M Options History — December 2009 In December 2009, M traded between $15.81 and $17.76. ATM implied volatility averaged 46.1%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 3.6% (HV 20d: 42.4%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2009-12-15 : Highest Volume — 54,853 contracts2009-12-10 : Largest IV spike — 11.0% change2009-12-28 : Highest IV Rank — 6.0%2009-12-02 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $16.89 $15.81 $17.76 $16.01 $16.76 Max Pain $15.41 $15.00 $18.00 $18.00 $15.00 ATM IV 46.1% 42.6% 49.7% 49.3% 45.4% Expected Move 13.4% 12.6% 14.3% 14.1% 13.0% HV 20d 42.4% 34.9% 51.5% 50.1% 37.2% HV 60d 46.5% 44.8% 47.7% 47.4% 45.0% IV Rank 3.2% 0.0% 6.0% 3.5% 3.3% IV Percentile 2.5% 0.0% 7.5% 5.2% 3.2% Term Structure 1.0% -1.2% 2.4% 1.4% -0.0% VWIV 47.1% 44.8% 49.6% 49.6% 45.3% Skew 25d 3.5% -3.3% 6.1% 2.8% -3.3% Skew 10d 6.5% -8.1% 14.8% -1.3% -8.1% Call IV 25d 45.9% 43.4% 48.5% 48.3% 48.5% Put IV 25d 49.4% 45.2% 52.3% 51.1% 45.2% Bid-Ask Spread % 8.99 6.58 11.29 10.66 10.41 Gamma HHI 0.27 0.17 0.74 0.19 0.21 Net GEX 279.1K -14.4M 4.0M -448.1K 2.1M Net DEX -55.3M -127.1M 11.0M 11.0M -70.7M Net VEX -577.8K -645.4K -534.2K -534.2K -574.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.22 1.49 0.31 0.91 Total Volume 15,891.864 3,262 54,853 16,473 8,207 Total OI 348,194.227 310,796 396,409 312,806 369,569
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 2009-12-01 $16.01 $18.00 49.3% 14.1% 50.1% 3.5% 49.6% 2.8% 1.4% -448.1K 11.0M -534.2K 0.31 10.66 N/A N/A 12,604 3,869 164,559 148,247 2009-12-02 $16.30 $18.00 49.7% 14.3% 50.6% 4.3% 47.8% 6.0% 0.7% -420.3K -6.9M -570.9K 0.84 10.26 N/A N/A 22,465 18,868 170,544 148,456 2009-12-03 $15.81 $18.00 47.4% 13.6% 51.5% 1.9% 47.9% 3.3% 1.5% -256.2K 8.2M -614.5K 0.91 10.21 N/A N/A 11,057 10,103 185,951 155,145 2009-12-04 $15.98 $15.00 44.3% 13.8% 50.7% 0.0% 48.3% 5.3% 1.3% -214.8K 5.0M -587.0K 0.99 10.64 N/A N/A 5,240 5,196 183,168 155,225 2009-12-07 $16.38 $15.00 47.9% 14.2% 45.5% 3.8% 47.4% 5.8% 0.5% -337.7K -13.6M -587.7K 0.33 8.14 N/A N/A 4,795 1,579 183,017 157,133 2009-12-08 $16.39 $15.00 44.7% 14.0% 44.8% 0.4% 47.6% 5.7% 1.5% -335.3K -16.9M -580.8K 0.72 9.96 N/A N/A 2,804 2,014 183,380 157,294 2009-12-09 $16.27 $15.00 42.6% 13.8% 44.7% 0.0% 47.9% 5.8% 1.5% -474.3K -6.5M -567.1K 0.57 10.79 N/A N/A 3,650 2,063 184,114 157,907 2009-12-10 $16.07 $15.00 47.3% 13.6% 34.9% 5.2% 47.7% 6.1% 1.6% -381.7K 4.0M -557.3K 0.67 9.35 N/A N/A 3,235 2,169 185,826 158,716 2009-12-11 $17.02 $15.00 45.5% 13.0% 40.8% 3.2% 46.7% 3.3% 1.6% -365.9K -53.2M -575.2K 0.34 6.83 N/A N/A 13,858 4,694 183,798 158,577 2009-12-14 $17.48 $15.00 45.9% 13.2% 40.6% 3.7% 47.0% 5.9% 1.0% -71.1K -79.0M -551.8K 1.07 11.29 N/A N/A 6,369 6,835 185,010 158,831 2009-12-15 $16.93 $15.00 47.4% 13.6% 41.8% 5.4% 49.0% 4.8% 0.6% -898.3K -46.0M -556.5K 0.22 9.04 N/A N/A 44,861 9,992 186,375 161,888 2009-12-16 $17.20 $15.00 46.8% 13.4% 41.2% 4.9% 46.8% 2.2% 1.6% -8.9K -74.9M -587.8K 0.26 10.41 N/A N/A 10,656 2,786 222,174 167,406 2009-12-17 $17.00 $15.00 47.1% 13.5% 41.3% 5.3% 47.4% 2.7% 0.8% -1.3M -58.2M -579.2K 0.54 8.71 N/A N/A 6,079 3,305 228,256 168,153 2009-12-18 $16.96 $15.00 45.8% 13.1% 40.9% 3.8% 46.2% 5.4% 1.2% -14.4M -47.5M -566.5K 1.04 8.86 N/A N/A 7,080 7,371 226,526 168,825 2009-12-21 $17.58 $15.00 44.8% 12.8% 42.6% 2.5% 45.2% 2.9% 1.7% 3.0M -105.1M -550.3K 0.26 6.83 N/A N/A 8,520 2,191 186,049 124,747 2009-12-22 $17.44 $15.00 43.8% 12.6% 41.9% 1.4% 44.8% 2.4% 2.4% 3.1M -101.8M -553.2K 0.81 7.89 N/A N/A 2,675 2,156 193,936 125,047 2009-12-23 $17.73 $15.00 44.8% 12.8% 41.9% 2.5% 45.3% 2.4% 1.7% 3.5M -114.3M -569.9K 0.49 8.09 N/A N/A 34,026 16,580 194,688 125,974 2009-12-24 $17.57 $15.00 44.1% 12.6% 40.6% 1.7% 46.9% 3.4% 0.8% 3.7M -113.9M -645.4K 0.31 7.68 N/A N/A 2,484 778 217,546 141,862 2009-12-28 $17.76 $15.00 47.7% 13.7% 38.6% 6.0% 48.7% 2.3% -1.2% 4.0M -127.1M -605.9K 1.09 6.95 N/A N/A 8,328 9,064 214,972 142,010 2009-12-29 $17.65 $15.00 46.4% 13.3% 35.5% 4.5% 47.5% 1.8% -0.8% 3.6M -115.9M -608.6K 1.49 8.27 N/A N/A 3,509 5,245 215,941 146,901 2009-12-30 $17.22 $15.00 45.4% 13.0% 36.1% 3.3% 46.1% -0.6% 0.7% 2.9M -92.9M -586.0K 0.71 6.58 N/A N/A 5,998 4,263 216,020 150,510 2009-12-31 $16.76 $15.00 45.4% 13.0% 37.2% 3.3% 45.3% -3.3% -0.0% 2.1M -70.7M -574.9K 0.91 10.41 N/A N/A 4,297 3,910 217,651 151,918
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