M Options History — May 2008

In May 2008, M traded between $22.49 and $26.30. ATM implied volatility averaged 50.2%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 5.0% (HV 20d: 45.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2008-05-14: Highest Volume — 17,494 contracts
  • 2008-05-14: Largest IV drop — 49.9% change
  • 2008-05-13: Highest IV Rank — 98.0%
  • 2008-05-02: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.31$22.49$26.30$26.30$23.67
Max Pain$23.69$22.50$25.00$25.00$25.00
ATM IV50.2%38.4%76.6%55.0%41.6%
Expected Move13.5%11.9%15.8%15.8%11.9%
HV 20d45.1%41.7%49.3%42.7%42.7%
HV 60d53.7%52.6%55.3%55.3%53.1%
IV Rank54.0%34.3%98.0%62.1%39.7%
IV Percentile44.9%10.8%99.2%67.1%15.1%
Term Structure1.0%-5.8%4.6%-5.0%3.3%
VWIV47.2%40.9%58.0%54.6%40.9%
Skew 25d5.5%1.8%11.9%2.7%4.3%
Skew 10d12.6%3.7%23.2%9.1%15.3%
Call IV 25d44.3%32.7%54.2%53.3%38.8%
Put IV 25d49.8%43.2%56.5%56.0%43.2%
Bid-Ask Spread %10.937.8718.4111.2614.75
Gamma HHI0.250.190.460.230.22
Net GEX950.4K-107.9K2.9M983.0K924.8K
Net DEX-52.7M-95.8M-20.4M-73.0M-43.7M
Net VEX-444.0K-472.6K-422.3K-459.3K-432.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.131.230.630.74
Total Volume6,166.28674717,4946,820747
Total OI150,049.429119,681182,350152,020131,095

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$26.30$25.0055.0%15.8%42.7%62.1%54.6%2.7%-5.0%983.0K-73.0M-459.3K0.6311.26N/AN/A4,1892,63192,02859,992
2008-05-02$26.30$25.0055.0%15.8%41.7%62.1%50.6%1.8%-5.8%992.0K-76.2M-472.6K0.239.40N/AN/A2,30953594,84361,377
2008-05-05$25.09$22.5057.2%14.5%45.5%65.7%48.5%7.8%-0.4%542.5K-52.4M-439.9K0.5710.10N/AN/A4,5912,59695,16761,428
2008-05-06$25.38$22.5058.1%14.3%45.5%67.3%51.0%6.6%0.7%704.2K-65.7M-455.1K0.5114.52N/AN/A1,37770299,26661,987
2008-05-07$24.73$22.5058.2%14.5%43.9%67.4%48.4%6.2%0.6%521.7K-52.8M-455.8K0.6214.39N/AN/A3,3532,08099,90262,567
2008-05-08$23.87$22.5055.1%14.3%45.6%62.1%58.0%7.4%1.2%194.3K-32.9M-444.6K1.119.82N/AN/A3,5623,96099,94663,387
2008-05-09$23.21$22.5053.4%15.0%46.0%59.3%51.5%5.8%1.0%-107.9K-20.4M-439.1K0.9310.06N/AN/A5,3534,989102,56065,500
2008-05-12$23.97$22.5066.4%14.0%47.0%81.1%50.7%5.2%1.7%282.0K-41.8M-442.6K0.5713.26N/AN/A6,2743,574104,06865,898
2008-05-13$24.06$22.5076.6%14.5%47.0%98.0%50.2%3.9%-0.4%467.1K-47.2M-447.9K0.2918.41N/AN/A12,1533,500106,85467,564
2008-05-14$24.93$22.5038.4%13.2%47.3%34.3%47.2%2.1%2.2%2.8M-81.7M-454.8K0.7813.73N/AN/A9,8347,660113,39167,429
2008-05-15$25.32$22.5045.3%13.0%47.4%45.8%45.8%3.8%2.6%2.9M-93.0M-456.6K0.379.10N/AN/A4,1281,532112,58169,769
2008-05-16$25.22$22.5042.4%12.2%45.2%41.0%42.4%4.0%4.6%1.7M-95.8M-445.1K0.299.83N/AN/A7,3282,101110,38070,500
2008-05-19$24.82$22.5042.1%12.1%45.5%40.4%42.8%4.8%1.9%1.1M-59.5M-444.7K1.238.00N/AN/A2,3182,85180,43139,250
2008-05-20$24.56$25.0042.9%12.3%44.4%41.8%42.9%11.9%1.2%969.3K-54.3M-446.3K0.299.08N/AN/A3,7561,07381,95241,615
2008-05-21$23.18$25.0045.1%12.9%49.3%45.4%45.0%7.0%2.6%845.3K-36.2M-432.7K0.758.71N/AN/A2,1591,61383,44542,118
2008-05-22$23.21$25.0045.0%12.9%45.8%45.3%43.3%7.1%2.3%746.0K-35.0M-433.9K0.139.08N/AN/A1,27417182,89642,865
2008-05-23$22.49$25.0044.4%12.7%42.7%44.2%44.0%4.3%2.4%659.1K-25.7M-422.3K0.348.38N/AN/A4,8741,64582,95542,890
2008-05-27$22.86$25.0045.6%13.1%43.4%46.4%45.7%3.8%0.6%826.9K-31.9M-433.9K0.607.87N/AN/A2,3051,39086,35143,811
2008-05-28$23.33$25.0044.1%12.6%43.9%43.8%43.5%7.0%1.5%866.3K-38.1M-428.3K0.579.48N/AN/A81346586,00544,310
2008-05-29$24.07$25.0041.7%12.0%45.2%39.9%43.6%8.4%1.5%984.1K-49.9M-435.0K1.0010.27N/AN/A86586286,13044,535
2008-05-30$23.67$25.0041.6%11.9%42.7%39.7%40.9%4.3%3.3%924.8K-43.7M-432.8K0.7414.75N/AN/A43031786,36244,733