M Options History — June 2009 In June 2009, M traded between $10.63 and $13.87. ATM implied volatility averaged 67.0%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 10.6% (HV 20d: 77.6%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.11.
Notable Days 2009-06-01 : Highest Volume — 22,062 contracts2009-06-25 : Largest IV drop — 8.6% change2009-06-03 : Highest IV Rank — 19.0%2009-06-03 : Largest Expected Move — 21.0%Monthly Statistics Metric Avg Min Max Open Close Price $12.11 $10.63 $13.87 $13.44 $11.76 Max Pain $12.09 $11.00 $13.00 $12.00 $11.00 ATM IV 67.0% 53.8% 73.3% 72.5% 53.8% Expected Move 19.1% 15.4% 21.0% 20.8% 15.4% HV 20d 77.6% 58.8% 87.8% 87.8% 58.8% HV 60d 88.2% 81.3% 92.8% 92.8% 81.3% IV Rank 13.0% 1.4% 19.0% 18.6% 1.4% IV Percentile 21.1% 5.2% 29.0% 28.6% 5.2% Term Structure 3.4% -4.9% 9.9% -4.9% 9.4% VWIV 66.9% 53.7% 73.7% 71.1% 53.7% Skew 25d 7.5% 3.1% 10.5% 8.4% 5.1% Skew 10d 18.7% -3.9% 32.9% 29.2% 21.8% Call IV 25d 62.9% 52.1% 67.6% 67.3% 52.1% Put IV 25d 70.5% 57.2% 77.2% 75.6% 57.2% Bid-Ask Spread % 13.42 9.40 18.34 13.43 11.45 Gamma HHI 0.17 0.14 0.20 0.20 0.16 Net GEX 465.7K 109.2K 935.4K 735.1K 397.7K Net DEX -23.2M -65.8M 11.8M -54.1M -15.0M Net VEX -464.9K -537.1K -419.0K -513.2K -428.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.11 6.06 0.37 1.66 Total Volume 5,974.273 1,531 22,062 22,062 1,531 Total OI 251,120.091 239,427 269,047 239,763 244,523
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 2009-06-01 $13.44 $12.00 72.5% 20.8% 87.8% 18.6% 71.1% 8.4% -4.9% 735.1K -54.1M -513.2K 0.37 13.43 N/A N/A 16,074 5,988 126,851 112,912 2009-06-02 $13.87 $12.00 68.6% 19.7% 82.3% 16.3% 70.7% 8.3% 0.1% 935.4K -65.8M -537.1K 1.35 15.19 N/A N/A 2,405 3,251 132,610 114,600 2009-06-03 $13.32 $12.00 73.3% 21.0% 83.4% 19.0% 73.7% 10.5% -0.9% 809.1K -51.7M -518.7K 1.87 11.02 N/A N/A 2,898 5,409 131,707 115,909 2009-06-04 $12.88 $12.00 70.2% 20.1% 81.4% 17.3% 73.3% 8.6% -1.2% 650.6K -40.0M -509.5K 1.86 9.89 N/A N/A 3,655 6,791 132,305 118,715 2009-06-05 $12.81 $13.00 68.8% 19.9% 77.7% 16.5% 67.9% 9.0% 2.9% 605.0K -39.5M -509.0K 0.11 12.67 N/A N/A 5,486 606 134,908 121,839 2009-06-08 $12.77 $13.00 71.4% 19.8% 77.7% 17.9% 69.7% 8.9% 2.3% 662.1K -38.4M -490.4K 0.50 10.98 N/A N/A 2,526 1,269 132,795 119,072 2009-06-09 $12.82 $13.00 69.1% 19.2% 77.6% 14.7% 67.3% 8.9% 4.5% 720.9K -41.0M -489.2K 1.30 12.94 N/A N/A 873 1,132 134,560 119,390 2009-06-10 $12.63 $13.00 66.5% 18.9% 77.1% 13.1% 67.0% 6.9% 3.4% 660.3K -36.3M -478.7K 0.81 14.49 N/A N/A 5,819 4,713 134,696 120,016 2009-06-11 $12.00 $13.00 67.4% 19.3% 75.1% 13.0% 64.7% 6.5% 1.4% 439.7K -18.1M -466.8K 1.65 17.46 N/A N/A 1,346 2,222 134,361 123,341 2009-06-12 $12.53 $13.00 64.7% 18.5% 76.1% 11.3% 66.0% 7.5% 4.1% 626.3K -31.7M -481.0K 0.33 16.13 N/A N/A 2,449 810 133,417 122,841 2009-06-15 $11.92 $13.00 68.0% 19.5% 78.6% 13.3% 70.4% 6.7% 1.6% 384.4K -16.4M -451.2K 0.41 16.35 N/A N/A 1,700 702 133,959 123,175 2009-06-16 $11.25 $13.00 70.1% 20.1% 77.3% 14.6% 66.8% 8.9% 2.1% 224.7K -1.4M -425.6K 1.10 18.34 N/A N/A 6,966 7,640 135,472 123,024 2009-06-17 $11.23 $13.00 71.3% 20.4% 77.0% 15.3% 71.2% 9.0% 1.6% 218.1K -1.0M -453.7K 1.37 14.15 N/A N/A 2,209 3,030 140,636 128,411 2009-06-18 $10.63 $13.00 71.0% 20.4% 78.2% 15.1% 71.7% 9.4% 2.3% 109.2K 11.8M -419.0K 0.28 10.56 N/A N/A 5,926 1,635 139,749 127,978 2009-06-19 $11.39 $11.00 67.5% 19.4% 80.6% 13.1% 67.7% 7.4% 5.5% 302.8K -7.1M -445.0K 6.06 11.86 N/A N/A 853 5,165 141,720 126,191 2009-06-22 $11.37 $11.00 69.2% 19.8% 80.5% 12.9% 67.2% 3.1% 5.5% 217.1K -6.1M -439.0K 0.75 11.31 N/A N/A 2,250 1,684 120,238 119,611 2009-06-23 $10.89 $11.00 68.8% 19.7% 79.1% 12.7% 69.0% 4.2% 5.8% 148.6K 1.6M -421.6K 0.49 9.40 N/A N/A 1,547 751 121,510 119,403 2009-06-24 $11.39 $11.00 66.3% 19.0% 80.5% 11.1% 65.4% 5.7% 5.8% 268.7K -9.2M -434.9K 0.54 14.55 N/A N/A 1,481 795 122,006 117,421 2009-06-25 $11.83 $11.00 60.5% 17.4% 80.6% 7.6% 61.1% 8.5% 6.3% 364.0K -17.1M -447.0K 0.29 17.18 N/A N/A 1,892 547 122,661 117,744 2009-06-26 $11.67 $11.00 56.9% 16.3% 79.2% 5.4% 58.1% 7.1% 9.9% 345.7K -14.0M -436.3K 0.56 12.07 N/A N/A 1,047 587 123,314 117,475 2009-06-29 $11.94 $11.00 57.3% 16.4% 60.4% 5.6% 58.3% 7.4% 6.9% 420.3K -19.1M -432.8K 0.75 13.85 N/A N/A 3,295 2,479 123,720 117,856 2009-06-30 $11.76 $11.00 53.8% 15.4% 58.8% 1.4% 53.7% 5.1% 9.4% 397.7K -15.0M -428.3K 1.66 11.45 N/A N/A 575 956 125,423 119,100
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