M Options History — September 2009 In September 2009, M traded between $14.75 and $18.77. ATM implied volatility averaged 52.1%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 10.0% (HV 20d: 42.1%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.31.
Notable Days 2009-09-15 : Highest Volume — 34,771 contracts2009-09-08 : Largest IV spike — 13.9% change2009-09-23 : Highest IV Rank — 4.5%2009-09-08 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.99 $14.75 $18.77 $15.16 $18.29 Max Pain $16.29 $15.00 $18.00 $16.00 $18.00 ATM IV 52.1% 46.8% 54.1% 52.2% 52.2% Expected Move 15.1% 14.0% 16.1% 15.0% 15.0% HV 20d 42.1% 35.0% 56.7% 55.7% 37.2% HV 60d 51.0% 46.8% 56.1% 55.7% 46.8% IV Rank 3.2% 0.0% 4.5% 3.1% 3.3% IV Percentile 5.2% 0.0% 10.3% 3.6% 5.6% Term Structure 3.4% 1.2% 6.4% 3.5% 2.1% VWIV 53.9% 49.2% 58.6% 52.7% 52.5% Skew 25d 6.7% 4.0% 9.8% 4.5% 5.1% Skew 10d 13.5% -1.3% 20.4% 15.1% 13.6% Call IV 25d 50.2% 47.9% 52.7% 49.6% 50.7% Put IV 25d 56.9% 52.6% 59.2% 54.1% 55.8% Bid-Ask Spread % 14.77 9.46 21.49 9.46 14.71 Gamma HHI 0.16 0.12 0.58 0.12 0.14 Net GEX 1.3M 405.3K 6.6M 475.7K 1.2M Net DEX -86.0M -135.5M -26.6M -36.4M -110.7M Net VEX -472.1K -501.6K -452.1K -461.1K -493.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.22 5.75 1.00 1.19 Total Volume 8,890.81 1,486 34,771 9,093 2,044 Total OI 232,011.381 213,779 259,912 219,565 240,986
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 2009-09-01 $15.16 $16.00 52.2% 15.0% 55.7% 3.1% 52.7% 4.5% 3.5% 475.7K -36.4M -461.1K 1.00 9.46 N/A N/A 4,537 4,556 115,692 103,873 2009-09-02 $14.75 $16.00 50.9% 14.6% 56.7% 2.4% 51.0% 6.9% 5.9% 405.3K -26.6M -456.7K 1.07 11.54 N/A N/A 1,702 1,825 118,441 105,037 2009-09-03 $14.95 $16.00 48.8% 14.0% 53.5% 1.1% 49.2% 4.7% 6.4% 455.0K -31.6M -459.1K 1.00 12.60 N/A N/A 983 979 118,957 105,516 2009-09-04 $15.21 $15.00 46.8% 15.4% 48.6% 0.0% 54.1% 9.8% 4.2% 491.1K -36.6M -461.8K 1.94 16.22 N/A N/A 505 981 118,705 105,555 2009-09-08 $15.47 $15.00 53.3% 16.1% 45.8% 3.9% 55.3% 8.8% 1.2% 587.1K -44.0M -452.1K 1.73 17.74 N/A N/A 1,298 2,247 118,822 105,373 2009-09-09 $16.01 $15.00 48.4% 15.3% 47.1% 1.0% 53.3% 8.7% 2.3% 719.2K -59.0M -459.7K 0.34 18.70 N/A N/A 6,881 2,324 118,978 106,557 2009-09-10 $16.23 $15.00 53.7% 15.4% 42.4% 4.2% 56.6% 8.6% 1.7% 1.1M -68.6M -457.9K 0.99 21.49 N/A N/A 1,131 1,116 123,082 107,278 2009-09-11 $16.07 $15.00 52.2% 15.0% 42.1% 3.3% 53.3% 7.2% 4.5% 1.0M -61.4M -455.9K 0.74 21.48 N/A N/A 3,357 2,500 121,149 107,999 2009-09-14 $16.83 $16.00 53.5% 15.3% 40.3% 4.1% 56.5% 8.6% 1.4% 1.3M -87.1M -460.4K 0.49 14.18 N/A N/A 10,653 5,266 123,928 109,829 2009-09-15 $17.61 $16.00 53.1% 15.2% 35.0% 3.8% 58.6% 5.1% 2.9% 1.4M -114.9M -463.8K 0.62 16.48 N/A N/A 21,500 13,271 126,124 111,581 2009-09-16 $17.52 $16.00 52.4% 15.0% 35.4% 3.4% 53.2% 8.2% 2.9% 1.8M -114.8M -492.8K 0.59 15.51 N/A N/A 4,550 2,697 137,337 119,586 2009-09-17 $17.63 $16.00 52.3% 15.0% 35.4% 3.3% 57.3% 6.6% 4.3% 1.9M -116.4M -476.8K 0.76 12.27 N/A N/A 8,951 6,809 134,767 118,210 2009-09-18 $18.03 $16.00 51.8% 14.9% 35.6% 3.1% 55.5% 7.9% 3.5% 6.6M -135.5M -478.7K 0.44 9.78 N/A N/A 4,858 2,119 138,009 121,903 2009-09-21 $17.79 $16.00 52.3% 15.0% 35.6% 3.4% 54.8% 6.5% 5.1% 1.4M -104.0M -470.3K 0.91 10.23 N/A N/A 7,466 6,807 119,465 94,314 2009-09-22 $18.77 $17.00 53.7% 15.4% 38.9% 4.2% 54.1% 5.7% 2.2% 1.5M -129.2M -466.0K 0.91 11.76 N/A N/A 6,309 5,758 121,736 95,402 2009-09-23 $18.43 $17.00 54.1% 15.5% 39.1% 4.5% 51.8% 7.1% 1.2% 1.4M -117.4M -478.2K 0.22 14.51 N/A N/A 6,474 1,437 122,752 99,446 2009-09-24 $18.01 $17.00 54.1% 15.5% 40.1% 4.4% 54.3% 6.2% 2.9% 1.5M -110.9M -483.4K 5.51 17.97 N/A N/A 2,160 11,891 126,920 98,682 2009-09-25 $17.79 $18.00 53.3% 15.3% 40.6% 3.9% 53.3% 6.0% 4.5% 998.4K -94.6M -501.6K 5.75 13.67 N/A N/A 815 4,683 125,776 109,321 2009-09-28 $17.94 $18.00 51.9% 14.9% 40.4% 3.1% 52.3% 4.7% 5.4% 1.0M -98.0M -488.3K 0.90 15.52 N/A N/A 4,764 4,273 126,009 109,444 2009-09-29 $18.26 $18.00 52.5% 15.0% 38.9% 3.5% 51.5% 4.0% 3.2% 1.1M -108.6M -497.2K 0.49 14.34 N/A N/A 2,836 1,394 128,359 111,339 2009-09-30 $18.29 $18.00 52.2% 15.0% 37.2% 3.3% 52.5% 5.1% 2.1% 1.2M -110.7M -493.1K 1.19 14.71 N/A N/A 933 1,111 129,429 111,557
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