M Options History — December 2007

In December 2007, M traded between $25.04 and $31.21. ATM implied volatility averaged 52.1%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 1.5% (HV 20d: 50.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2007-12-21: Highest Volume — 16,845 contracts
  • 2007-12-06: Largest IV drop — 15.5% change
  • 2007-12-05: Highest IV Rank — 66.7%
  • 2007-12-05: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.02$25.04$31.21$29.74$25.87
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV52.1%45.5%57.8%52.2%55.1%
Expected Move15.1%14.0%16.6%15.0%15.8%
HV 20d50.6%39.2%61.0%57.3%40.3%
HV 60d45.1%43.5%48.0%46.5%44.3%
IV Rank57.2%46.2%66.7%57.3%62.1%
IV Percentile78.9%46.2%93.8%84.4%89.1%
Term Structure-0.9%-3.8%2.8%1.0%-3.5%
VWIV52.5%48.1%57.5%52.3%53.2%
Skew 25d4.6%1.4%8.1%4.7%4.0%
Skew 10d7.3%-2.4%18.0%7.6%-2.4%
Call IV 25d51.3%46.4%55.7%53.3%53.0%
Put IV 25d55.9%51.7%59.0%58.0%57.0%
Bid-Ask Spread %11.415.4516.6211.349.72
Gamma HHI0.230.100.330.280.10
Net GEX1.4M-328.4K3.1M2.1M241.1K
Net DEX24.4M-50.2M63.8M-7.3M49.4M
Net VEX-575.4K-776.6K-400.2K-718.1K-421.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.0611.130.2111.13
Total Volume7,752.286016,8458,79311,628
Total OI189,669.8173,184198,698185,553175,206

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$29.74$30.0052.2%15.0%57.3%57.3%52.3%4.7%1.0%2.1M-7.3M-718.1K0.2111.34N/AN/A7,2861,507127,11658,437
2007-12-04$30.59$30.0052.0%14.9%58.1%57.0%52.0%8.1%1.6%2.4M-21.9M-721.7K0.0611.84N/AN/A14,546828126,79058,423
2007-12-05$31.21$30.0057.8%16.6%58.5%66.7%57.5%6.3%-2.6%3.1M-50.2M-776.6K0.165.45N/AN/A13,1802,120135,86957,764
2007-12-06$29.81$30.0048.9%14.0%60.4%51.8%48.7%6.4%2.8%2.8M-10.8M-709.1K0.5310.91N/AN/A5,9623,157134,58758,700
2007-12-07$30.51$30.0045.5%14.1%61.0%46.2%49.0%5.5%-0.2%2.9M-22.7M-736.5K0.6811.90N/AN/A2,8841,969134,15960,226
2007-12-10$30.40$30.0046.6%14.0%58.2%48.1%48.1%4.8%0.0%2.9M-18.2M-713.3K0.2614.98N/AN/A680180135,15061,321
2007-12-11$29.09$30.0048.6%14.3%60.5%51.3%50.2%4.6%-0.2%2.3M14.6M-649.3K0.7616.62N/AN/A4,1973,195134,87261,358
2007-12-12$28.74$30.0047.7%14.9%55.8%49.9%50.1%4.3%-2.1%2.1M25.7M-639.5K0.7813.13N/AN/A587457134,86962,330
2007-12-13$28.63$30.0052.1%14.9%49.2%57.2%51.5%3.4%-2.2%2.0M24.6M-608.0K5.498.79N/AN/A1,2266,725134,84659,487
2007-12-14$27.77$30.0052.1%14.9%50.4%57.2%52.5%2.9%-1.3%1.6M34.2M-565.6K1.5916.21N/AN/A1,8152,885135,46658,418
2007-12-17$27.52$30.0054.9%15.8%50.4%61.9%56.7%2.2%-2.1%1.2M41.6M-542.2K1.7014.88N/AN/A3,0225,124135,65460,270
2007-12-18$27.76$30.0054.3%15.6%48.7%60.8%56.3%1.4%-2.8%1.4M37.7M-571.0K2.1916.35N/AN/A5731,255137,95660,742
2007-12-19$26.70$30.0054.4%15.6%48.2%61.0%54.6%3.2%0.0%266.5K57.1M-490.0K1.2313.71N/AN/A1,3481,654136,94860,490
2007-12-20$26.07$30.0056.3%16.1%48.7%64.1%55.5%1.7%-1.9%-328.4K63.8M-472.7K0.849.31N/AN/A6,0225,070137,04260,975
2007-12-21$26.54$30.0050.5%14.5%44.8%54.6%51.0%4.4%2.1%166.5K58.9M-462.8K0.1612.00N/AN/A14,5772,268137,22460,821
2007-12-24$27.01$30.0050.9%14.6%40.2%55.2%51.9%5.2%1.7%414.6K41.5M-480.6K1.037.07N/AN/A3,8583,956118,84954,335
2007-12-26$25.95$30.0055.5%15.9%42.0%62.9%54.1%7.0%-3.8%298.1K54.0M-424.3K1.838.62N/AN/A4,3607,986120,80753,807
2007-12-27$25.04$30.0054.3%15.6%39.2%60.9%52.8%6.1%-2.9%171.7K60.9M-400.2K0.807.86N/AN/A2,2181,784122,24954,821
2007-12-28$25.48$30.0052.8%15.1%40.1%58.4%52.3%5.0%-1.1%210.0K54.6M-405.0K0.887.45N/AN/A1,5741,381121,69553,317
2007-12-31$25.87$30.0055.1%15.8%40.3%62.1%53.2%4.0%-3.5%241.1K49.4M-421.3K11.139.72N/AN/A95910,669121,72353,483