M Options History — October 2009 In October 2009, M traded between $17.40 and $20.72. ATM implied volatility averaged 53.9%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 8.5% (HV 20d: 45.4%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.19.
Notable Days 2009-10-22 : Highest Volume — 43,712 contracts2009-10-08 : Largest IV drop — 10.6% change2009-10-30 : Highest IV Rank — 8.8%2009-10-30 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $18.94 $17.40 $20.72 $17.43 $17.57 Max Pain $16.23 $15.00 $18.00 $18.00 $17.50 ATM IV 53.9% 49.9% 58.9% 56.0% 58.9% Expected Move 15.6% 14.6% 16.9% 16.0% 16.9% HV 20d 45.4% 40.5% 51.5% 40.5% 51.5% HV 60d 47.5% 45.7% 48.8% 48.1% 48.4% IV Rank 4.7% 1.9% 8.8% 5.6% 8.8% IV Percentile 12.0% 2.4% 27.8% 14.3% 27.8% Term Structure -1.1% -3.1% 1.3% 0.9% -3.1% VWIV 55.1% 51.1% 61.1% 55.4% 61.1% Skew 25d 5.7% 2.3% 7.7% 2.7% 5.3% Skew 10d 11.3% 3.9% 16.7% 13.9% 8.6% Call IV 25d 52.1% 48.3% 57.2% 54.4% 57.2% Put IV 25d 57.8% 53.4% 62.4% 57.1% 62.4% Bid-Ask Spread % 11.32 8.31 16.51 11.56 12.58 Gamma HHI 0.14 0.11 0.16 0.12 0.12 Net GEX 1.6M 1.1M 2.0M 1.1M 1.6M Net DEX -129.6M -208.7M -66.7M -87.0M -68.1M Net VEX -476.3K -533.2K -420.7K -491.0K -526.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.19 0.31 3.20 2.22 3.20 Total Volume 10,400.227 2,545 43,712 11,873 6,770 Total OI 262,292.909 233,406 293,306 243,424 293,306
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 2009-10-01 $17.43 $18.00 56.0% 16.0% 40.5% 5.6% 55.4% 2.7% 0.9% 1.1M -87.0M -491.0K 2.22 11.56 N/A N/A 3,688 8,185 131,459 111,965 2009-10-02 $17.40 $18.00 56.3% 16.1% 40.6% 5.8% 55.6% 5.1% 1.3% 1.1M -83.5M -498.6K 0.90 14.93 N/A N/A 1,763 1,590 133,072 115,522 2009-10-05 $18.30 $15.00 57.3% 16.4% 43.3% 6.4% 58.5% 6.7% -2.5% 1.3M -113.8M -487.8K 0.45 11.57 N/A N/A 4,722 2,137 133,905 115,926 2009-10-06 $18.53 $15.00 54.0% 16.4% 43.2% 4.3% 58.5% 6.6% -2.8% 1.5M -124.7M -486.5K 0.69 8.40 N/A N/A 4,628 3,207 135,980 116,838 2009-10-07 $18.59 $15.00 55.8% 16.3% 42.2% 5.5% 57.6% 7.7% -1.8% 1.6M -126.7M -489.4K 0.49 8.55 N/A N/A 5,137 2,518 138,315 117,904 2009-10-08 $19.53 $15.00 49.9% 15.5% 44.7% 1.9% 55.6% 7.1% -0.9% 2.0M -165.5M -464.5K 0.32 11.27 N/A N/A 12,977 4,147 141,584 117,524 2009-10-09 $19.15 $15.00 50.7% 15.6% 45.4% 2.4% 54.8% 7.2% -0.5% 2.0M -151.9M -467.1K 1.67 8.95 N/A N/A 3,390 5,646 142,732 118,801 2009-10-12 $19.62 $15.00 54.3% 15.7% 43.6% 4.5% 56.9% 7.4% -1.6% 1.8M -166.6M -452.6K 0.81 10.82 N/A N/A 1,408 1,137 142,810 122,779 2009-10-13 $19.74 $15.00 55.8% 15.7% 41.3% 5.4% 54.4% 7.3% -1.7% 1.9M -174.0M -438.3K 0.97 9.38 N/A N/A 5,973 5,798 143,768 123,005 2009-10-14 $20.72 $15.00 52.5% 15.4% 43.7% 3.5% 53.2% 6.8% -1.3% 1.6M -208.7M -420.7K 0.31 10.57 N/A N/A 6,245 1,922 145,176 127,103 2009-10-15 $20.14 $16.00 54.4% 15.6% 45.6% 4.6% 54.2% 6.4% -1.5% 1.7M -192.1M -426.8K 1.26 9.86 N/A N/A 7,406 9,330 147,335 128,058 2009-10-16 $19.82 $16.00 52.0% 14.9% 45.9% 3.8% 53.8% 5.2% -0.0% 1.7M -176.6M -435.7K 0.72 12.52 N/A N/A 7,608 5,446 147,440 129,809 2009-10-19 $20.30 $16.00 51.5% 14.8% 45.9% 3.4% 52.6% 6.4% -0.1% 1.8M -159.0M -439.2K 0.63 16.51 N/A N/A 3,698 2,326 127,569 105,837 2009-10-20 $19.78 $16.00 51.0% 14.6% 43.7% 3.0% 51.5% 5.1% -0.4% 1.8M -146.8M -438.6K 1.19 8.31 N/A N/A 1,253 1,489 128,812 107,099 2009-10-21 $18.88 $16.00 51.0% 14.6% 46.6% 3.1% 51.1% 5.8% -0.5% 1.7M -121.3M -448.9K 0.89 11.03 N/A N/A 2,320 2,069 129,072 107,930 2009-10-22 $19.46 $16.00 53.3% 15.3% 46.7% 4.8% 51.5% 5.3% -1.8% 1.7M -133.5M -452.1K 1.08 16.33 N/A N/A 21,026 22,686 128,572 109,008 2009-10-23 $18.87 $17.50 51.6% 14.8% 48.0% 3.5% 51.8% 5.1% -0.9% 1.7M -110.9M -530.8K 2.67 14.32 N/A N/A 2,436 6,494 147,954 128,363 2009-10-26 $18.52 $17.50 53.0% 15.2% 48.6% 4.5% 54.0% 4.2% -1.9% 1.5M -94.8M -533.2K 1.58 10.99 N/A N/A 1,528 2,408 148,649 132,669 2009-10-27 $18.27 $17.50 53.3% 15.3% 48.5% 4.7% 53.4% 2.3% -0.3% 1.5M -87.1M -517.6K 1.03 8.60 N/A N/A 3,423 3,529 148,921 132,706 2009-10-28 $17.67 $17.50 56.9% 16.3% 49.9% 7.3% 59.6% 4.5% -1.9% 1.3M -66.7M -514.8K 2.44 13.14 N/A N/A 3,425 8,355 150,405 133,032 2009-10-29 $18.37 $17.50 56.0% 16.0% 48.7% 6.6% 57.5% 4.5% -1.7% 1.7M -92.8M -516.8K 0.73 8.90 N/A N/A 10,173 7,389 152,262 129,468 2009-10-30 $17.57 $17.50 58.9% 16.9% 51.5% 8.8% 61.1% 5.3% -3.1% 1.6M -68.1M -526.7K 3.20 12.58 N/A N/A 1,613 5,157 158,817 134,489
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