M Options History — January 2010

In January 2010, M traded between $15.53 and $17.49. ATM implied volatility averaged 41.1%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 9.5% (HV 20d: 31.6%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.20.

Notable Days

  • 2010-01-07: Highest Volume — 24,835 contracts
  • 2010-01-11: Largest IV spike — 15.8% change
  • 2010-01-06: Highest IV Rank — 9.5%
  • 2010-01-04: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.37$15.53$17.49$17.06$15.93
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV41.1%35.2%50.6%47.0%39.9%
Expected Move11.6%10.1%13.1%13.1%11.4%
HV 20d31.6%27.9%38.5%35.7%28.6%
HV 60d42.1%39.1%45.2%45.2%39.1%
IV Rank3.8%0.0%9.5%5.2%5.1%
IV Percentile3.4%0.0%17.9%7.1%4.0%
Term Structure3.7%1.9%6.0%3.1%4.5%
VWIV40.9%35.2%46.8%44.7%39.7%
Skew 25d4.4%2.6%6.1%4.6%2.9%
Skew 10d7.7%-1.7%13.5%10.2%7.3%
Call IV 25d39.1%33.9%43.9%43.9%39.6%
Put IV 25d43.5%38.6%48.8%48.5%42.5%
Bid-Ask Spread %9.816.3514.918.9710.75
Gamma HHI0.170.140.220.220.16
Net GEX541.0K-881.6K2.9M2.5M-347.6K
Net DEX-34.0M-112.2M25.0M-82.8M6.5M
Net VEX-566.2K-595.1K-528.8K-544.8K-595.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.272.790.271.23
Total Volume12,062.2112,29524,8355,7234,970
Total OI318,536.895220,546411,959368,714246,320

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$17.06$17.0047.0%13.1%35.7%5.2%44.7%4.6%3.1%2.5M-82.8M-544.8K0.278.97N/AN/A4,5051,218217,105151,609
2010-01-05$16.86$17.0046.1%13.0%36.0%4.2%46.8%6.1%3.2%1.7M-64.7M-528.8K0.8211.59N/AN/A11,9609,854216,695152,118
2010-01-06$17.10$17.0050.6%13.0%35.3%9.5%45.5%4.3%1.9%2.2M-82.6M-550.4K0.4011.76N/AN/A16,8186,808223,959159,908
2010-01-07$17.49$17.0044.4%12.6%36.0%2.1%43.6%4.7%3.4%2.9M-112.2M-548.3K0.848.69N/AN/A13,48011,355227,514154,426
2010-01-08$16.92$17.0039.0%11.6%38.1%0.0%40.3%4.1%5.0%1.5M-74.5M-557.1K0.419.82N/AN/A17,2167,034228,482161,962
2010-01-11$16.62$17.0045.2%11.8%38.5%7.1%41.6%3.8%4.0%926.3K-66.2M-590.6K1.1414.91N/AN/A5,2485,999238,289165,627
2010-01-12$16.37$17.0047.1%12.1%32.7%9.2%42.2%2.6%3.8%593.9K-53.1M-588.8K0.8312.57N/AN/A5,6464,693240,092165,899
2010-01-13$16.44$17.0040.1%11.8%31.0%1.3%40.3%3.7%4.2%442.6K-58.0M-581.7K1.3010.97N/AN/A3,7974,939241,777167,936
2010-01-14$16.51$17.0038.3%11.0%29.2%0.0%39.0%4.0%4.5%286.1K-62.8M-574.4K2.437.99N/AN/A2,1405,209242,148168,733
2010-01-15$16.55$17.0036.6%10.5%28.5%0.0%38.1%3.4%6.0%325.8K-65.2M-578.8K1.009.51N/AN/A3,9933,999241,992169,967
2010-01-19$16.69$17.0035.2%10.1%28.5%0.0%38.8%4.9%3.0%496.7K-18.1M-563.4K2.0510.86N/AN/A5,24310,735123,28697,681
2010-01-20$16.44$17.0035.9%10.3%28.9%0.8%35.2%4.0%3.6%366.8K-11.0M-560.4K1.146.35N/AN/A2,2022,517125,81094,736
2010-01-21$15.74$17.0037.4%10.7%29.0%2.4%37.5%5.1%3.0%-448.2K14.0M-529.2K0.767.42N/AN/A6,1854,670126,50796,380
2010-01-22$15.57$17.0040.4%11.6%29.1%5.6%40.7%5.4%3.2%-355.1K14.7M-538.1K2.7910.05N/AN/A5,90716,474129,87696,295
2010-01-25$15.53$17.0039.4%11.3%27.9%4.6%41.6%4.3%3.4%-881.6K25.0M-591.3K1.986.98N/AN/A3,3066,559131,856117,644
2010-01-26$15.82$17.0039.6%11.4%29.3%4.9%41.3%5.6%3.6%-740.2K15.0M-581.7K2.448.56N/AN/A2,4505,984131,555113,541
2010-01-27$15.67$17.0039.4%11.3%28.7%4.5%39.6%5.9%2.7%-634.0K16.8M-565.7K0.339.77N/AN/A2,846928131,096108,213
2010-01-28$15.78$17.0039.6%11.4%29.1%4.8%40.0%5.1%3.5%-484.8K13.0M-589.9K0.688.93N/AN/A1,366929132,514112,653
2010-01-29$15.93$17.0039.9%11.4%28.6%5.1%39.7%2.9%4.5%-347.6K6.5M-595.1K1.2310.75N/AN/A2,2252,745133,312113,008