M Options History — September 2008

In September 2008, M traded between $17.28 and $22.38. ATM implied volatility averaged 63.8%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 2.6% (HV 20d: 66.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2008-09-17: Highest Volume — 16,490 contracts
  • 2008-09-29: Largest IV spike — 27.7% change
  • 2008-09-29: Highest IV Rank — 73.4%
  • 2008-09-29: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.98$17.28$22.38$21.62$17.98
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV63.8%51.5%81.3%51.5%73.9%
Expected Move18.3%14.8%23.3%14.8%21.2%
HV 20d66.4%52.9%84.4%68.5%84.4%
HV 60d66.8%62.7%75.1%63.0%75.1%
IV Rank45.7%26.4%73.4%26.4%61.7%
IV Percentile75.7%40.1%98.4%40.1%90.5%
Term Structure0.5%-4.3%2.6%1.3%-0.4%
VWIV62.8%53.5%78.2%53.6%72.5%
Skew 25d10.2%7.0%14.0%8.5%13.1%
Skew 10d23.5%6.7%33.4%16.5%9.8%
Call IV 25d59.1%48.3%76.5%49.3%68.1%
Put IV 25d69.3%57.8%90.5%57.8%81.2%
Bid-Ask Spread %15.977.6029.9912.9520.84
Gamma HHI0.200.140.260.250.16
Net GEX206.5K-105.5K621.7K447.3K-56.3K
Net DEX-1.8M-31.2M19.7M-21.5M19.2M
Net VEX-268.5K-303.0K-217.5K-286.4K-219.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.023.580.220.02
Total Volume4,6881,02716,4908,7088,924
Total OI117,615.81110,731128,993110,731114,967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$21.62$20.0051.5%14.8%68.5%26.4%53.6%8.5%1.3%447.3K-21.5M-286.4K0.2212.95N/AN/A7,1441,56466,73443,997
2008-09-03$21.89$20.0051.9%14.9%62.3%26.9%54.7%9.5%1.6%482.1K-24.6M-286.9K0.887.60N/AN/A1,6171,42667,01344,713
2008-09-04$20.69$20.0057.1%16.4%66.1%35.2%55.2%7.0%-0.4%319.8K-11.6M-283.5K0.3812.92N/AN/A2,8531,07367,55245,448
2008-09-05$21.08$20.0058.5%16.6%64.4%37.3%53.5%9.7%2.0%372.0K-15.6M-285.0K1.2411.44N/AN/A1,7642,18467,94845,650
2008-09-08$22.38$20.0053.6%15.9%59.6%29.7%56.1%10.0%1.9%621.7K-31.2M-296.2K0.4513.42N/AN/A4,0331,80869,20346,372
2008-09-09$21.80$20.0060.3%16.6%58.6%40.3%60.5%8.6%1.6%509.1K-26.1M-303.0K2.1813.43N/AN/A1,1932,60070,55047,721
2008-09-10$21.88$20.0056.8%16.5%53.1%34.7%60.9%8.6%1.8%505.0K-25.6M-302.5K3.4614.77N/AN/A8823,04870,88448,587
2008-09-11$21.85$20.0055.7%16.0%52.9%33.0%56.2%10.7%2.6%417.4K-19.2M-302.1K0.1115.19N/AN/A6,13665768,19150,259
2008-09-12$20.81$20.0061.2%17.6%55.1%41.7%55.3%11.3%1.4%429.3K-9.8M-300.4K1.5713.58N/AN/A1,3092,05773,08050,375
2008-09-15$19.46$20.0065.1%18.7%59.5%47.8%60.5%12.3%-1.1%57.5K9.6M-272.9K0.7117.13N/AN/A1,14080873,03451,451
2008-09-16$20.17$20.0064.2%18.4%60.9%46.4%64.3%11.6%0.8%193.4K-153.7K-277.5K1.6514.94N/AN/A52085673,20150,547
2008-09-17$18.55$20.0076.6%22.0%62.9%66.0%71.2%8.8%-2.7%-105.5K18.2M-254.0K1.3720.98N/AN/A6,9639,52773,27850,541
2008-09-18$19.91$20.0068.5%19.6%67.3%53.2%67.3%11.9%-1.6%-81.2K6.7M-276.7K3.5825.48N/AN/A2,0337,27871,13157,835
2008-09-19$19.96$20.0068.0%19.5%67.1%52.3%65.6%10.2%-4.3%152.3K5.2M-279.5K0.7416.30N/AN/A1,6561,22771,42057,573
2008-09-22$18.42$20.0069.8%20.0%71.8%55.3%65.8%9.2%2.0%-31.5K15.6M-243.5K0.3810.67N/AN/A3,1031,18462,85349,017
2008-09-23$17.75$20.0068.3%19.6%72.2%52.9%71.2%8.9%1.2%-25.1K19.2M-226.4K0.6512.83N/AN/A62140664,38348,753
2008-09-24$17.77$20.0071.2%20.4%72.3%57.4%70.3%10.8%-1.1%-32.8K18.7M-223.7K1.9722.44N/AN/A6301,24164,28848,273
2008-09-25$18.90$20.0062.3%17.9%75.9%43.4%64.6%9.4%2.4%56.6K10.2M-245.8K0.3314.13N/AN/A2,01366364,83748,990
2008-09-26$19.40$20.0063.7%18.3%74.4%45.5%61.6%10.7%1.4%143.3K5.2M-255.1K0.4114.25N/AN/A97540365,47349,187
2008-09-29$17.28$20.0081.3%23.3%84.3%73.4%78.2%14.0%-1.0%-38.5K19.7M-217.5K1.8529.99N/AN/A1,0271,90265,49749,126
2008-09-30$17.98$20.0073.9%21.2%84.4%61.7%72.5%13.1%-0.4%-56.3K19.2M-219.7K0.0220.84N/AN/A8,78014465,11249,855