M Options History — November 2008

In November 2008, M traded between $5.68 and $11.72. ATM implied volatility averaged 143.3%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 40.1%. IV traded above realized volatility by 12.8% (HV 20d: 130.5%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 2.24.

Notable Days

  • 2008-11-05: Highest Volume — 31,372 contracts
  • 2008-11-18: Largest IV spike — 19.4% change
  • 2008-11-20: Highest IV Rank — 84.3%
  • 2008-11-20: Largest Expected Move — 53.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.27$5.68$11.72$11.65$7.42
Max Pain$10.39$7.50$12.50$12.50$7.50
ATM IV143.3%120.9%185.1%126.0%138.4%
Expected Move40.1%33.3%53.1%36.1%39.7%
HV 20d130.5%114.7%157.8%157.8%119.5%
HV 60d112.9%107.0%121.9%107.6%121.9%
IV Rank60.3%47.4%84.3%50.3%57.5%
IV Percentile96.6%91.3%99.6%94.4%94.8%
Term Structure-10.7%-19.5%-2.5%-17.4%-5.2%
VWIV139.0%111.0%182.1%126.0%157.2%
Skew 25d27.6%16.1%43.4%24.5%39.7%
Skew 10d62.3%15.9%118.3%55.0%85.4%
Call IV 25d125.9%100.5%167.0%116.9%130.8%
Put IV 25d153.5%126.3%187.8%141.4%170.5%
Bid-Ask Spread %13.597.9721.868.869.05
Gamma HHI0.240.210.270.220.24
Net GEX-123.6K-266.7K105.2K-146.7K77.7K
Net DEX30.9M14.7M46.5M25.8M16.0M
Net VEX-162.6K-240.8K-118.3K-163.7K-170.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.139.867.840.60
Total Volume12,732.6841,55831,3728,4649,320
Total OI201,638.421165,177251,734165,177201,560

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$11.65$12.50126.0%36.1%157.8%50.3%126.0%24.5%-17.4%-146.7K25.8M-163.7K7.848.86N/AN/A9577,50782,79082,387
2008-11-04$11.72$12.50120.9%34.7%155.3%47.4%125.3%17.4%-17.6%-243.0K29.6M-166.8K1.898.74N/AN/A5391,01982,57387,497
2008-11-05$10.85$12.50131.5%37.7%157.1%53.5%128.5%17.7%-16.9%-266.7K33.2M-150.0K0.5614.19N/AN/A20,10711,26582,75387,588
2008-11-06$10.44$12.50140.8%40.4%148.3%58.8%134.3%16.1%-18.3%-171.7K24.5M-228.1K1.6517.14N/AN/A2,5144,153102,06590,768
2008-11-07$10.96$12.50136.6%34.3%139.8%56.4%113.6%25.8%-9.5%-171.3K23.5M-240.8K1.0116.92N/AN/A1,2541,265103,25792,100
2008-11-10$9.94$12.50135.4%33.3%138.9%55.7%117.8%24.9%-7.6%-214.9K29.8M-212.1K1.0915.46N/AN/A2,0092,186102,99592,501
2008-11-11$9.41$12.50137.6%33.8%139.1%57.0%125.0%26.1%-6.9%-221.0K34.0M-194.4K5.3413.35N/AN/A2,50213,356102,89193,200
2008-11-12$8.37$12.50141.5%37.8%127.7%59.2%111.0%29.1%-8.9%-237.3K38.5M-171.1K1.6212.98N/AN/A3,9196,355103,56498,269
2008-11-13$8.38$12.50126.0%36.1%114.7%50.3%119.7%32.6%-7.9%-169.0K37.3M-164.9K0.9813.04N/AN/A6,5536,425105,96894,448
2008-11-14$7.52$10.00125.2%35.9%120.0%49.9%124.2%29.0%-6.7%-152.2K36.2M-149.3K0.569.66N/AN/A6,3593,539109,22396,620
2008-11-17$7.01$10.00128.5%36.8%115.4%51.8%134.9%28.3%-6.1%-143.4K35.7M-138.9K9.867.97N/AN/A2,35023,180113,63395,702
2008-11-18$6.09$10.00153.4%44.0%122.5%66.1%135.1%23.2%-7.7%-92.8K46.5M-118.3K0.1712.73N/AN/A13,0782,237115,019114,414
2008-11-19$5.68$10.00176.8%50.7%119.7%79.5%160.5%28.4%-17.2%-117.8K40.6M-118.8K0.7721.86N/AN/A9,5907,383127,343112,405
2008-11-20$5.85$7.50185.1%53.1%118.1%84.3%181.2%27.8%-19.5%-51.7K40.3M-126.3K0.5519.29N/AN/A5,0502,755134,623114,743
2008-11-21$5.73$7.50181.5%52.0%117.1%82.2%182.1%20.9%-11.4%-41.2K37.8M-127.2K4.4619.33N/AN/A1,8208,124137,224114,510
2008-11-24$6.66$7.50150.6%43.2%132.2%64.5%169.9%43.4%-10.0%-44.5K21.4M-138.0K1.5216.25N/AN/A7,49411,39489,64182,641
2008-11-25$6.46$7.50147.7%42.3%117.5%62.8%148.3%37.0%-6.0%-46.3K20.8M-137.6K0.1310.99N/AN/A23,2623,04991,38987,890
2008-11-26$7.03$7.50139.5%40.0%119.7%58.1%145.6%32.9%-2.5%105.2K14.7M-173.6K1.9310.32N/AN/A2,7475,305116,30888,628
2008-11-28$7.42$7.50138.4%39.7%119.5%57.5%157.2%39.7%-5.2%77.7K16.0M-170.2K0.609.05N/AN/A5,8343,486110,03091,530