M Options History — February 2009 In February 2009, M traded between $7.40 and $9.70. ATM implied volatility averaged 99.6%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 29.3%. IV traded above realized volatility by 19.3% (HV 20d: 80.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.11.
Notable Days 2009-02-02 : Highest Volume — 80,060 contracts2009-02-06 : Largest IV drop — 27.2% change2009-02-02 : Highest IV Rank — 50.6%2009-02-02 : Largest Expected Move — 36.3%Monthly Statistics Metric Avg Min Max Open Close Price $8.38 $7.40 $9.70 $8.59 $7.87 Max Pain $9.47 $7.50 $10.00 $10.00 $7.50 ATM IV 99.6% 78.4% 126.5% 126.5% 87.8% Expected Move 29.3% 25.2% 36.3% 36.3% 25.2% HV 20d 80.4% 69.5% 87.9% 72.9% 83.5% HV 60d 103.2% 91.9% 109.5% 109.5% 91.9% IV Rank 35.2% 23.0% 50.6% 50.6% 28.4% IV Percentile 72.6% 62.7% 84.5% 84.5% 63.1% Term Structure -4.4% -13.6% 2.5% -13.6% 2.5% VWIV 100.3% 85.7% 119.6% 118.4% 87.4% Skew 25d 21.1% -9.0% 38.2% 32.3% -9.0% Skew 10d 55.0% -18.7% 95.1% 52.8% -18.7% Call IV 25d 90.8% 82.4% 106.0% 97.4% 87.2% Put IV 25d 111.9% 78.2% 129.6% 129.6% 78.2% Bid-Ask Spread % 9.86 5.05 17.17 6.27 9.77 Gamma HHI 0.29 0.22 0.55 0.22 0.22 Net GEX 65.0K -591.9K 290.2K 191.3K 111.1K Net DEX -2.7M -16.1M 6.7M -3.3M 1.2M Net VEX -203.5K -249.6K -168.4K -208.7K -181.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.11 0.11 8.73 1.60 0.11 Total Volume 13,859.053 1,293 80,060 80,060 4,807 Total OI 191,719.158 135,100 225,367 180,318 159,923
Daily Data (19 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 2009-02-02 $8.59 $10.00 126.5% 36.3% 72.9% 50.6% 118.4% 32.3% -13.6% 191.3K -3.3M -208.7K 1.60 6.27 N/A N/A 30,800 49,260 95,266 85,052 2009-02-03 $8.83 $10.00 94.5% 27.1% 69.5% 32.2% 108.5% 38.2% 1.3% 165.1K -6.9M -249.6K 1.50 5.05 N/A N/A 4,964 7,464 109,328 104,870 2009-02-04 $8.32 $10.00 112.9% 32.4% 71.0% 42.8% 107.9% 27.6% -3.8% 92.3K -611.7K -234.9K 0.75 6.13 N/A N/A 4,198 3,129 118,470 106,897 2009-02-05 $8.75 $10.00 107.7% 30.9% 74.6% 39.8% 103.8% 19.4% -0.5% 105.5K -3.8M -224.9K 3.86 5.62 N/A N/A 1,887 7,277 99,561 102,630 2009-02-06 $9.70 $10.00 78.4% 25.9% 84.6% 23.0% 92.0% 23.3% -1.6% 279.4K -16.1M -242.7K 0.47 10.96 N/A N/A 4,869 2,280 97,958 103,882 2009-02-09 $9.46 $10.00 81.6% 25.7% 82.6% 24.8% 93.6% 22.4% -1.2% 290.2K -13.0M -234.8K 0.20 10.77 N/A N/A 9,746 1,926 100,066 104,501 2009-02-10 $8.78 $10.00 80.4% 26.2% 85.6% 24.2% 105.4% 23.7% -3.1% 148.0K -4.2M -220.9K 3.08 12.10 N/A N/A 317 976 102,050 104,516 2009-02-11 $8.50 $10.00 88.6% 30.4% 85.8% 28.9% 93.1% 24.2% -7.1% -27.3K -1.3M -201.1K 1.98 11.04 N/A N/A 7,195 14,212 101,085 103,319 2009-02-12 $8.71 $10.00 105.4% 30.2% 84.3% 38.5% 94.7% 21.4% -5.1% 83.1K -4.4M -206.7K 3.14 17.17 N/A N/A 1,969 6,179 102,636 102,241 2009-02-13 $8.63 $10.00 104.1% 29.9% 83.5% 37.8% 96.8% 21.8% -6.5% 108.6K -4.1M -205.3K 1.39 9.30 N/A N/A 640 889 102,883 98,409 2009-02-17 $8.08 $10.00 109.3% 31.3% 86.1% 40.7% 102.8% 23.9% -7.4% -120.9K 970.4K -182.9K 2.37 9.91 N/A N/A 2,564 6,085 102,739 98,199 2009-02-18 $7.89 $10.00 109.7% 31.5% 77.5% 41.0% 103.6% 25.3% -5.9% 158.7K -936.7K -174.3K 8.73 7.89 N/A N/A 551 4,812 103,353 98,038 2009-02-19 $7.66 $10.00 109.7% 31.5% 74.1% 41.0% 104.0% 19.9% -10.0% -591.9K 6.7M -171.6K 1.00 10.44 N/A N/A 2,998 3,006 103,452 101,865 2009-02-20 $7.86 $10.00 113.9% 32.7% 74.7% 43.4% 107.7% 16.6% -12.7% -393.8K 1.4M -177.4K 1.63 14.24 N/A N/A 6,382 10,420 105,002 101,658 2009-02-23 $7.40 $10.00 107.3% 30.8% 75.5% 39.6% 119.6% 12.4% -5.6% 114.9K 1.7M -168.4K 6.30 10.66 N/A N/A 4,549 28,669 76,230 58,870 2009-02-24 $8.29 $7.50 95.3% 27.3% 87.7% 32.7% 91.9% 20.1% -2.0% 197.7K -2.4M -193.8K 1.41 9.75 N/A N/A 4,194 5,904 79,117 78,319 2009-02-25 $8.10 $7.50 91.4% 26.2% 87.9% 30.5% 85.7% 21.0% -1.9% 157.0K -1.5M -191.7K 0.23 10.83 N/A N/A 10,264 2,324 80,414 80,381 2009-02-26 $7.84 $7.50 88.4% 25.4% 85.6% 28.8% 89.2% 16.3% 0.9% 166.6K -1.3M -196.4K 0.38 9.36 N/A N/A 4,057 1,559 88,408 81,076 2009-02-27 $7.87 $7.50 87.8% 25.2% 83.5% 28.4% 87.4% -9.0% 2.5% 111.1K 1.2M -181.1K 0.11 9.77 N/A N/A 4,317 490 78,493 81,430
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