M Options History — July 2009 In July 2009, M traded between $10.61 and $13.91. ATM implied volatility averaged 58.0%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 2.1% (HV 20d: 55.9%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.84.
Notable Days 2009-07-15 : Highest Volume — 16,923 contracts2009-07-09 : Largest IV drop — 11.4% change2009-07-08 : Highest IV Rank — 7.8%2009-07-08 : Largest Expected Move — 19.7%Monthly Statistics Metric Avg Min Max Open Close Price $12.09 $10.61 $13.91 $11.74 $13.91 Max Pain $11.95 $11.00 $12.50 $11.00 $12.50 ATM IV 58.0% 52.9% 64.1% 54.0% 59.4% Expected Move 17.4% 15.5% 19.7% 15.5% 17.0% HV 20d 55.9% 45.1% 61.0% 57.6% 45.1% HV 60d 70.6% 64.4% 81.9% 80.9% 64.4% IV Rank 4.0% 0.8% 7.8% 1.5% 4.9% IV Percentile 10.8% 3.2% 15.5% 5.6% 14.7% Term Structure 2.4% -2.2% 11.1% 11.1% -1.1% VWIV 62.4% 53.9% 69.5% 53.9% 60.5% Skew 25d 6.9% 4.3% 10.3% 4.5% 5.4% Skew 10d 18.7% 7.4% 29.3% 21.2% 24.7% Call IV 25d 58.4% 53.8% 65.2% 53.8% 57.7% Put IV 25d 65.3% 58.2% 72.9% 58.2% 63.1% Bid-Ask Spread % 11.66 7.05 18.04 11.61 8.27 Gamma HHI 0.17 0.15 0.21 0.16 0.19 Net GEX 596.5K 91.9K 1.1M 399.6K 1.1M Net DEX -24.0M -66.2M 10.8M -15.2M -66.2M Net VEX -404.1K -449.8K -348.1K -427.0K -427.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.84 0.34 5.45 1.24 1.13 Total Volume 5,436.818 806 16,923 2,195 3,702 Total OI 254,932.227 235,068 265,787 245,272 264,473
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 2009-07-01 $11.74 $11.00 54.0% 15.5% 57.6% 1.5% 53.9% 4.5% 11.1% 399.6K -15.2M -427.0K 1.24 11.61 N/A N/A 982 1,213 125,772 119,500 2009-07-02 $11.00 $11.00 55.7% 16.0% 60.5% 2.6% 57.0% 4.5% 7.5% 213.3K -530.7K -399.0K 0.76 11.37 N/A N/A 1,533 1,158 126,176 120,062 2009-07-06 $11.06 $12.50 59.4% 19.3% 60.7% 4.9% 67.0% 8.7% 2.4% 221.1K -316.1K -392.2K 1.05 10.52 N/A N/A 2,417 2,545 126,638 120,004 2009-07-07 $10.79 $12.50 62.0% 19.5% 61.0% 6.5% 68.9% 8.5% 2.8% 155.1K 4.5M -381.2K 1.18 12.31 N/A N/A 3,123 3,699 128,157 121,133 2009-07-08 $10.69 $12.50 64.1% 19.7% 60.8% 7.8% 69.5% 5.4% 0.6% 167.3K 6.3M -375.5K 3.84 11.90 N/A N/A 645 2,477 130,742 122,318 2009-07-09 $10.63 $12.50 56.8% 18.8% 60.8% 3.3% 67.7% 7.2% 2.9% 141.1K 8.4M -368.3K 1.56 9.93 N/A N/A 1,140 1,779 130,855 123,369 2009-07-10 $10.61 $12.50 52.9% 18.2% 58.7% 0.8% 62.6% 6.5% 4.7% 91.9K 10.8M -365.0K 0.86 16.24 N/A N/A 434 372 130,898 124,219 2009-07-13 $10.65 $12.50 57.6% 18.6% 55.9% 3.7% 67.6% 7.0% 1.9% 114.5K 10.7M -348.1K 1.43 16.37 N/A N/A 2,595 3,711 130,713 123,996 2009-07-14 $11.02 $11.00 54.0% 18.0% 55.5% 1.6% 62.3% 8.7% 4.3% 262.1K 278.0K -369.0K 0.34 8.45 N/A N/A 2,039 702 132,068 125,142 2009-07-15 $11.93 $11.00 54.3% 17.3% 59.1% 1.7% 60.5% 5.9% 3.0% 602.9K -24.8M -400.8K 0.40 12.35 N/A N/A 12,086 4,837 133,444 125,161 2009-07-16 $11.79 $11.00 58.0% 16.6% 59.3% 4.0% 61.2% 4.3% 5.7% 819.8K -23.8M -398.7K 0.80 16.73 N/A N/A 1,477 1,182 140,221 125,566 2009-07-17 $11.91 $11.00 56.8% 16.3% 55.4% 3.3% 62.2% 7.5% 6.1% 992.0K -24.1M -392.2K 2.49 18.04 N/A N/A 1,530 3,810 136,009 123,390 2009-07-20 $12.72 $11.00 57.7% 16.5% 54.9% 3.8% 56.6% 6.4% 0.0% 799.2K -36.3M -399.2K 0.50 8.17 N/A N/A 10,428 5,243 124,240 110,828 2009-07-21 $12.41 $11.00 57.7% 16.5% 55.9% 3.8% 60.2% 5.2% 0.6% 809.9K -30.7M -410.4K 4.84 11.44 N/A N/A 1,152 5,574 130,683 114,016 2009-07-22 $12.67 $12.50 59.7% 17.1% 53.2% 5.1% 60.3% 5.4% -2.2% 837.3K -36.8M -413.9K 5.01 12.14 N/A N/A 2,052 10,275 131,038 117,743 2009-07-23 $13.28 $12.50 58.9% 16.9% 53.4% 4.5% 59.1% 8.6% 0.0% 877.1K -49.8M -434.5K 0.50 10.21 N/A N/A 7,020 3,491 131,090 123,880 2009-07-24 $13.57 $12.50 58.7% 16.8% 52.5% 4.4% 61.3% 7.2% -0.2% 971.1K -57.1M -449.8K 3.60 7.83 N/A N/A 1,660 5,979 133,993 125,729 2009-07-27 $13.28 $12.50 59.6% 17.1% 53.0% 5.0% 63.5% 7.8% 2.1% 872.4K -49.0M -440.1K 1.92 9.36 N/A N/A 707 1,355 134,485 129,244 2009-07-28 $13.33 $12.50 59.9% 17.2% 52.6% 5.2% 63.6% 9.5% 0.4% 848.9K -48.3M -434.4K 1.10 12.85 N/A N/A 517 567 133,635 129,712 2009-07-29 $13.28 $12.50 59.3% 17.0% 52.2% 4.8% 64.1% 10.3% 1.0% 856.1K -47.6M -432.5K 5.45 7.05 N/A N/A 176 960 133,977 129,856 2009-07-30 $13.61 $12.50 59.4% 17.0% 52.5% 4.9% 62.8% 6.9% -0.1% 998.6K -57.7M -431.6K 0.53 13.48 N/A N/A 827 439 134,077 130,257 2009-07-31 $13.91 $12.50 59.4% 17.0% 45.1% 4.9% 60.5% 5.4% -1.1% 1.1M -66.2M -427.3K 1.13 8.27 N/A N/A 1,734 1,968 133,959 130,514
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