M Options History — February 2008

In February 2008, M traded between $23.94 and $28.00. ATM implied volatility averaged 57.6%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 1.1% (HV 20d: 56.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2008-02-15: Highest Volume — 65,466 contracts
  • 2008-02-04: Largest IV spike — 20.7% change
  • 2008-02-04: Highest IV Rank — 82.2%
  • 2008-02-04: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.20$23.94$28.00$28.00$24.68
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV57.6%44.7%67.1%55.6%44.7%
Expected Move15.8%12.8%16.9%15.9%12.8%
HV 20d56.4%49.5%60.2%51.6%58.4%
HV 60d53.1%50.7%56.0%52.2%52.7%
IV Rank66.3%44.8%82.2%63.0%44.8%
IV Percentile74.1%29.8%94.1%79.3%29.8%
Term Structure-2.4%-7.2%2.9%-5.0%2.9%
VWIV56.1%44.6%63.4%61.3%44.6%
Skew 25d6.2%-0.1%10.6%10.2%0.0%
Skew 10d17.1%2.5%32.8%19.0%2.5%
Call IV 25d52.3%42.0%57.1%55.2%47.0%
Put IV 25d58.5%45.9%65.4%65.4%47.0%
Bid-Ask Spread %12.857.8320.189.027.83
Gamma HHI0.280.220.350.250.26
Net GEX1.7M908.6K2.6M1.8M1.3M
Net DEX-36.8M-88.8M-2.8M-88.8M-20.9M
Net VEX-582.4K-661.3K-525.5K-599.8K-571.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.132.480.250.16
Total Volume13,362.11,88565,4669,7935,930
Total OI164,367.95147,263185,713152,165158,121

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$28.00$25.0055.6%15.9%51.6%63.0%61.3%10.2%-5.0%1.8M-88.8M-599.8K0.259.02N/AN/A7,8091,984101,53550,630
2008-02-04$27.04$25.0067.1%16.9%49.5%82.2%53.3%10.6%-6.3%2.0M-73.8M-587.8K0.3420.18N/AN/A3,9351,342106,15252,065
2008-02-05$25.10$25.0066.7%16.7%57.5%81.5%60.1%8.4%-3.4%1.9M-37.6M-528.3K1.4520.07N/AN/A4,1436,009107,27151,104
2008-02-06$23.94$25.0066.0%16.7%57.6%80.4%61.7%8.9%-3.2%1.8M-11.4M-525.5K1.3611.92N/AN/A15,97821,799105,98654,975
2008-02-07$25.11$25.0060.4%16.2%58.4%71.1%60.3%8.4%-0.3%1.5M-28.7M-569.9K2.4811.14N/AN/A6,38515,860111,00064,826
2008-02-08$24.20$25.0057.7%16.2%60.2%66.6%55.5%6.7%-1.4%1.8M-4.7M-549.2K0.7811.29N/AN/A1,061824110,12567,854
2008-02-11$25.07$25.0066.2%16.4%56.5%80.6%58.7%8.5%-1.6%1.9M-29.2M-568.8K1.4311.41N/AN/A3,8295,471110,33167,097
2008-02-12$24.79$25.0066.8%16.3%56.2%81.7%58.5%7.4%-2.1%2.0M-28.0M-564.9K0.4813.13N/AN/A6,5413,133112,13167,409
2008-02-13$24.43$25.0059.1%16.0%56.1%68.8%63.4%7.1%-1.5%2.1M-16.6M-545.6K0.5714.06N/AN/A4,6722,680111,92268,033
2008-02-14$24.10$25.0056.8%16.3%55.2%65.0%58.3%8.8%-1.6%908.6K-2.8M-536.2K0.2411.60N/AN/A5,7621,399115,31268,415
2008-02-15$25.38$25.0057.8%16.6%57.8%66.6%58.1%7.7%-1.3%2.6M-67.6M-592.0K0.1314.39N/AN/A57,7057,761119,06766,646
2008-02-19$24.51$25.0058.0%16.6%59.3%67.0%58.3%4.5%-3.8%1.1M-24.5M-580.4K0.1518.39N/AN/A14,0462,09192,73354,530
2008-02-20$24.93$25.0057.6%16.5%56.6%66.4%57.9%5.5%-3.9%1.4M-36.1M-616.7K0.1411.63N/AN/A5,25871296,50755,968
2008-02-21$24.65$25.0056.9%16.3%54.4%65.1%57.9%2.5%-3.0%1.2M-28.4M-616.2K0.579.83N/AN/A3,6892,08597,12355,905
2008-02-22$24.62$25.0058.4%16.7%54.4%67.6%58.6%4.4%-4.3%1.3M-30.0M-616.3K0.2713.22N/AN/A6,1921,64498,56956,021
2008-02-25$24.76$25.0058.3%16.7%54.1%67.6%59.2%4.1%-7.2%1.4M-29.9M-610.9K1.0811.45N/AN/A7,0467,59499,29256,061
2008-02-26$26.52$25.0046.8%13.4%58.6%48.4%46.5%6.1%-1.7%2.3M-72.5M-661.3K0.2312.04N/AN/A11,0652,555102,61059,642
2008-02-27$26.55$25.0045.0%12.9%57.3%45.3%45.1%3.8%0.1%2.1M-65.0M-620.4K0.6113.99N/AN/A1,53493698,19161,076
2008-02-28$25.53$25.0045.4%13.0%58.9%46.0%45.7%-0.1%1.5%1.7M-40.0M-586.5K0.5510.43N/AN/A5,6653,11896,17058,954
2008-02-29$24.68$25.0044.7%12.8%58.4%44.8%44.6%0.0%2.9%1.3M-20.9M-571.8K0.167.83N/AN/A5,10582597,70060,421