M Options History — January 2009

In January 2009, M traded between $8.73 and $11.69. ATM implied volatility averaged 89.5%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded below realized volatility by 5.4% (HV 20d: 94.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2009-01-09: Highest Volume — 23,414 contracts
  • 2009-01-20: Largest IV spike — 29.0% change
  • 2009-01-20: Highest IV Rank — 44.5%
  • 2009-01-20: Largest Expected Move — 33.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.03$8.73$11.69$10.98$8.95
Max Pain$12.13$10.00$12.50$10.00$10.00
ATM IV89.5%74.4%115.8%95.6%86.2%
Expected Move26.2%22.6%33.2%27.4%24.7%
HV 20d94.9%76.3%108.1%107.3%76.3%
HV 60d118.4%109.2%134.7%134.1%109.2%
IV Rank29.4%20.7%44.5%32.9%27.5%
IV Percentile71.7%63.9%80.6%75.4%68.3%
Term Structure3.8%-1.6%10.8%5.1%1.6%
VWIV102.2%81.2%120.2%94.6%89.8%
Skew 25d25.7%18.2%32.7%18.2%21.8%
Skew 10d63.9%44.8%90.3%60.3%48.5%
Call IV 25d84.4%76.4%91.5%84.0%88.5%
Put IV 25d110.1%102.2%120.4%102.2%110.3%
Bid-Ask Spread %10.045.4213.7110.816.84
Gamma HHI0.280.200.510.260.23
Net GEX387.2K128.3K995.1K331.6K207.5K
Net DEX-15.2M-36.5M-3.1M-24.0M-4.0M
Net VEX-241.2K-271.8K-204.6K-260.6K-212.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.194.200.350.19
Total Volume7,690.71,07723,41412,31015,389
Total OI205,618.5157,941247,264223,955175,437

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$10.98$10.0095.6%27.4%107.3%32.9%94.6%18.2%5.1%331.6K-24.0M-260.6K0.3510.81N/AN/A9,0943,216126,86797,088
2009-01-05$11.66$12.5093.3%26.1%107.5%31.6%113.6%23.5%0.6%375.3K-36.5M-269.2K1.168.74N/AN/A5,9346,880130,17898,066
2009-01-06$11.69$12.5093.6%25.5%103.8%31.7%96.2%23.2%2.9%367.9K-36.2M-271.8K0.818.86N/AN/A1,7651,432130,009100,677
2009-01-07$11.31$12.5086.7%24.9%105.2%27.8%108.0%22.9%1.8%392.6K-31.2M-268.3K0.288.63N/AN/A12,1003,408132,385101,253
2009-01-08$10.93$12.5088.3%28.1%105.4%28.7%102.5%21.9%-1.6%524.2K-31.6M-270.4K1.809.49N/AN/A3,5476,388140,196101,890
2009-01-09$10.30$12.5083.4%27.1%108.1%25.9%96.8%22.9%1.2%461.2K-19.8M-261.6K0.3711.08N/AN/A17,1286,286138,041102,779
2009-01-12$9.93$12.5093.7%27.9%104.6%31.8%106.8%23.8%-0.1%492.5K-14.4M-246.9K2.4212.94N/AN/A1,4093,408138,610101,622
2009-01-13$10.05$12.5074.4%26.1%104.0%20.7%104.7%22.9%5.5%706.7K-16.9M-248.1K2.6011.99N/AN/A1,5424,005139,690101,243
2009-01-14$9.47$12.5090.7%26.8%105.3%30.1%108.5%24.9%2.7%532.4K-5.7M-230.7K1.7310.44N/AN/A4,0627,007139,876101,966
2009-01-15$9.74$12.5092.7%26.6%104.9%31.2%101.6%24.2%3.7%740.6K-10.0M-245.4K0.8810.26N/AN/A2,5682,255140,963106,301
2009-01-16$9.76$12.5089.8%25.7%86.2%29.5%104.0%25.9%4.3%995.1K-4.6M-236.4K4.208.57N/AN/A7653,216139,430106,616
2009-01-20$8.73$12.50115.8%33.2%93.1%44.5%105.6%29.0%-0.8%128.3K-3.1M-204.6K2.2013.71N/AN/A1,5753,45980,91577,026
2009-01-21$9.26$12.5088.6%25.4%95.7%28.9%101.9%30.5%6.8%163.7K-6.4M-223.0K2.648.70N/AN/A6551,73281,89478,157
2009-01-22$9.39$12.5090.5%25.9%84.7%29.9%101.1%26.0%7.6%180.3K-8.9M-223.9K1.0310.56N/AN/A2,1772,24382,36279,113
2009-01-23$9.65$12.5087.5%25.1%80.8%28.2%104.1%31.0%7.4%196.5K-9.9M-234.0K0.4913.41N/AN/A2,0681,02084,00580,667
2009-01-26$9.73$12.5089.9%25.8%80.8%29.6%120.2%32.7%5.6%214.6K-10.4M-226.8K3.6010.05N/AN/A4951,78185,54980,879
2009-01-27$9.57$12.5088.2%25.3%80.4%28.6%116.8%32.0%4.9%208.2K-9.0M-227.7K3.8613.20N/AN/A5312,05185,81681,723
2009-01-28$10.04$12.5083.0%23.8%81.2%25.7%85.2%31.1%5.6%266.9K-13.3M-235.4K0.707.03N/AN/A5,9744,17285,89982,270
2009-01-29$9.41$10.0078.7%22.6%82.6%23.2%81.2%25.5%10.8%257.6K-8.7M-227.1K1.325.42N/AN/A46561290,41484,498
2009-01-30$8.95$10.0086.2%24.7%76.3%27.5%89.8%21.8%1.6%207.5K-4.0M-212.4K0.196.84N/AN/A12,9192,47090,94784,490