M Options History — April 2008 In April 2008, M traded between $22.44 and $25.85. ATM implied volatility averaged 55.6%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 3.6% (HV 20d: 59.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.39.
Notable Days 2008-04-25 : Highest Volume — 11,505 contracts2008-04-09 : Largest IV spike — 13.6% change2008-04-14 : Highest IV Rank — 73.0%2008-04-09 : Largest Expected Move — 17.7%Monthly Statistics Metric Avg Min Max Open Close Price $23.97 $22.44 $25.85 $24.67 $25.29 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 55.6% 50.4% 61.6% 54.8% 54.5% Expected Move 16.2% 14.9% 17.7% 15.7% 15.6% HV 20d 59.2% 39.9% 71.0% 71.0% 40.8% HV 60d 57.5% 56.1% 60.5% 60.5% 56.8% IV Rank 63.0% 54.3% 73.0% 61.7% 61.2% IV Percentile 69.5% 52.8% 86.2% 67.5% 64.8% Term Structure -2.4% -5.5% 4.3% 3.1% -4.7% VWIV 56.9% 53.2% 61.0% 59.8% 55.0% Skew 25d 8.5% -0.2% 19.1% 19.1% -0.2% Skew 10d 15.7% -9.5% 34.5% 33.7% 6.3% Call IV 25d 52.7% 41.3% 57.1% 41.7% 55.6% Put IV 25d 61.2% 55.3% 66.6% 60.8% 55.5% Bid-Ask Spread % 10.17 6.88 16.91 7.90 9.19 Gamma HHI 0.26 0.20 0.46 0.26 0.20 Net GEX 55.0K -1.0M 818.9K 162.3K 642.0K Net DEX -20.7M -63.8M 14.3M -26.3M -53.5M Net VEX -480.0K -542.4K -438.6K -542.4K -453.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.39 0.14 5.41 3.57 1.01 Total Volume 4,329.909 1,161 11,505 8,343 2,184 Total OI 156,807.5 147,843 170,553 154,011 151,176
Daily Data (22 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 2008-04-01 $24.67 $25.00 54.8% 15.7% 71.0% 61.7% 59.8% 19.1% 3.1% 162.3K -26.3M -542.4K 3.57 7.90 N/A N/A 1,827 6,516 87,334 66,677 2008-04-02 $24.65 $25.00 55.8% 16.0% 70.7% 63.4% 58.5% 18.6% 1.2% 223.8K -27.0M -535.5K 1.33 8.82 N/A N/A 2,105 2,797 87,236 65,255 2008-04-03 $24.46 $25.00 52.7% 15.1% 70.7% 58.2% 54.1% 16.6% 4.3% 219.8K -23.5M -532.0K 1.16 13.08 N/A N/A 1,220 1,411 88,221 65,781 2008-04-04 $23.92 $25.00 52.5% 16.5% 66.4% 57.9% 59.0% 9.5% -3.8% 126.0K -13.7M -515.1K 2.30 11.67 N/A N/A 1,518 3,494 89,196 65,878 2008-04-07 $23.88 $25.00 51.6% 16.4% 66.4% 56.3% 59.8% 11.2% -3.2% 120.5K -13.4M -510.3K 0.19 15.29 N/A N/A 1,531 296 90,359 68,505 2008-04-08 $24.18 $25.00 50.4% 16.2% 66.4% 54.3% 54.7% 8.8% -3.3% 215.2K -18.2M -503.4K 0.18 14.55 N/A N/A 2,760 501 90,491 68,193 2008-04-09 $23.21 $25.00 57.2% 17.7% 66.8% 65.7% 58.0% 11.3% -3.1% -124.1K 175.1K -481.2K 0.53 9.29 N/A N/A 5,732 3,044 91,243 68,429 2008-04-10 $23.63 $25.00 60.7% 17.4% 65.7% 71.5% 57.1% 9.1% -3.9% 14.3K -12.7M -506.0K 0.83 7.88 N/A N/A 1,236 1,027 93,954 69,600 2008-04-11 $23.12 $25.00 60.5% 17.4% 66.2% 71.2% 57.0% 9.3% -4.0% -252.5K -1.9M -484.1K 1.01 8.97 N/A N/A 1,637 1,658 94,051 69,269 2008-04-14 $22.78 $25.00 61.6% 17.7% 65.4% 73.0% 61.0% 10.8% -5.5% -485.3K 6.0M -465.8K 1.70 7.51 N/A N/A 1,033 1,757 94,729 69,621 2008-04-15 $22.98 $25.00 60.0% 17.2% 63.2% 70.3% 58.4% 11.1% -3.4% -549.8K 1.1M -462.8K 2.90 7.54 N/A N/A 411 1,192 94,933 70,192 2008-04-16 $22.44 $25.00 59.4% 17.0% 61.3% 69.4% 58.8% 7.8% -2.9% -1.0M 14.3M -438.6K 0.14 7.71 N/A N/A 8,288 1,132 94,551 70,228 2008-04-17 $22.69 $25.00 58.9% 16.9% 60.7% 68.5% 59.5% 7.4% -2.8% -941.8K 705.5K -455.0K 2.13 7.37 N/A N/A 2,090 4,444 97,371 69,871 2008-04-18 $23.72 $25.00 56.2% 16.1% 57.7% 64.0% 54.4% 5.7% -2.5% 64.3K -19.9M -469.1K 0.51 13.22 N/A N/A 2,445 1,240 97,903 72,650 2008-04-21 $24.01 $25.00 52.2% 15.0% 53.6% 57.3% 53.2% 7.0% -2.2% 256.4K -27.4M -461.0K 0.47 7.55 N/A N/A 1,396 651 89,448 58,395 2008-04-22 $23.33 $25.00 55.7% 16.0% 53.4% 63.1% 56.2% 1.9% -1.1% 126.5K -16.8M -447.3K 0.98 9.00 N/A N/A 2,523 2,465 89,448 58,395 2008-04-23 $23.20 $25.00 54.3% 15.6% 50.1% 60.9% 54.7% 4.1% -1.1% 13.9K -13.1M -441.2K 1.24 6.88 N/A N/A 1,866 2,323 89,002 59,689 2008-04-24 $24.36 $25.00 52.6% 15.1% 51.6% 58.0% 53.3% 3.9% -3.2% 228.6K -33.3M -458.5K 0.64 13.65 N/A N/A 1,843 1,186 88,989 60,956 2008-04-25 $25.57 $25.00 52.0% 14.9% 48.4% 57.1% 55.7% 5.4% -2.7% 674.1K -57.5M -472.4K 5.41 16.91 N/A N/A 1,794 9,711 90,129 59,729 2008-04-28 $25.49 $25.00 53.7% 15.4% 46.0% 59.8% 55.6% 2.0% -3.4% 664.8K -56.2M -463.8K 1.52 10.18 N/A N/A 460 701 90,404 62,205 2008-04-29 $25.85 $25.00 55.2% 15.8% 39.9% 62.4% 57.3% 5.9% -5.2% 818.9K -63.8M -461.0K 0.76 9.59 N/A N/A 1,028 785 90,824 59,255 2008-04-30 $25.29 $25.00 54.5% 15.6% 40.8% 61.2% 55.0% -0.2% -4.7% 642.0K -53.5M -453.1K 1.01 9.19 N/A N/A 1,087 1,097 91,535 59,641
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