M Options History — April 2009 In April 2009, M traded between $9.03 and $13.68. ATM implied volatility averaged 100.6%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 28.9%. IV traded below realized volatility by 4.0% (HV 20d: 104.6%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.30.
Notable Days 2009-04-15 : Highest Volume — 28,862 contracts2009-04-20 : Largest IV spike — 9.7% change2009-04-27 : Highest IV Rank — 40.9%2009-04-27 : Largest Expected Move — 31.4%Monthly Statistics Metric Avg Min Max Open Close Price $11.84 $9.03 $13.68 $9.03 $13.68 Max Pain $9.95 $9.00 $10.00 $10.00 $10.00 ATM IV 100.6% 88.3% 109.6% 103.2% 99.1% Expected Move 28.9% 25.3% 31.4% 29.6% 28.4% HV 20d 104.6% 97.7% 112.5% 102.2% 99.4% HV 60d 94.2% 86.4% 97.4% 86.4% 95.9% IV Rank 35.7% 28.7% 40.9% 37.3% 34.9% IV Percentile 69.5% 53.6% 76.6% 73.0% 65.5% Term Structure -12.1% -20.1% 4.8% 4.8% -14.4% VWIV 101.9% 90.8% 109.9% 102.3% 102.8% Skew 25d 17.2% 6.2% 22.1% 6.2% 13.2% Skew 10d 35.8% 21.0% 52.6% 21.0% 32.4% Call IV 25d 91.6% 81.5% 99.3% 99.3% 93.2% Put IV 25d 108.8% 97.8% 117.9% 105.5% 106.4% Bid-Ask Spread % 10.74 7.01 15.13 10.62 10.75 Gamma HHI 0.22 0.15 0.27 0.24 0.16 Net GEX 622.9K 298.5K 839.5K 298.5K 602.7K Net DEX -59.3M -97.5M -10.4M -10.4M -82.7M Net VEX -365.2K -455.4K -232.2K -232.2K -455.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 0.13 2.95 0.44 1.57 Total Volume 12,821.714 3,540 28,862 8,713 13,023 Total OI 206,435.857 159,908 243,172 159,908 243,172
Daily Data (21 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 2009-04-01 $9.03 $10.00 103.2% 29.6% 102.2% 37.3% 102.3% 6.2% 4.8% 298.5K -10.4M -232.2K 0.44 10.62 N/A N/A 6,055 2,658 89,330 70,578 2009-04-02 $10.18 $9.00 103.7% 29.7% 98.7% 37.5% 103.0% 15.4% -1.4% 477.9K -26.9M -262.0K 0.22 15.05 N/A N/A 22,277 4,848 93,070 71,933 2009-04-03 $10.36 $10.00 100.1% 29.3% 98.0% 35.5% 100.9% 19.9% -14.2% 619.5K -37.6M -309.6K 0.13 8.63 N/A N/A 11,908 1,506 110,502 74,631 2009-04-06 $9.95 $10.00 102.2% 29.5% 99.3% 36.7% 104.8% 18.6% -14.2% 681.4K -34.4M -309.2K 1.50 9.69 N/A N/A 1,418 2,122 120,050 75,576 2009-04-07 $9.70 $10.00 99.1% 28.2% 97.8% 34.9% 99.5% 17.8% -10.0% 614.9K -26.7M -295.5K 1.49 11.77 N/A N/A 3,124 4,664 116,322 76,196 2009-04-08 $10.32 $10.00 92.9% 27.9% 97.7% 31.3% 93.7% 17.9% -11.4% 734.0K -39.2M -314.5K 0.69 9.04 N/A N/A 3,434 2,380 118,245 77,182 2009-04-09 $11.88 $10.00 88.3% 25.3% 106.7% 28.7% 90.8% 16.3% -6.6% 839.5K -68.5M -342.3K 0.55 10.28 N/A N/A 9,633 5,262 118,210 78,213 2009-04-13 $12.93 $10.00 94.7% 27.2% 109.0% 32.4% 93.6% 14.9% -12.4% 815.7K -90.2M -353.9K 1.11 12.16 N/A N/A 4,357 4,847 121,098 81,108 2009-04-14 $11.99 $10.00 96.0% 27.5% 111.5% 33.1% 102.4% 15.3% -12.3% 668.0K -71.6M -346.2K 0.76 7.01 N/A N/A 8,721 6,631 122,366 84,588 2009-04-15 $11.56 $10.00 101.7% 29.2% 112.5% 36.4% 99.7% 17.6% -12.8% 673.9K -69.3M -359.0K 0.17 8.13 N/A N/A 24,724 4,138 130,079 87,277 2009-04-16 $12.52 $10.00 94.7% 27.1% 112.1% 32.3% 101.9% 17.8% -12.0% 743.2K -84.3M -361.5K 1.29 12.06 N/A N/A 7,902 10,209 125,034 86,365 2009-04-17 $13.10 $10.00 92.7% 26.6% 110.7% 31.2% 91.3% 16.1% -10.6% 744.1K -97.5M -385.5K 1.80 9.34 N/A N/A 3,325 5,970 130,392 92,658 2009-04-20 $11.87 $10.00 101.6% 29.1% 111.8% 36.3% 104.5% 15.7% -6.8% 638.0K -53.2M -377.3K 2.69 12.94 N/A N/A 2,118 5,689 114,085 80,761 2009-04-21 $12.50 $10.00 101.9% 29.2% 108.3% 36.5% 107.7% 19.7% -11.5% 659.7K -62.8M -393.0K 2.37 15.13 N/A N/A 2,619 6,217 115,357 83,607 2009-04-22 $12.69 $10.00 104.8% 30.0% 108.2% 38.2% 106.5% 22.1% -16.7% 614.6K -65.7M -402.6K 2.24 9.68 N/A N/A 4,841 10,862 116,618 88,201 2009-04-23 $12.62 $10.00 105.5% 30.2% 106.9% 38.5% 107.9% 20.3% -17.8% 559.0K -62.4M -415.5K 1.45 12.59 N/A N/A 4,022 5,848 118,141 95,871 2009-04-24 $13.23 $10.00 105.1% 30.1% 103.5% 38.3% 102.8% 18.4% -14.9% 603.8K -73.6M -429.0K 2.95 8.58 N/A N/A 6,459 19,051 120,691 99,225 2009-04-27 $12.90 $10.00 109.6% 31.4% 104.5% 40.9% 108.6% 20.0% -19.0% 531.1K -65.6M -441.1K 1.54 8.74 N/A N/A 3,497 5,375 122,699 110,789 2009-04-28 $12.58 $10.00 108.1% 31.0% 98.8% 40.1% 104.9% 19.6% -20.1% 458.4K -57.3M -440.9K 0.68 9.85 N/A N/A 3,024 2,046 122,773 114,103 2009-04-29 $12.97 $10.00 107.3% 30.8% 98.7% 39.6% 109.9% 18.7% -19.9% 503.7K -64.7M -443.6K 1.59 13.45 N/A N/A 4,807 7,645 123,778 114,279 2009-04-30 $13.68 $10.00 99.1% 28.4% 99.4% 34.9% 102.8% 13.2% -14.4% 602.7K -82.7M -455.4K 1.57 10.75 N/A N/A 5,067 7,956 127,111 116,061
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