M Options History — October 2007

In October 2007, M traded between $30.24 and $35.10. ATM implied volatility averaged 44.7%. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 3.7% (HV 20d: 41.0%). Max pain ranged from $30.00 to $37.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.67.

Notable Days

  • 2007-10-02: Highest Volume — 13,997 contracts
  • 2007-10-08: Largest IV spike — 17.4% change
  • 2007-10-16: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.83$30.24$35.10$33.28$32.03
Max Pain$34.67$30.00$37.50$30.00$35.00
ATM IV44.7%34.8%49.9%42.4%46.3%
Expected Move13.2%11.2%14.3%12.1%13.3%
HV 20d41.0%33.8%49.1%48.1%33.9%
HV 60d45.8%43.3%47.9%47.3%43.3%
Term Structure0.1%-5.2%6.4%5.0%3.5%
VWIV47.1%39.1%51.5%44.5%46.8%
Skew 25d0.9%-2.7%4.7%1.4%-0.9%
Skew 10d2.1%-10.3%9.8%-4.5%5.7%
Call IV 25d47.8%41.8%52.2%45.3%49.0%
Put IV 25d48.7%44.4%51.9%46.7%48.1%
Bid-Ask Spread %13.617.5518.0212.6016.87
Gamma HHI0.170.110.440.130.13
Net GEX2.0M108.1K6.2M1.6M1.4M
Net DEX-1.2M-79.8M63.8M-17.0M30.9M
Net VEX-923.7K-1.1M-766.5K-992.0K-854.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.181.871.680.57
Total Volume7,519.4352,11913,9973,4017,672
Total OI235,463.522221,706251,551223,136242,386

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$33.28$30.0042.4%12.1%48.1%0.0%44.5%1.4%5.0%1.6M-17.0M-992.0K1.6812.60N/AN/A1,2702,131145,77377,363
2007-10-02$34.36$30.0042.8%12.3%49.1%0.0%43.2%1.2%2.3%2.0M-45.0M-1.0M0.1813.23N/AN/A11,8802,117145,29877,449
2007-10-03$34.57$30.0041.4%11.9%47.4%0.0%45.1%-1.8%4.2%3.2M-65.9M-1.1M0.2513.18N/AN/A5,5311,391152,17677,629
2007-10-04$33.98$30.0039.0%11.2%48.1%0.0%39.1%2.6%6.4%2.9M-45.8M-1.0M1.0812.11N/AN/A2,0832,256151,88876,849
2007-10-05$35.10$37.5034.8%12.6%46.5%0.0%43.8%2.0%-1.5%3.8M-79.8M-1.1M0.6211.22N/AN/A6,1943,866153,58377,830
2007-10-08$34.12$37.5040.9%13.8%47.3%0.0%48.6%1.4%-5.2%3.3M-50.4M-1.0M0.3313.12N/AN/A8,4532,751155,98479,265
2007-10-09$34.02$37.5039.4%13.4%47.4%0.0%47.7%2.5%-3.9%6.2M-28.2M-1.0M0.2911.58N/AN/A2,871842161,11479,438
2007-10-10$34.50$37.5038.8%13.3%45.8%0.0%46.9%0.7%-3.7%3.4M-56.5M-1.0M0.7714.25N/AN/A2,8022,153154,27679,723
2007-10-11$33.84$37.5045.4%13.0%46.8%0.0%46.0%4.7%-1.5%3.6M-20.4M-980.1K0.5914.63N/AN/A7,7924,628155,01481,503
2007-10-12$33.05$35.0045.9%13.2%47.1%0.0%46.8%0.6%-2.1%2.4M-4.9M-934.5K0.4517.59N/AN/A2,121951158,69181,976
2007-10-15$32.35$35.0048.8%14.0%47.9%0.0%49.2%2.3%-2.4%1.5M17.9M-868.1K1.8715.79N/AN/A1,8543,459156,80782,446
2007-10-16$31.66$35.0049.9%14.3%39.3%0.0%50.0%0.6%-3.7%734.6K30.6M-831.7K0.9418.01N/AN/A6,2745,889157,19683,979
2007-10-17$31.76$35.0047.7%13.7%36.4%0.0%48.0%2.0%-2.4%108.1K34.2M-819.1K0.6415.43N/AN/A4,4162,833157,90686,030
2007-10-18$31.38$35.0047.7%13.7%33.8%0.0%47.5%-2.7%-2.7%503.0K38.7M-810.2K0.2618.02N/AN/A8,6842,289159,89086,110
2007-10-19$30.24$35.0048.0%13.8%34.7%0.0%49.2%1.8%-0.7%1.6M63.8M-766.5K0.5216.19N/AN/A2,6301,365164,18687,365
2007-10-22$30.95$35.0047.7%13.7%36.1%0.0%51.5%-1.2%1.4%279.4K52.6M-817.8K0.2416.78N/AN/A9,2922,202142,49879,208
2007-10-23$31.25$35.0047.9%13.7%34.6%0.0%48.7%2.5%1.5%589.4K50.0M-812.0K1.0913.95N/AN/A3,1213,407147,19080,231
2007-10-24$31.50$35.0047.6%13.7%33.9%0.0%48.9%3.1%0.8%643.8K42.0M-838.9K0.2012.75N/AN/A6,5631,305148,71382,044
2007-10-25$32.46$35.0046.9%13.4%35.2%0.0%47.4%-0.6%3.6%1.2M15.7M-896.0K0.187.55N/AN/A4,676822151,91182,549
2007-10-26$33.00$35.0045.5%13.0%35.5%0.0%46.7%-0.7%1.0%1.6M1.2M-912.2K1.058.57N/AN/A1,0341,085154,01782,654
2007-10-29$33.42$35.0047.1%13.5%34.2%0.0%47.7%-1.6%-1.1%1.8M-13.2M-919.9K1.318.68N/AN/A4,2145,503154,01783,001
2007-10-30$32.31$35.0046.5%13.3%34.1%0.0%49.2%1.6%3.8%1.5M21.0M-873.2K0.3010.94N/AN/A6,3551,920155,79084,715
2007-10-31$32.03$35.0046.3%13.3%33.9%0.0%46.8%-0.9%3.5%1.4M30.9M-854.9K0.5716.87N/AN/A4,8852,787157,68484,702