M Options History — July 2008 In July 2008, M traded between $15.58 and $19.35. ATM implied volatility averaged 71.1%, placing in the 75.9% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 11.4% (HV 20d: 59.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2008-07-11 : Highest Volume — 39,482 contracts2008-07-11 : Largest IV spike — 26.3% change2008-07-11 : Highest IV Rank — 100.0%2008-07-15 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $18.00 $15.58 $19.35 $19.35 $18.81 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 71.1% 53.3% 85.2% 53.3% 67.8% Expected Move 20.5% 15.3% 24.4% 15.3% 19.4% HV 20d 59.7% 44.4% 71.8% 49.0% 71.2% HV 60d 51.0% 44.6% 55.3% 45.3% 54.8% IV Rank 75.9% 50.0% 100.0% 52.2% 65.3% IV Percentile 90.9% 59.9% 100.0% 59.9% 90.9% Term Structure -7.2% -15.4% 6.6% 5.3% -4.7% VWIV 72.1% 55.9% 85.2% 56.6% 67.5% Skew 25d 8.6% 3.4% 13.5% 8.2% 10.5% Skew 10d 15.3% -2.6% 35.4% -2.6% 21.1% Call IV 25d 67.8% 46.3% 81.5% 49.9% 66.7% Put IV 25d 76.4% 58.0% 88.7% 58.0% 77.2% Bid-Ask Spread % 11.04 8.04 16.26 8.90 11.30 Gamma HHI 0.39 0.29 0.49 0.32 0.46 Net GEX 906.8K 232.0K 1.3M 806.4K 1.3M Net DEX 2.4M -23.3M 34.9M -262.1K -8.7M Net VEX -308.1K -353.9K -213.9K -341.0K -325.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.07 2.83 1.39 0.15 Total Volume 6,555 1,143 39,482 2,921 2,174 Total OI 157,572.045 143,842 177,772 143,955 165,398
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 2008-07-01 $19.35 $20.00 53.3% 15.3% 49.0% 52.2% 56.6% 8.2% 5.3% 806.4K -262.1K -341.0K 1.39 8.90 N/A N/A 1,224 1,697 96,505 47,450 2008-07-02 $18.83 $20.00 53.9% 15.5% 49.4% 53.5% 59.4% 13.5% 5.3% 747.4K 5.9M -330.6K 2.83 8.89 N/A N/A 370 1,047 97,063 46,779 2008-07-03 $18.50 $20.00 56.6% 16.2% 46.1% 55.1% 55.9% 5.5% 6.6% 635.3K 12.9M -305.9K 0.59 9.52 N/A N/A 914 536 96,961 46,932 2008-07-07 $18.58 $20.00 63.0% 18.7% 44.4% 65.7% 62.8% 6.3% -5.8% 675.4K 10.9M -301.2K 0.79 10.04 N/A N/A 1,489 1,178 97,374 47,151 2008-07-08 $18.88 $20.00 56.3% 18.0% 44.4% 50.0% 63.1% 7.7% -6.9% 717.9K 8.8M -304.5K 0.07 13.85 N/A N/A 1,687 115 96,924 47,620 2008-07-09 $18.04 $20.00 63.9% 19.0% 45.5% 67.8% 64.9% 7.1% -7.4% 577.6K 17.4M -278.0K 0.58 15.81 N/A N/A 777 450 97,852 47,610 2008-07-10 $16.39 $20.00 67.0% 19.2% 53.0% 74.9% 66.0% 6.5% -7.4% 245.7K 34.9M -223.1K 1.13 10.80 N/A N/A 2,788 3,164 97,671 47,633 2008-07-11 $15.58 $20.00 84.6% 24.3% 53.2% 100.0% 83.1% 3.4% -15.4% 232.0K 33.6M -213.9K 0.29 12.06 N/A N/A 30,613 8,869 98,982 46,800 2008-07-14 $16.28 $20.00 80.2% 23.0% 53.9% 91.1% 81.3% 7.0% -14.0% 950.0K 12.0M -271.5K 0.43 9.37 N/A N/A 15,075 6,422 120,265 49,703 2008-07-15 $15.91 $20.00 85.2% 24.4% 53.2% 100.0% 85.2% 7.1% -13.5% 858.5K 17.0M -270.8K 0.70 16.20 N/A N/A 4,584 3,227 121,531 51,395 2008-07-16 $17.42 $20.00 76.5% 21.9% 65.5% 82.6% 78.3% 7.5% -9.7% 1.3M -5.2M -322.9K 0.28 16.26 N/A N/A 11,864 3,367 123,503 52,147 2008-07-17 $18.42 $20.00 77.2% 22.1% 68.2% 84.1% 81.3% 10.8% -10.9% 1.3M -23.3M -349.6K 0.53 14.97 N/A N/A 3,140 1,652 122,367 54,899 2008-07-18 $18.09 $20.00 75.2% 21.6% 66.8% 80.1% 74.8% 10.7% -8.8% 1.3M -19.0M -335.4K 0.60 9.90 N/A N/A 2,635 1,568 122,489 55,283 2008-07-21 $17.72 $20.00 75.2% 21.6% 66.1% 80.1% 75.4% 6.7% -7.1% 889.9K 807.2K -318.9K 1.09 9.31 N/A N/A 548 595 105,914 49,973 2008-07-22 $18.55 $20.00 77.8% 22.3% 67.8% 85.3% 81.3% 12.8% -10.0% 1.1M -9.8M -337.1K 2.26 8.63 N/A N/A 988 2,235 106,107 50,328 2008-07-23 $19.15 $20.00 71.2% 20.4% 67.8% 72.1% 78.7% 10.0% -7.8% 1.2M -19.4M -353.9K 1.34 13.61 N/A N/A 2,305 3,093 106,334 52,187 2008-07-24 $18.31 $20.00 76.6% 22.0% 68.4% 82.9% 75.5% 5.8% -7.7% 1.0M -6.1M -334.5K 1.22 9.20 N/A N/A 1,046 1,280 107,132 53,304 2008-07-25 $18.07 $20.00 76.4% 21.9% 67.9% 82.4% 73.2% 9.9% -8.8% 1.0M -1.3M -325.3K 0.44 8.04 N/A N/A 3,335 1,471 107,531 52,894 2008-07-28 $17.61 $20.00 78.9% 22.6% 68.3% 87.5% 78.9% 8.8% -10.3% 787.2K 7.0M -294.1K 0.38 8.50 N/A N/A 2,020 776 105,125 53,233 2008-07-29 $18.58 $20.00 78.8% 22.6% 71.4% 87.2% 72.5% 13.1% -12.1% 1.1M -5.3M -313.3K 0.75 9.59 N/A N/A 1,814 1,352 105,616 53,762 2008-07-30 $18.94 $20.00 69.7% 20.0% 71.8% 69.2% 70.0% 11.2% -8.4% 1.2M -10.1M -328.0K 0.23 8.17 N/A N/A 7,068 1,658 106,506 54,352 2008-07-31 $18.81 $20.00 67.8% 19.4% 71.2% 65.3% 67.5% 10.5% -4.7% 1.3M -8.7M -325.1K 0.15 11.30 N/A N/A 1,889 285 110,254 55,144
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