M Options History — November 2007 In November 2007, M traded between $27.30 and $31.54. ATM implied volatility averaged 55.5%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 12.2% (HV 20d: 43.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.60.
Notable Days 2007-11-14 : Highest Volume — 34,483 contracts2007-11-14 : Largest IV drop — 39.4% change2007-11-29 : Highest IV Rank — 52.7%2007-11-12 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $29.36 $27.30 $31.54 $31.54 $29.65 Max Pain $31.43 $30.00 $35.00 $35.00 $30.00 ATM IV 55.5% 45.4% 77.8% 46.9% 47.6% Expected Move 14.5% 13.0% 16.1% 13.5% 13.6% HV 20d 43.3% 29.4% 57.4% 33.9% 57.4% HV 60d 44.2% 40.3% 47.3% 43.0% 47.0% IV Rank 51.2% 49.6% 52.7% 52.7% 49.6% IV Percentile 67.6% 62.2% 73.0% 73.0% 62.2% Term Structure 2.0% -2.9% 5.1% 4.4% 4.2% VWIV 51.7% 47.6% 57.0% 47.9% 48.0% Skew 25d 5.9% -0.7% 11.9% 5.4% 6.2% Skew 10d 10.5% -2.5% 20.8% 10.7% 9.6% Call IV 25d 50.0% 45.7% 54.3% 48.0% 48.2% Put IV 25d 55.9% 50.2% 61.2% 53.5% 54.4% Bid-Ask Spread % 17.72 10.40 25.71 17.86 21.36 Gamma HHI 0.20 0.12 0.30 0.15 0.28 Net GEX 1.2M 429.5K 2.0M 1.5M 2.0M Net DEX 47.4M -11.3M 104.4M 37.6M -3.2M Net VEX -683.6K -829.0K -568.0K -829.0K -727.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.13 1.84 0.80 0.29 Total Volume 10,748.571 3,291 34,483 4,629 4,105 Total OI 220,434.476 165,032 264,876 243,670 185,574
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-11-01 $31.54 $35.00 46.9% 13.5% 33.9% 0.0% 47.9% 5.4% 4.4% 1.5M 37.6M -829.0K 0.80 17.86 N/A N/A 2,573 2,056 160,548 83,122 2007-11-02 $31.11 $35.00 50.1% 14.4% 31.2% 0.0% 51.7% 4.0% 1.1% 1.5M 51.0M -777.5K 0.82 10.40 N/A N/A 4,350 3,554 161,567 82,367 2007-11-05 $30.70 $35.00 56.8% 14.9% 30.2% 0.0% 51.2% 2.8% -0.9% 1.2M 50.2M -767.9K 0.32 15.39 N/A N/A 6,809 2,163 160,279 82,460 2007-11-06 $30.51 $35.00 61.3% 15.0% 30.2% 0.0% 49.9% 3.9% -0.5% 1.2M 55.9M -754.0K 0.32 16.21 N/A N/A 4,961 1,587 162,654 82,842 2007-11-07 $29.91 $35.00 64.4% 14.8% 29.7% 0.0% 51.8% 4.1% -0.5% 1.2M 65.5M -701.0K 0.66 15.74 N/A N/A 5,856 3,874 165,057 82,511 2007-11-08 $29.89 $35.00 63.7% 14.9% 29.4% 0.0% 52.6% 6.6% 0.9% 910.0K 80.0M -687.6K 1.84 24.69 N/A N/A 3,574 6,584 165,326 85,188 2007-11-09 $28.49 $30.00 66.3% 15.8% 32.4% 0.0% 55.1% 3.9% -0.4% 429.5K 100.3M -636.2K 0.26 23.45 N/A N/A 7,648 1,990 166,866 86,814 2007-11-12 $28.75 $30.00 77.8% 16.1% 32.5% 0.0% 56.3% 5.6% -1.4% 515.8K 97.8M -626.5K 0.18 16.73 N/A N/A 10,744 1,901 168,039 86,771 2007-11-13 $30.65 $30.00 77.5% 13.2% 40.3% 0.0% 47.6% -0.7% 4.7% 2.0M 50.9M -716.4K 0.45 12.20 N/A N/A 16,787 7,568 172,864 86,174 2007-11-14 $28.47 $30.00 47.0% 13.9% 47.7% 0.0% 49.6% 1.8% 2.5% 630.3K 104.4M -583.0K 0.85 25.71 N/A N/A 18,592 15,891 176,321 84,768 2007-11-15 $28.55 $30.00 47.1% 13.5% 47.7% 0.0% 49.5% 4.9% 4.7% 636.1K 100.3M -603.9K 0.63 12.71 N/A N/A 6,616 4,145 177,385 86,556 2007-11-16 $28.32 $30.00 45.4% 13.0% 46.2% 0.0% 49.9% 7.0% 5.1% 949.0K 92.0M -610.9K 1.44 14.15 N/A N/A 1,999 2,886 180,666 84,210 2007-11-19 $27.30 $30.00 54.5% 15.6% 46.5% 0.0% 50.4% 5.4% -2.9% 674.4K 43.2M -568.0K 0.44 17.30 N/A N/A 3,092 1,375 110,417 54,615 2007-11-20 $28.45 $30.00 48.3% 13.8% 49.2% 0.0% 49.8% 9.2% 3.1% 928.7K 31.4M -604.1K 0.19 13.99 N/A N/A 5,740 1,092 111,730 54,955 2007-11-21 $28.50 $30.00 51.9% 14.9% 49.0% 0.0% 52.6% 8.7% 3.1% 1.1M 21.6M -645.5K 0.13 20.40 N/A N/A 11,491 1,484 113,994 55,244 2007-11-23 $30.03 $30.00 51.2% 14.7% 51.7% 0.0% 54.0% 7.1% 3.0% 1.8M -11.3M -743.2K 1.49 16.28 N/A N/A 1,321 1,970 121,538 56,074 2007-11-26 $28.21 $30.00 52.9% 15.2% 55.1% 0.0% 53.4% 9.1% 4.4% 1.5M 17.1M -673.9K 0.34 20.64 N/A N/A 15,293 5,132 123,313 56,562 2007-11-27 $28.52 $30.00 54.9% 15.7% 55.0% 0.0% 55.1% 8.7% 1.0% 1.7M 15.7M -660.8K 0.28 17.43 N/A N/A 10,926 3,106 126,256 56,606 2007-11-28 $29.81 $30.00 50.9% 14.6% 57.1% 0.0% 57.0% 11.9% 3.0% 1.9M -8.2M -728.5K 0.16 14.49 N/A N/A 6,041 979 126,850 58,393 2007-11-29 $29.30 $30.00 49.4% 14.2% 57.2% 52.7% 52.3% 8.8% 3.6% 1.9M 4.1M -711.0K 0.76 25.00 N/A N/A 4,465 3,400 127,166 58,482 2007-11-30 $29.65 $30.00 47.6% 13.6% 57.4% 49.6% 48.0% 6.2% 4.2% 2.0M -3.2M -727.4K 0.29 21.36 N/A N/A 3,180 925 126,598 58,976
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