M Options History — March 2009 In March 2009, M traded between $6.58 and $9.71. ATM implied volatility averaged 92.8%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 0.3% (HV 20d: 92.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.99.
Notable Days 2009-03-24 : Highest Volume — 17,134 contracts2009-03-18 : Largest IV drop — 13.1% change2009-03-10 : Highest IV Rank — 36.1%2009-03-31 : Largest Expected Move — 28.9%Monthly Statistics Metric Avg Min Max Open Close Price $8.19 $6.58 $9.71 $7.37 $8.90 Max Pain $8.07 $7.50 $10.00 $7.50 $10.00 ATM IV 92.8% 80.1% 101.1% 95.7% 100.8% Expected Move 26.4% 23.0% 28.9% 27.4% 28.9% HV 20d 92.4% 79.2% 103.4% 84.7% 102.3% HV 60d 89.5% 85.9% 92.4% 91.3% 87.3% IV Rank 31.2% 24.0% 36.1% 32.9% 35.9% IV Percentile 65.7% 53.6% 73.0% 71.0% 72.2% Term Structure 6.3% -1.4% 10.3% -1.4% 9.6% VWIV 90.4% 80.1% 105.5% 94.5% 100.7% Skew 25d 9.2% -23.9% 22.4% -15.8% 7.4% Skew 10d 23.0% -38.2% 68.9% -25.6% 18.5% Call IV 25d 88.5% 73.2% 100.7% 96.6% 99.9% Put IV 25d 97.7% 74.4% 109.3% 80.9% 107.3% Bid-Ask Spread % 10.45 4.51 17.57 4.51 11.45 Gamma HHI 0.23 0.20 0.33 0.21 0.24 Net GEX 134.1K -108.6K 478.8K 24.6K 272.5K Net DEX -3.2M -21.9M 11.7M 4.9M -9.2M Net VEX -191.1K -253.8K -139.6K -167.1K -229.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.11 3.59 0.49 1.93 Total Volume 6,369.182 823 17,134 5,788 4,654 Total OI 163,388.682 134,426 179,489 160,345 158,394
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 2009-03-02 $7.37 $7.50 95.7% 27.4% 84.7% 32.9% 94.5% -15.8% -1.4% 24.6K 4.9M -167.1K 0.49 4.51 N/A N/A 3,874 1,914 78,719 81,626 2009-03-03 $7.18 $7.50 93.7% 26.9% 84.1% 31.8% 87.1% -23.2% 0.0% -8.1K 6.7M -157.7K 2.22 6.88 N/A N/A 565 1,254 78,439 82,259 2009-03-04 $7.35 $7.50 91.3% 26.2% 83.9% 30.4% 91.4% -23.9% -0.3% 12.3K 6.4M -157.0K 0.75 5.71 N/A N/A 469 354 78,626 82,955 2009-03-05 $6.58 $7.50 92.8% 26.6% 89.7% 31.3% 93.9% 8.0% -0.2% -108.6K 11.7M -139.6K 0.97 10.67 N/A N/A 4,253 4,134 78,727 82,937 2009-03-06 $6.94 $7.50 93.9% 27.0% 90.0% 31.9% 89.0% 18.1% 6.9% -27.0K 8.1M -154.8K 3.03 13.33 N/A N/A 2,205 6,683 81,401 83,765 2009-03-09 $6.80 $7.50 99.9% 28.0% 79.2% 35.4% 97.7% 16.4% 5.3% -65.6K 10.0M -147.1K 1.23 17.57 N/A N/A 1,426 1,749 82,201 85,313 2009-03-10 $7.36 $7.50 101.1% 26.7% 86.2% 36.1% 90.5% 18.8% 6.4% 15.9K 6.2M -160.4K 0.73 14.01 N/A N/A 953 694 82,764 85,841 2009-03-11 $7.85 $7.50 94.7% 26.6% 87.1% 32.4% 85.3% 17.0% 8.2% 101.4K 2.1M -180.8K 0.55 12.58 N/A N/A 4,425 2,432 81,971 85,540 2009-03-12 $8.32 $7.50 94.6% 27.1% 89.3% 32.3% 87.5% 22.4% 9.5% 70.8K -5.7M -183.5K 1.27 17.41 N/A N/A 1,788 2,274 84,756 85,162 2009-03-13 $8.33 $7.50 92.6% 26.5% 88.8% 31.1% 90.6% 20.2% 8.6% 217.4K -4.8M -196.2K 3.59 7.17 N/A N/A 930 3,339 85,527 85,772 2009-03-16 $7.91 $7.50 91.8% 26.3% 90.5% 30.7% 85.6% 15.4% 9.5% 98.3K 265.0K -180.0K 0.47 16.74 N/A N/A 3,364 1,565 85,794 87,603 2009-03-17 $8.35 $7.50 92.2% 26.4% 89.7% 31.0% 82.3% 18.8% 7.8% 142.6K -5.0M -187.3K 0.20 7.77 N/A N/A 5,952 1,217 88,321 87,517 2009-03-18 $9.09 $7.50 80.1% 23.0% 93.8% 24.0% 80.1% 14.6% 8.8% 151.9K -14.5M -206.7K 0.35 8.75 N/A N/A 4,874 1,709 91,312 87,943 2009-03-19 $8.76 $7.50 82.3% 23.6% 94.2% 25.2% 84.3% 10.9% 7.2% 127.7K -11.1M -202.0K 0.69 7.54 N/A N/A 2,205 1,518 90,849 88,618 2009-03-20 $8.00 $7.50 90.4% 25.9% 100.0% 29.9% 88.4% 14.2% 10.1% 101.4K -2.9M -177.7K 0.31 11.39 N/A N/A 5,205 1,617 90,065 89,424 2009-03-23 $8.86 $7.50 83.3% 23.9% 103.4% 25.8% 83.4% 21.1% 10.3% 165.3K -5.9M -207.2K 0.11 7.02 N/A N/A 5,483 597 71,127 63,299 2009-03-24 $9.07 $7.50 89.4% 25.6% 96.0% 29.3% 90.0% 9.7% 6.2% 230.8K -9.1M -215.8K 0.28 8.01 N/A N/A 13,377 3,757 75,119 63,428 2009-03-25 $8.77 $10.00 90.8% 26.0% 96.4% 30.1% 91.7% 6.1% 4.5% 313.0K -8.4M -219.0K 0.25 8.32 N/A N/A 13,419 3,400 85,925 65,843 2009-03-26 $9.66 $10.00 93.0% 26.7% 100.8% 31.4% 93.7% 7.6% 7.8% 478.8K -21.9M -250.7K 0.19 12.84 N/A N/A 9,009 1,752 90,900 66,852 2009-03-27 $9.71 $10.00 96.4% 27.6% 100.7% 33.4% 96.3% 9.4% 7.5% 362.7K -19.6M -253.8K 0.62 11.71 N/A N/A 2,630 1,642 86,660 68,198 2009-03-30 $8.91 $10.00 99.8% 28.6% 103.0% 35.3% 105.5% 9.3% 6.2% 270.9K -9.5M -230.5K 1.59 8.57 N/A N/A 2,105 3,356 87,636 69,423 2009-03-31 $8.90 $10.00 100.8% 28.9% 102.3% 35.9% 100.7% 7.4% 9.6% 272.5K -9.2M -229.5K 1.93 11.45 N/A N/A 1,586 3,068 88,243 70,151
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