M Options History — November 2009 In November 2009, M traded between $16.31 and $19.48. ATM implied volatility averaged 54.0%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 3.0% (HV 20d: 51.0%). Max pain ranged from $17.50 to $19.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.91.
Notable Days 2009-11-11 : Highest Volume — 62,012 contracts2009-11-11 : Largest IV drop — 21.1% change2009-11-09 : Highest IV Rank — 14.5%2009-11-03 : Largest Expected Move — 18.5%Monthly Statistics Metric Avg Min Max Open Close Price $17.76 $16.31 $19.48 $17.70 $16.31 Max Pain $18.45 $17.50 $19.00 $17.50 $18.00 ATM IV 54.0% 45.6% 66.8% 63.7% 51.2% Expected Move 15.2% 13.1% 18.5% 18.3% 14.7% HV 20d 51.0% 44.9% 55.4% 48.1% 50.0% HV 60d 45.9% 42.3% 47.4% 46.7% 47.4% IV Rank 5.5% 0.0% 14.5% 12.3% 5.2% IV Percentile 13.8% 0.0% 39.3% 33.3% 9.9% Term Structure -0.4% -7.4% 3.6% -7.4% 1.4% VWIV 53.4% 45.7% 67.0% 64.8% 49.9% Skew 25d 5.1% 3.1% 7.7% 5.3% 3.4% Skew 10d 9.8% 4.3% 20.2% 8.6% 4.3% Call IV 25d 50.9% 42.9% 63.2% 60.5% 49.2% Put IV 25d 55.9% 47.7% 70.0% 65.8% 52.6% Bid-Ask Spread % 11.54 7.49 16.23 15.07 10.04 Gamma HHI 0.14 0.12 0.20 0.12 0.17 Net GEX 1.2M -351.7K 2.2M 1.5M -332.8K Net DEX -63.5M -148.0M -2.9M -71.7M -2.9M Net VEX -555.6K -628.9K -506.0K -519.3K -549.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.16 2.05 0.93 0.79 Total Volume 18,259.85 4,021 62,012 8,652 23,427 Total OI 335,667 276,741 401,500 296,410 309,503
Daily Data (20 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 2009-11-02 $17.70 $17.50 63.7% 18.3% 48.1% 12.3% 64.8% 5.3% -7.4% 1.5M -71.7M -519.3K 0.93 15.07 N/A N/A 4,488 4,164 158,846 137,564 2009-11-03 $17.77 $17.50 64.4% 18.5% 47.9% 12.8% 63.8% 5.1% -5.9% 1.6M -75.2M -522.5K 0.40 13.86 N/A N/A 4,521 1,811 160,268 136,962 2009-11-04 $17.61 $17.50 64.3% 18.4% 47.9% 12.7% 67.0% 7.7% -4.5% 1.6M -71.3M -514.7K 0.67 10.90 N/A N/A 4,469 2,978 162,019 137,147 2009-11-05 $18.02 $17.50 62.4% 17.9% 44.9% 11.3% 61.1% 6.4% -4.7% 1.9M -87.2M -521.1K 1.01 10.89 N/A N/A 12,254 12,317 164,810 138,045 2009-11-06 $19.18 $19.00 60.5% 16.2% 50.2% 10.0% 56.2% 7.2% -0.4% 2.2M -138.6M -557.0K 0.77 12.09 N/A N/A 11,281 8,734 169,092 148,877 2009-11-09 $19.48 $19.00 66.8% 16.5% 49.8% 14.5% 57.5% 6.1% -1.1% 1.9M -145.4M -539.8K 0.90 13.37 N/A N/A 5,430 4,872 166,250 152,682 2009-11-10 $19.43 $19.00 63.2% 16.8% 49.7% 11.9% 57.3% 7.7% -2.2% 2.1M -148.0M -538.4K 0.44 10.54 N/A N/A 31,074 13,611 170,073 153,558 2009-11-11 $17.86 $19.00 49.9% 14.2% 54.4% 2.2% 50.8% 5.6% 1.7% 2.2M -71.0M -506.0K 1.68 10.25 N/A N/A 23,152 38,860 177,905 158,893 2009-11-12 $17.50 $19.00 50.0% 14.3% 54.0% 2.4% 49.6% 4.1% 0.4% 1.3M -44.3M -540.1K 1.37 16.23 N/A N/A 17,787 24,349 182,829 180,687 2009-11-13 $18.01 $19.00 48.7% 14.0% 55.4% 1.4% 49.7% 4.4% 1.4% 1.7M -72.7M -628.9K 1.07 12.99 N/A N/A 7,447 7,981 196,850 196,070 2009-11-16 $18.17 $19.00 49.5% 14.2% 54.6% 1.9% 51.0% 4.6% 1.3% 1.9M -80.5M -604.7K 1.73 12.01 N/A N/A 3,921 6,792 197,314 198,846 2009-11-17 $17.64 $19.00 48.1% 13.8% 54.8% 1.0% 50.3% 3.9% 3.6% 1.2M -46.7M -590.0K 0.65 9.63 N/A N/A 5,593 3,611 197,021 200,138 2009-11-18 $17.67 $19.00 48.9% 14.0% 52.7% 1.5% 49.4% 4.7% 1.4% 1.3M -48.3M -579.2K 0.68 13.19 N/A N/A 2,400 1,621 197,984 200,346 2009-11-19 $17.38 $19.00 50.3% 14.4% 51.3% 2.6% 50.1% 3.1% 0.3% 1.2M -28.0M -579.1K 2.05 8.41 N/A N/A 2,814 5,779 200,364 201,136 2009-11-20 $17.11 $19.00 50.1% 14.4% 50.6% 2.4% 49.7% 4.7% 0.5% 178.2K -5.7M -555.8K 0.56 11.67 N/A N/A 6,833 3,823 199,203 198,282 2009-11-23 $16.74 $18.00 48.2% 13.8% 50.7% 1.1% 48.3% 4.3% 2.6% -351.7K -15.0M -522.4K 0.16 7.49 N/A N/A 16,426 2,573 140,459 136,282 2009-11-24 $17.02 $18.00 46.4% 13.3% 51.2% 0.0% 45.7% 3.6% 1.5% -151.4K -31.8M -565.8K 0.66 11.01 N/A N/A 8,401 5,569 150,744 136,936 2009-11-25 $17.56 $18.00 45.6% 13.1% 51.3% 0.0% 46.6% 4.8% 1.9% 343.1K -55.9M -586.7K 1.22 10.56 N/A N/A 7,375 8,968 156,439 138,753 2009-11-27 $16.97 $18.00 48.0% 13.8% 50.5% 2.3% 48.6% 4.5% 1.3% -117.7K -30.5M -591.2K 0.52 10.56 N/A N/A 5,071 2,620 159,234 144,929 2009-11-30 $16.31 $18.00 51.2% 14.7% 50.0% 5.2% 49.9% 3.4% 1.4% -332.8K -2.9M -549.6K 0.79 10.04 N/A N/A 13,104 10,323 162,888 146,615
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