4K88.0M-743.7K0.2114.87N/AN/A14,3213,048136,15379,394
2007-09-14$30.18$30.0051.6%14.8%42.4%0.0%53.7%-4.4%-0.5%1.2M52.8M-864.0K0.1013.69N/AN/A36,7693,590144,55879,971
2007-09-17$29.95$30.0049.0%14.0%41.8%0.0%50.2%-2.3%2.4%2.0M50.0M-866.6K0.3814.19N/AN/A10,4513,988165,08381,292
2007-09-18$32.44$30.0047.0%13.5%50.8%0.0%47.2%-2.0%-1.0%2.9M-22.1M-1.0M0.2224.65N/AN/A20,2974,498164,88582,858
2007-09-19$33.72$30.0045.1%12.9%52.3%0.0%45.0%-3.5%0.7%4.3M-59.2M-1.1M0.4011.54N/AN/A9,9033,991166,41682,917
2007-09-20$32.37$30.0043.6%12.5%54.5%0.0%44.3%-1.3%1.4%967.0K-565.5K-997.6K0.539.29N/AN/A4,1102,164161,90284,361
2007-09-21$33.12$30.0043.5%12.5%55.0%0.0%44.8%-2.8%-0.4%1.2M-22.3M-1.0M0.159.75N/AN/A3,287478162,19883,757
2007-09-24$32.95$30.0046.3%13.3%54.7%0.0%45.8%-2.9%0.7%1.4M-7.9M-1.0M0.6410.68N/AN/A1,9381,238141,95876,427
2007-09-25$31.91$30.0048.4%13.9%55.8%0.0%47.8%2.3%-0.8%1.1M16.0M-967.5K1.789.63N/AN/A3,0845,493142,44076,704
2007-09-26$32.55$30.0046.2%13.3%52.7%0.0%47.6%3.5%1.5%1.3M1.7M-993.7K1.2415.71N/AN/A8221,023143,79077,021
2007-09-27$32.00$30.0042.6%12.2%48.9%0.0%43.3%-2.7%4.1%1.0M17.4M-952.0K1.857.45N/AN/A6181,144144,01477,580
2007-09-28$32.32$30.0045.5%13.0%48.0%0.0%44.0%2.8%0.4%1.1M8.9M-949.7K0.2511.00N/AN/A4,4611,135143,99977,332