M Options History — December 2008 In December 2008, M traded between $6.41 and $10.62. ATM implied volatility averaged 120.4%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 34.6%. IV traded below realized volatility by 5.7% (HV 20d: 126.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.24.
Notable Days 2008-12-02 : Highest Volume — 21,152 contracts2008-12-11 : Largest IV spike — 25.5% change2008-12-01 : Highest IV Rank — 65.7%2008-12-01 : Largest Expected Move — 43.8%Monthly Statistics Metric Avg Min Max Open Close Price $8.72 $6.41 $10.62 $6.41 $10.35 Max Pain $9.55 $7.50 $10.00 $7.50 $10.00 ATM IV 120.4% 97.1% 152.8% 152.8% 97.1% Expected Move 34.6% 27.8% 43.8% 43.8% 27.8% HV 20d 126.1% 106.5% 139.8% 123.7% 107.1% HV 60d 130.2% 124.5% 134.6% 124.5% 134.6% IV Rank 47.1% 33.7% 65.7% 65.7% 33.7% IV Percentile 85.0% 75.8% 98.0% 98.0% 75.8% Term Structure 0.0% -10.5% 18.4% -8.2% 2.2% VWIV 124.8% 99.6% 178.1% 178.1% 99.6% Skew 25d 29.9% 18.8% 45.1% 39.6% 23.1% Skew 10d 69.5% 41.1% 115.5% 106.2% 64.5% Call IV 25d 108.7% 91.3% 146.7% 146.7% 91.3% Put IV 25d 138.7% 114.5% 186.3% 186.3% 114.5% Bid-Ask Spread % 9.87 5.54 16.21 16.13 6.58 Gamma HHI 0.27 0.22 0.43 0.23 0.25 Net GEX 214.7K 33.0K 404.5K 49.2K 278.0K Net DEX -2.0M -33.2M 18.7M 17.8M -16.0M Net VEX -226.0K -289.2K -150.1K -150.1K -257.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.21 3.97 3.07 0.70 Total Volume 7,688.227 1,391 21,152 15,829 6,363 Total OI 227,280.682 204,397 246,798 204,397 222,667
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 2008-12-01 $6.41 $7.50 152.8% 43.8% 123.7% 65.7% 178.1% 39.6% -8.2% 49.2K 17.8M -150.1K 3.07 16.13 N/A N/A 3,888 11,941 111,886 92,511 2008-12-02 $7.00 $7.50 142.3% 40.8% 130.6% 59.7% 145.0% 45.1% -6.8% 33.0K 18.7M -163.2K 0.21 16.21 N/A N/A 17,534 3,618 112,816 100,948 2008-12-03 $7.39 $7.50 138.0% 39.6% 133.2% 57.3% 135.4% 44.9% -2.6% 158.0K 11.3M -193.7K 0.57 11.63 N/A N/A 4,992 2,847 127,139 95,855 2008-12-04 $7.83 $7.50 142.6% 40.9% 134.5% 59.9% 142.3% 42.8% -5.6% 191.5K 4.7M -214.6K 0.51 14.67 N/A N/A 10,065 5,174 130,213 97,160 2008-12-05 $8.61 $10.00 138.0% 38.2% 139.8% 57.2% 119.8% 38.6% 0.2% 240.6K -1.5M -234.8K 1.04 9.71 N/A N/A 2,864 2,975 132,795 99,441 2008-12-08 $8.82 $10.00 114.5% 32.6% 138.8% 43.7% 125.5% 32.4% 18.4% 268.1K -4.2M -234.0K 1.31 7.13 N/A N/A 3,525 4,608 133,345 99,823 2008-12-09 $8.56 $10.00 132.1% 37.9% 135.2% 53.8% 121.4% 30.9% 1.8% 256.9K -2.0M -226.4K 0.34 11.77 N/A N/A 6,911 2,378 133,457 100,761 2008-12-10 $8.84 $10.00 105.7% 33.0% 134.7% 38.7% 138.6% 29.3% 15.9% 277.0K -3.8M -233.4K 0.68 9.95 N/A N/A 3,873 2,644 134,796 100,785 2008-12-11 $8.17 $10.00 132.7% 38.0% 131.0% 54.2% 124.7% 34.9% -2.0% 233.0K 3.7M -218.2K 3.97 8.66 N/A N/A 642 2,550 132,624 102,118 2008-12-12 $8.50 $10.00 131.3% 37.6% 131.8% 53.4% 138.4% 37.5% -1.4% 262.9K 912.5K -218.7K 1.86 8.18 N/A N/A 498 925 132,927 100,693 2008-12-15 $8.15 $10.00 129.6% 37.2% 126.5% 52.4% 124.2% 30.6% 0.3% 246.4K 2.2M -206.3K 1.61 8.22 N/A N/A 1,667 2,683 133,045 99,537 2008-12-16 $8.47 $10.00 126.5% 36.3% 123.9% 50.6% 130.5% 33.8% 0.9% 249.3K -116.4K -213.2K 2.59 8.98 N/A N/A 387 1,004 133,868 100,232 2008-12-17 $10.01 $10.00 110.1% 31.6% 122.6% 41.2% 117.3% 31.1% -10.5% 354.3K -21.4M -252.9K 0.62 11.11 N/A N/A 11,154 6,886 133,924 99,464 2008-12-18 $10.42 $10.00 108.5% 31.1% 117.5% 40.3% 108.6% 20.0% -7.2% 404.5K -29.8M -274.7K 1.06 7.88 N/A N/A 8,368 8,886 139,381 102,672 2008-12-19 $10.62 $10.00 104.9% 30.1% 117.5% 38.2% 105.3% 18.9% 2.6% 258.4K -33.2M -289.2K 0.64 7.62 N/A N/A 1,756 1,130 140,433 106,365 2008-12-22 $9.35 $10.00 104.8% 30.0% 129.1% 38.2% 112.2% 21.0% 1.4% 182.3K -2.0M -246.7K 1.90 8.18 N/A N/A 2,052 3,892 121,265 93,399 2008-12-23 $8.71 $10.00 120.4% 34.5% 124.3% 47.1% 124.1% 18.8% -5.2% 129.9K 4.0M -228.9K 0.69 7.63 N/A N/A 4,450 3,078 121,275 95,354 2008-12-24 $8.82 $10.00 99.5% 28.5% 123.2% 35.1% 117.7% 19.8% 0.5% 153.3K 2.9M -232.3K 0.46 13.15 N/A N/A 1,305 599 124,007 96,666 2008-12-26 $8.60 $10.00 117.4% 33.7% 121.2% 45.4% 121.1% 20.3% -1.8% 138.6K 4.6M -223.3K 1.82 8.90 N/A N/A 798 1,451 124,033 96,911 2008-12-29 $8.89 $10.00 101.0% 28.9% 120.5% 36.0% 108.5% 22.0% 2.4% 155.6K 3.1M -224.8K 1.20 5.54 N/A N/A 1,435 1,715 124,220 97,724 2008-12-30 $9.41 $10.00 98.0% 28.1% 106.5% 34.2% 107.8% 23.1% 5.5% 202.6K -3.7M -234.4K 0.43 9.20 N/A N/A 2,542 1,088 124,829 96,811 2008-12-31 $10.35 $10.00 97.1% 27.8% 107.1% 33.7% 99.6% 23.1% 2.2% 278.0K -16.0M -257.9K 0.70 6.58 N/A N/A 3,750 2,613 125,796 96,871
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