M Options History — August 2009

In August 2009, M traded between $14.09 and $16.40. ATM implied volatility averaged 58.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 4.7% (HV 20d: 54.1%). Max pain ranged from $12.50 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2009-08-11: Highest Volume — 40,761 contracts
  • 2009-08-12: Largest IV drop — 21.5% change
  • 2009-08-10: Highest IV Rank — 14.6%
  • 2009-08-06: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.24$14.09$16.40$14.50$15.52
Max Pain$15.48$12.50$17.00$12.50$16.00
ATM IV58.8%47.0%75.1%63.7%49.1%
Expected Move16.4%13.5%20.3%18.3%14.1%
HV 20d54.1%46.0%59.5%46.2%56.1%
HV 60d62.0%55.2%64.9%63.3%55.5%
IV Rank4.9%0.0%14.6%7.6%1.2%
IV Percentile13.2%0.0%36.5%19.8%0.8%
Term Structure1.0%-8.2%6.8%-2.6%4.7%
VWIV57.5%47.9%73.8%69.2%50.4%
Skew 25d7.7%4.5%11.7%10.1%6.9%
Skew 10d16.0%7.2%30.5%20.0%7.2%
Call IV 25d54.0%46.7%66.3%58.9%47.2%
Put IV 25d61.7%51.2%78.0%68.9%54.1%
Bid-Ask Spread %11.967.1116.507.117.56
Gamma HHI0.170.120.330.190.13
Net GEX823.9K301.2K1.3M1.2M571.6K
Net DEX-77.8M-129.1M-43.2M-80.8M-44.5M
Net VEX-471.4K-515.1K-424.3K-429.1K-472.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.282.731.501.58
Total Volume12,457.5242,17740,7614,7032,177
Total OI284,595.524212,046345,937265,466219,203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$14.50$12.5063.7%18.3%46.2%7.6%69.2%10.1%-2.6%1.2M-80.8M-429.1K1.507.11N/AN/A1,8782,825134,185131,281
2009-08-04$14.09$12.5064.2%18.4%46.7%7.9%67.8%10.1%-5.9%1.1M-70.2M-424.3K0.357.90N/AN/A2,505876135,098131,551
2009-08-05$14.22$12.5064.4%18.5%46.0%8.0%64.6%7.7%-4.2%1.2M-75.8M-427.9K0.289.02N/AN/A4,8611,378136,723131,606
2009-08-06$15.01$12.5070.9%20.3%47.4%12.0%73.8%11.7%-8.2%1.2M-96.5M-439.4K2.519.98N/AN/A7,20118,103136,819131,842
2009-08-07$15.99$17.0068.6%17.7%49.5%10.6%61.4%8.2%-1.0%830.8K-115.5M-462.0K1.519.52N/AN/A4,7807,228138,905150,379
2009-08-10$15.23$17.0075.1%18.3%55.1%14.6%63.0%9.4%-1.4%819.3K-93.5M-453.9K1.2416.12N/AN/A9,80712,174140,763150,250
2009-08-11$15.47$17.0075.0%18.1%54.7%14.6%61.6%10.0%-1.7%757.2K-97.5M-483.3K0.7014.09N/AN/A23,98916,772147,193159,936
2009-08-12$16.40$16.0058.8%16.9%52.0%4.5%59.4%8.7%0.3%774.1K-129.1M-509.2K1.5012.42N/AN/A7,10810,643156,590171,413
2009-08-13$16.15$16.0057.5%16.5%52.3%3.7%56.3%8.7%0.6%725.3K-120.5M-509.3K1.2711.65N/AN/A8,62010,950157,352173,512
2009-08-14$15.31$16.0059.1%16.9%57.7%4.7%57.3%8.1%0.6%594.0K-86.1M-515.1K2.6216.50N/AN/A4,12810,796163,505179,474
2009-08-17$14.43$16.0060.9%17.5%59.5%5.8%58.9%7.6%1.1%301.2K-55.5M-477.5K2.3114.05N/AN/A6,27814,482164,971180,178
2009-08-18$14.53$16.0057.4%16.5%58.3%3.7%54.9%6.3%2.1%806.8K-62.7M-474.4K1.1715.89N/AN/A3,9704,634168,855175,732
2009-08-19$14.62$16.0055.0%15.8%58.1%2.1%55.5%8.6%4.0%752.6K-66.4M-465.5K2.7315.04N/AN/A3,6279,913168,158175,658
2009-08-20$14.89$16.0055.4%15.9%56.4%2.4%53.3%7.4%3.1%1.3M-78.8M-476.5K1.5414.60N/AN/A3,8415,922169,261174,519
2009-08-21$15.35$16.0051.6%14.8%56.8%0.0%50.8%5.9%6.0%1.1M-104.5M-477.9K1.1910.94N/AN/A7,7079,206171,166174,771
2009-08-24$15.32$16.0051.3%14.7%56.0%0.0%51.6%5.6%4.0%641.4K-43.2M-473.8K0.5412.01N/AN/A2,8841,566113,40798,639
2009-08-25$15.85$16.0050.2%14.4%56.7%0.0%51.1%5.0%4.3%765.2K-56.9M-486.1K1.0212.33N/AN/A3,0463,100114,89299,732
2009-08-26$15.69$16.0050.1%14.4%57.0%0.0%48.4%5.4%3.7%648.5K-50.3M-480.9K0.6912.64N/AN/A1,5421,063114,325101,246
2009-08-27$15.65$16.0048.8%14.0%56.8%0.0%50.3%4.7%5.7%648.2K-49.7M-479.2K1.6012.25N/AN/A1,1091,769114,839101,719
2009-08-28$15.91$16.0047.0%13.5%56.6%0.0%47.9%4.5%6.8%668.0K-55.6M-481.2K0.879.47N/AN/A3,8213,329114,573102,285
2009-08-31$15.52$16.0049.1%14.1%56.1%1.2%50.4%6.9%4.7%571.6K-44.5M-472.5K1.587.56N/AN/A8441,333115,565103,638