M Options History — March 2008

In March 2008, M traded between $21.54 and $26.33. ATM implied volatility averaged 54.0%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 2.3% (HV 20d: 56.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.50.

Notable Days

  • 2008-03-20: Highest Volume — 25,409 contracts
  • 2008-03-06: Largest IV spike — 11.7% change
  • 2008-03-17: Highest IV Rank — 69.4%
  • 2008-03-17: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.76$21.54$26.33$24.73$23.06
Max Pain$24.88$22.50$25.00$25.00$22.50
ATM IV54.0%44.8%59.4%44.8%58.2%
Expected Move15.5%12.8%17.0%12.8%16.7%
HV 20d56.3%50.0%66.4%58.0%66.4%
HV 60d55.0%51.5%60.1%52.3%60.1%
IV Rank60.3%45.0%69.4%45.0%67.3%
IV Percentile67.5%30.2%83.9%30.2%82.2%
Term Structure2.6%-0.2%4.7%3.9%3.5%
VWIV55.0%48.0%60.3%50.1%56.1%
Skew 25d6.7%1.8%13.7%1.8%10.1%
Skew 10d15.8%6.3%33.0%6.3%33.0%
Call IV 25d51.5%47.6%57.2%48.7%53.0%
Put IV 25d58.2%50.5%64.2%50.5%63.1%
Bid-Ask Spread %13.726.7420.1017.2714.42
Gamma HHI0.290.250.770.260.27
Net GEX796.4K-983.9K11.1M1.2M-203.8K
Net DEX2.1M-46.8M50.3M-18.7M2.1M
Net VEX-513.3K-574.9K-430.6K-558.2K-512.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.225.022.410.74
Total Volume6,553.151,06625,4093,7974,425
Total OI158,290.6142,495172,805156,534153,773

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$24.73$25.0044.8%12.8%58.0%45.0%50.1%1.8%3.9%1.2M-18.7M-558.2K2.4117.27N/AN/A1,1152,68296,06060,474
2008-03-04$25.20$25.0047.1%13.5%57.6%48.9%55.2%4.5%1.5%1.3M-29.7M-574.9K1.3917.77N/AN/A9441,31396,56660,719
2008-03-05$25.28$25.0047.3%13.6%51.2%49.2%48.0%3.7%2.2%1.4M-29.8M-571.0K0.326.74N/AN/A2,63485296,22660,227
2008-03-06$23.56$25.0052.8%15.1%54.6%58.3%51.6%7.1%-0.2%644.2K6.1M-510.1K0.4910.94N/AN/A4,1682,02595,23060,488
2008-03-07$23.41$25.0051.1%15.2%51.5%55.5%52.6%4.6%2.5%615.4K9.1M-504.3K1.9613.86N/AN/A5,49110,78997,33760,417
2008-03-10$23.26$25.0055.9%15.7%50.0%63.4%54.5%5.5%1.7%240.0K18.4M-493.6K0.8914.18N/AN/A88778794,66966,540
2008-03-11$24.11$25.0050.0%14.7%50.1%53.6%54.6%7.3%1.7%755.7K4.6M-517.7K4.4415.48N/AN/A8193,63994,50866,858
2008-03-12$23.20$25.0053.8%15.7%51.6%60.1%53.5%5.1%1.2%249.0K19.7M-484.1K0.6919.55N/AN/A63143594,11065,658
2008-03-13$23.26$25.0055.8%16.0%51.5%63.3%56.2%7.1%1.6%305.1K18.6M-482.7K1.4514.71N/AN/A4,5556,59094,39865,447
2008-03-14$22.53$25.0055.4%15.9%52.4%62.7%55.6%5.0%3.2%-133.6K29.5M-472.6K5.029.87N/AN/A2,41412,12197,15069,410
2008-03-17$21.54$25.0059.4%17.0%50.1%69.4%60.3%7.0%0.5%-789.9K50.3M-430.6K1.7514.47N/AN/A1,8323,20797,70973,552
2008-03-18$22.66$25.0053.9%15.4%53.2%60.1%54.2%8.3%2.8%-983.9K35.6M-454.6K0.569.83N/AN/A4,2042,35898,24973,521
2008-03-19$23.23$25.0056.1%16.1%53.7%63.9%55.9%5.7%3.2%-463.0K20.1M-484.3K1.6820.10N/AN/A7461,25499,27873,527
2008-03-20$24.85$25.0054.3%15.6%59.2%60.9%54.7%8.8%3.9%11.1M-12.2M-536.1K0.3014.70N/AN/A19,5755,83498,06173,783
2008-03-24$26.33$25.0056.4%16.2%62.6%64.4%57.5%9.9%2.6%568.7K-46.8M-570.7K0.8715.21N/AN/A3,0072,62680,74261,753
2008-03-25$25.52$25.0055.4%15.9%63.7%62.7%57.2%6.8%4.4%378.3K-35.1M-562.9K1.6514.42N/AN/A7391,22282,30362,924
2008-03-26$24.17$25.0055.3%15.9%61.5%62.5%56.1%6.7%3.9%72.0K-13.6M-534.0K0.2213.03N/AN/A4,6991,01782,12463,354
2008-03-27$23.36$25.0058.9%16.9%62.3%68.6%57.1%13.7%2.9%-46.4K-5.0M-529.2K1.797.79N/AN/A6781,21185,51263,527
2008-03-28$21.97$25.0057.7%16.6%64.3%66.6%59.1%5.7%4.7%-303.7K18.1M-481.2K1.379.97N/AN/A3,1794,35985,66563,963
2008-03-31$23.06$22.5058.2%16.7%66.4%67.3%56.1%10.1%3.5%-203.8K2.1M-512.3K0.7414.42N/AN/A2,5401,88587,09666,677