M Options History — August 2008 In August 2008, M traded between $17.89 and $21.82. ATM implied volatility averaged 63.9%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 6.9% (HV 20d: 70.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.74.
Notable Days 2008-08-11 : Highest Volume — 22,695 contracts2008-08-13 : Largest IV drop — 40.6% change2008-08-11 : Highest IV Rank — 100.0%2008-08-01 : Largest Expected Move — 21.3%Monthly Statistics Metric Avg Min Max Open Close Price $20.08 $17.89 $21.82 $18.17 $20.82 Max Pain $19.05 $17.50 $20.00 $20.00 $20.00 ATM IV 63.9% 51.7% 98.2% 74.4% 52.7% Expected Move 16.6% 14.8% 21.3% 21.3% 15.1% HV 20d 70.8% 66.7% 78.4% 72.0% 68.2% HV 60d 61.1% 54.6% 63.8% 55.0% 63.2% IV Rank 51.4% 26.7% 100.0% 78.6% 28.3% IV Percentile 69.6% 41.7% 100.0% 93.3% 46.8% Term Structure 1.1% -7.8% 4.9% -7.8% 1.8% VWIV 58.6% 49.0% 78.1% 78.1% 56.9% Skew 25d 9.6% 5.3% 13.9% 13.9% 9.3% Skew 10d 22.0% 14.7% 39.2% 39.2% 27.1% Call IV 25d 53.1% 45.9% 64.7% 64.7% 46.3% Put IV 25d 62.7% 55.6% 78.6% 78.6% 55.6% Bid-Ask Spread % 10.87 6.64 16.00 7.84 8.46 Gamma HHI 0.30 0.15 0.58 0.46 0.22 Net GEX 875.0K 48.6K 2.3M 1.0M 342.2K Net DEX -17.8M -74.8M 9.3M 3.0M -12.5M Net VEX -298.8K -338.4K -271.1K -301.0K -283.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.17 1.86 0.29 1.11 Total Volume 7,265.381 619 22,695 1,772 1,057 Total OI 140,549.619 100,319 175,756 164,704 110,874
Daily Data (21 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 2008-08-01 $18.17 $20.00 74.4% 21.3% 72.0% 78.6% 78.1% 13.9% -7.8% 1.0M 3.0M -301.0K 0.29 7.84 N/A N/A 1,374 398 109,573 55,131 2008-08-04 $17.89 $17.50 78.2% 18.8% 72.2% 86.1% 65.2% 10.5% -1.3% 906.7K 9.3M -277.7K 0.85 16.00 N/A N/A 4,205 3,577 109,669 55,043 2008-08-05 $19.49 $17.50 73.2% 17.5% 78.4% 76.2% 62.7% 11.8% 0.2% 1.6M -22.1M -332.0K 0.66 13.27 N/A N/A 7,689 5,046 112,919 57,433 2008-08-06 $19.68 $17.50 73.6% 17.6% 76.4% 76.9% 62.1% 11.2% -0.0% 1.5M -21.9M -327.3K 1.84 10.34 N/A N/A 774 1,428 111,097 59,838 2008-08-07 $18.92 $17.50 75.6% 17.6% 68.9% 80.9% 64.9% 9.6% 0.4% 1.3M -8.0M -306.9K 0.96 13.94 N/A N/A 1,140 1,090 111,284 60,250 2008-08-08 $20.73 $17.50 78.3% 17.6% 71.5% 86.4% 61.2% 8.9% -0.2% 1.9M -45.5M -335.7K 0.59 7.46 N/A N/A 6,346 3,738 111,146 60,539 2008-08-11 $21.65 $17.50 88.4% 17.4% 71.4% 100.0% 61.8% 10.2% -1.2% 2.1M -74.8M -338.4K 0.19 11.50 N/A N/A 19,028 3,667 113,098 62,319 2008-08-12 $20.27 $17.50 98.2% 18.7% 75.9% 100.0% 68.1% 10.9% -3.0% 1.6M -32.6M -311.0K 1.13 11.72 N/A N/A 6,993 7,871 107,885 61,702 2008-08-13 $20.66 $17.50 58.3% 16.9% 70.1% 37.1% 59.2% 10.6% 3.6% 2.3M -41.1M -306.1K 1.18 12.35 N/A N/A 7,854 9,292 109,708 66,048 2008-08-14 $21.22 $20.00 58.7% 16.8% 68.2% 37.8% 57.6% 8.5% 2.9% 1.9M -49.3M -314.7K 0.17 14.05 N/A N/A 18,210 3,110 107,667 66,762 2008-08-15 $21.49 $20.00 52.9% 15.2% 67.6% 28.6% 57.0% 9.6% 4.9% 324.7K -45.7M -301.9K 0.25 7.98 N/A N/A 3,754 942 101,985 66,920 2008-08-18 $21.82 $20.00 52.3% 15.0% 66.7% 27.7% 53.6% 8.8% 2.9% 272.2K -18.7M -301.4K 0.54 8.22 N/A N/A 2,769 1,502 59,204 41,115 2008-08-19 $20.32 $20.00 56.5% 16.2% 71.3% 34.3% 55.7% 10.1% 1.2% 162.6K -5.5M -287.7K 1.86 15.54 N/A N/A 4,151 7,713 61,071 42,147 2008-08-20 $19.67 $20.00 54.7% 15.7% 71.6% 31.4% 55.1% 7.9% 1.8% 48.6K 2.0M -282.9K 0.63 9.79 N/A N/A 1,674 1,056 62,607 44,426 2008-08-21 $19.44 $20.00 53.5% 15.3% 69.8% 29.5% 53.9% 8.7% 3.0% 67.3K 3.0M -273.6K 0.68 9.18 N/A N/A 3,585 2,427 63,437 42,966 2008-08-22 $20.13 $20.00 52.1% 14.9% 70.4% 27.2% 52.7% 9.3% 4.3% 258.6K -5.4M -287.9K 0.54 15.76 N/A N/A 1,936 1,045 65,886 42,657 2008-08-25 $19.57 $20.00 54.8% 15.7% 70.5% 31.6% 54.0% 5.3% 1.6% 157.0K 367.5K -277.0K 0.96 6.64 N/A N/A 316 303 65,532 43,175 2008-08-26 $19.50 $20.00 52.0% 14.9% 68.2% 27.1% 49.0% 9.1% 3.7% 136.1K 1.7M -271.1K 0.57 10.71 N/A N/A 801 453 65,608 43,288 2008-08-27 $19.69 $20.00 52.2% 15.0% 68.0% 27.5% 51.6% 6.6% 2.3% 156.7K 72.1K -273.2K 0.27 8.57 N/A N/A 1,459 394 65,818 43,510 2008-08-28 $20.65 $20.00 51.7% 14.8% 69.8% 26.7% 50.3% 10.8% 2.6% 305.0K -10.4M -283.7K 0.34 8.92 N/A N/A 1,794 612 66,635 43,570 2008-08-29 $20.82 $20.00 52.7% 15.1% 68.2% 28.3% 56.9% 9.3% 1.8% 342.2K -12.5M -283.3K 1.11 8.46 N/A N/A 500 557 67,101 43,773
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