M Options History — January 2008

In January 2008, M traded between $21.31 and $27.62. ATM implied volatility averaged 64.7%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 13.6% (HV 20d: 51.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2008-01-18: Highest Volume — 37,929 contracts
  • 2008-01-04: Largest IV spike — 16.4% change
  • 2008-01-09: Highest IV Rank — 95.7%
  • 2008-01-22: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.84$21.31$27.62$24.99$27.62
Max Pain$26.90$25.00$30.00$30.00$25.00
ATM IV64.7%55.3%75.2%56.9%55.3%
Expected Move18.1%15.8%20.6%16.3%15.8%
HV 20d51.1%41.3%58.9%41.3%56.8%
HV 60d49.0%44.0%52.2%44.0%52.2%
IV Rank78.1%62.4%95.7%65.2%62.4%
IV Percentile92.3%78.6%98.0%92.6%78.6%
Term Structure-4.3%-7.9%-1.1%-4.5%-7.6%
VWIV63.4%55.0%73.8%56.6%55.0%
Skew 25d6.6%2.1%12.0%3.5%7.3%
Skew 10d11.5%0.6%21.5%4.6%12.3%
Call IV 25d60.8%55.3%70.3%55.9%55.3%
Put IV 25d67.4%58.7%77.9%59.3%62.6%
Bid-Ask Spread %9.534.9817.067.5117.06
Gamma HHI0.240.100.360.100.26
Net GEX456.3K-444.4K1.8M93.3K1.8M
Net DEX15.8M-81.3M69.4M53.4M-81.3M
Net VEX-451.8K-577.9K-299.9K-372.5K-575.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.131.841.050.26
Total Volume13,455.8573,34237,9296,0417,123
Total OI178,097.048132,396227,004172,651149,956

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$24.99$30.0056.9%16.3%41.3%65.2%56.6%3.5%-4.5%93.3K53.4M-372.5K1.057.51N/AN/A2,9513,090121,69350,958
2008-01-03$23.57$30.0057.9%16.6%42.5%66.9%57.2%2.1%-2.9%-99.2K66.2M-314.3K1.579.17N/AN/A5,5818,741121,43950,482
2008-01-04$22.40$30.0067.4%17.4%42.6%82.7%60.4%3.5%-2.2%-98.0K66.6M-299.9K1.1911.64N/AN/A14,64517,397121,97350,953
2008-01-07$22.86$30.0071.2%17.4%43.0%89.0%59.4%6.4%-2.5%-71.1K61.0M-352.0K1.0712.85N/AN/A4,0134,287129,14858,215
2008-01-08$21.82$30.0070.5%18.1%42.3%87.9%62.4%6.0%-2.7%-118.5K66.9M-346.2K0.377.37N/AN/A3,9981,466130,85560,383
2008-01-09$22.67$30.0075.2%18.6%46.4%95.7%65.0%7.8%-3.4%-51.4K57.7M-387.3K1.546.89N/AN/A8,16712,596133,00360,699
2008-01-10$22.60$30.0063.8%18.3%45.3%76.7%65.7%7.4%-3.6%-278.0K58.4M-398.0K0.786.09N/AN/A10,8568,517137,89066,175
2008-01-11$21.31$30.0066.1%18.9%48.1%80.5%67.9%9.1%-3.9%-444.4K69.4M-382.2K0.697.87N/AN/A9,3846,438140,00668,711
2008-01-14$21.99$25.0064.3%18.4%50.8%77.6%64.6%6.7%-3.4%-287.2K60.4M-417.3K0.136.82N/AN/A8,3051,083146,08169,887
2008-01-15$21.65$25.0063.2%18.1%50.4%75.8%64.7%10.2%-2.3%378.0K26.7M-467.3K1.844.98N/AN/A2,5604,702151,76468,116
2008-01-16$22.49$25.0062.3%17.9%53.5%74.2%60.9%12.0%-1.1%-123.6K43.3M-444.9K0.976.71N/AN/A8,1387,873153,15967,270
2008-01-17$22.62$25.0062.4%17.9%53.3%74.4%63.7%11.7%-1.2%-418.1K42.3M-474.6K0.7811.04N/AN/A2,0401,594155,68071,324
2008-01-18$23.05$25.0071.4%20.5%53.2%89.4%71.5%5.3%-7.9%45.2K25.7M-482.8K0.566.93N/AN/A24,27813,651155,50470,963
2008-01-22$24.30$25.0071.8%20.6%56.8%90.0%73.8%8.3%-5.1%887.6K-21.7M-538.1K0.177.44N/AN/A11,5421,94885,69946,697
2008-01-23$25.41$25.0067.6%19.4%58.9%83.0%68.4%8.3%-6.9%1.1M-35.1M-558.6K0.5816.93N/AN/A14,9538,67987,48647,537
2008-01-24$25.38$25.0062.7%18.0%58.5%74.9%62.3%4.5%-5.2%1.3M-38.6M-577.9K0.268.10N/AN/A5,5791,47292,73151,974
2008-01-25$24.95$25.0061.9%17.7%57.1%73.5%63.4%2.6%-5.9%1.3M-29.7M-515.6K0.689.62N/AN/A5,9064,01692,56247,854
2008-01-28$25.70$25.0061.7%17.7%56.7%73.2%65.2%6.5%-5.6%1.4M-41.7M-523.6K0.9211.20N/AN/A1,7411,60191,67547,619
2008-01-29$26.60$25.0061.7%17.7%57.7%73.1%61.6%4.7%-5.2%1.5M-56.9M-531.1K0.4612.86N/AN/A5,3072,41892,62748,192
2008-01-30$26.73$25.0062.5%17.9%57.5%74.5%61.0%5.6%-7.9%1.6M-60.5M-527.9K0.4511.11N/AN/A9,6004,33795,52749,571
2008-01-31$27.62$25.0055.3%15.8%56.8%62.4%55.0%7.3%-7.6%1.8M-81.3M-575.9K0.2617.06N/AN/A5,6731,450100,07349,883