M Options History — May 2009

In May 2009, M traded between $11.17 and $14.76. ATM implied volatility averaged 84.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 4.5% (HV 20d: 79.9%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.39.

Notable Days

  • 2009-05-19: Highest Volume — 38,818 contracts
  • 2009-05-13: Largest IV drop — 16.8% change
  • 2009-05-12: Highest IV Rank — 42.4%
  • 2009-05-01: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.32$11.17$14.76$13.51$11.68
Max Pain$12.40$11.00$13.00$11.00$12.00
ATM IV84.4%63.1%112.2%96.0%63.1%
Expected Move22.1%18.1%27.5%27.5%18.1%
HV 20d79.9%68.2%100.8%92.8%70.4%
HV 60d93.8%91.8%96.1%95.0%92.2%
IV Rank25.9%13.1%42.4%33.1%13.1%
IV Percentile45.8%20.2%77.8%63.1%20.2%
Term Structure-1.0%-13.6%3.5%-13.6%2.2%
VWIV77.2%62.7%100.2%100.2%62.7%
Skew 25d12.8%8.0%17.1%15.0%11.8%
Skew 10d21.2%7.4%39.4%22.6%23.1%
Call IV 25d71.3%59.0%94.1%94.1%59.5%
Put IV 25d84.1%69.5%109.1%109.1%71.3%
Bid-Ask Spread %12.298.6715.9911.2813.63
Gamma HHI0.170.150.180.160.17
Net GEX411.0K-46.3K705.0K587.1K332.8K
Net DEX-41.8M-104.3M-6.3M-76.6M-14.3M
Net VEX-452.2K-475.7K-415.3K-461.2K-461.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.493.072.471.09
Total Volume11,634.91,30638,8187,0671,760
Total OI251,773.2198,305294,221250,620239,195

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$13.51$11.0096.0%27.5%92.8%33.1%100.2%15.0%-13.6%587.1K-76.6M-461.2K2.4711.28N/AN/A2,0345,033130,064120,556
2009-05-04$14.76$13.0099.5%23.6%96.5%35.1%84.2%10.9%-1.5%644.5K-104.3M-467.0K0.828.67N/AN/A6,7545,509130,603121,353
2009-05-05$14.60$13.00101.2%23.5%94.7%36.1%85.4%11.4%-1.8%623.2K-101.1M-475.3K3.0710.86N/AN/A1,8475,663134,437124,199
2009-05-06$13.73$13.00104.5%24.3%97.8%38.0%88.5%17.1%-3.0%567.1K-80.8M-467.5K0.559.98N/AN/A5,5263,041135,035126,614
2009-05-07$12.82$13.00106.0%25.2%100.8%38.9%85.9%16.9%-2.2%593.4K-62.0M-455.3K1.7914.04N/AN/A4,5928,218138,295126,440
2009-05-08$12.83$13.00101.9%24.7%88.3%36.5%82.4%16.0%-1.2%638.5K-63.9M-454.3K0.7711.94N/AN/A8,2256,304140,300127,406
2009-05-11$12.69$13.00109.6%24.7%83.1%40.9%86.0%14.9%-1.8%705.0K-63.4M-452.8K2.1315.70N/AN/A5,08510,823146,854129,794
2009-05-12$12.35$13.00112.2%25.0%79.0%42.4%88.2%15.5%-5.5%641.0K-51.6M-450.7K0.6014.12N/AN/A14,3008,646149,461134,449
2009-05-13$11.52$13.0093.3%23.6%81.9%31.6%82.7%13.9%3.5%366.0K-29.2M-415.3K0.769.73N/AN/A9,7227,411152,503133,867
2009-05-14$11.32$13.0082.6%23.7%76.4%25.4%82.6%14.2%0.5%45.1K-24.6M-420.2K2.6210.83N/AN/A3,5669,355154,645137,405
2009-05-15$11.33$12.0078.3%22.4%74.2%22.0%80.5%11.7%1.6%-46.3K-29.9M-417.4K0.9711.08N/AN/A6,5616,353156,346137,875
2009-05-18$12.14$12.0071.6%20.5%70.6%18.1%66.8%13.3%0.6%315.6K-27.1M-436.6K1.028.84N/AN/A5,2115,309104,66893,637
2009-05-19$12.31$12.0064.9%18.6%68.2%14.2%64.9%10.4%-0.6%401.8K-28.5M-436.3K1.1015.11N/AN/A18,44620,372107,73696,348
2009-05-20$11.86$12.0065.5%18.8%69.1%14.5%65.6%13.4%0.4%311.1K-20.3M-473.0K0.4911.78N/AN/A15,3497,560117,986108,596
2009-05-21$11.28$12.0069.3%19.9%71.1%16.7%67.2%8.0%0.6%285.3K-10.2M-462.8K1.1015.99N/AN/A1,4351,580124,982109,383
2009-05-22$11.19$12.0067.9%19.5%68.3%15.9%64.5%9.7%0.7%263.0K-8.5M-457.4K0.7912.79N/AN/A729577125,298110,011
2009-05-26$11.85$12.0065.9%18.9%71.8%14.7%68.8%12.9%0.5%385.0K-19.4M-475.7K1.0813.01N/AN/A1,0961,189125,532110,108
2009-05-27$11.56$12.0066.4%19.0%71.8%15.0%66.3%11.2%0.9%319.8K-14.6M-458.2K2.7315.00N/AN/A9142,495125,711110,419
2009-05-28$11.17$12.0068.5%19.6%71.3%16.3%71.0%8.9%0.3%241.3K-6.3M-446.6K1.7511.46N/AN/A1,4942,614125,753111,600
2009-05-29$11.68$12.0063.1%18.1%70.4%13.1%62.7%11.8%2.2%332.8K-14.3M-461.1K1.0913.63N/AN/A843917126,778112,417