M Options History — February 2010

In February 2010, M traded between $15.92 and $19.52. ATM implied volatility averaged 39.4%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 13.5% (HV 20d: 25.9%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2010-02-23: Highest Volume — 49,360 contracts
  • 2010-02-23: Largest IV drop — 14.2% change
  • 2010-02-08: Highest IV Rank — 13.0%
  • 2010-02-08: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.54$15.92$19.52$15.92$19.15
Max Pain$16.58$16.00$18.00$17.00$18.00
ATM IV39.4%31.1%45.4%40.3%32.0%
Expected Move11.5%8.9%13.7%11.6%9.2%
HV 20d25.9%21.0%28.9%27.3%25.3%
HV 60d34.5%31.4%39.2%39.1%31.4%
IV Rank6.1%0.0%13.0%5.6%1.1%
IV Percentile4.8%0.0%11.1%4.8%0.4%
Term Structure0.2%-3.7%3.8%3.8%1.5%
VWIV40.9%32.1%49.0%41.5%32.1%
Skew 25d5.6%3.4%7.5%4.5%3.5%
Skew 10d11.0%6.1%14.5%8.1%7.1%
Call IV 25d38.3%30.5%44.4%38.7%30.6%
Put IV 25d43.9%33.8%51.7%43.2%34.1%
Bid-Ask Spread %4.753.557.393.885.64
Gamma HHI0.180.130.220.190.14
Net GEX954.2K-400.6K2.6M-400.6K975.9K
Net DEX-52.8M-119.2M6.7M6.7M-79.9M
Net VEX-613.9K-648.1K-555.7K-555.7K-620.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.285.120.392.51
Total Volume15,165.3164,11549,3605,9638,496
Total OI246,902.632167,661296,327239,007197,526

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$15.92$17.0040.3%11.6%27.3%5.6%41.5%4.5%3.8%-400.6K6.7M-555.7K0.393.88N/AN/A4,2891,674133,564105,443
2010-02-02$16.21$17.0039.4%11.3%27.3%4.6%38.9%3.9%3.8%7.3K-5.6M-570.9K0.514.27N/AN/A4,8262,451134,839106,369
2010-02-03$16.24$17.0040.6%11.6%27.1%6.8%40.2%4.1%2.7%235.9K-8.3M-570.1K0.824.34N/AN/A2,8672,340136,976106,075
2010-02-04$16.67$17.0041.8%12.0%28.4%8.4%42.5%3.9%2.6%790.2K-24.6M-586.9K0.284.97N/AN/A34,6019,625137,403107,016
2010-02-05$16.42$16.0043.8%13.5%27.3%10.9%45.6%7.5%-1.3%471.5K-18.1M-640.6K0.605.95N/AN/A7,0284,205150,884111,167
2010-02-08$16.27$16.0045.4%13.7%25.0%13.0%47.5%7.3%-1.7%98.8K-9.3M-628.7K5.124.65N/AN/A1,8129,275151,529113,237
2010-02-09$16.71$16.0040.1%12.9%26.3%6.2%45.5%7.3%-1.1%655.6K-25.9M-647.9K0.715.75N/AN/A7,8655,578152,448117,603
2010-02-10$16.75$16.0039.8%13.0%25.6%5.8%49.0%7.5%-1.2%612.6K-26.9M-646.6K2.835.47N/AN/A1,2113,432155,283120,993
2010-02-11$17.13$16.0044.3%12.7%26.7%11.6%45.8%7.2%-0.8%1.1M-43.5M-648.1K0.815.17N/AN/A2,2721,843155,589123,328
2010-02-12$17.32$16.0044.3%12.7%26.9%11.5%45.8%6.9%-0.9%1.6M-55.1M-641.5K0.544.28N/AN/A3,4531,857156,042123,737
2010-02-16$17.89$16.0042.5%12.2%28.9%9.3%43.5%6.7%-1.4%2.6M-84.1M-629.6K1.684.13N/AN/A6,36210,706157,288124,844
2010-02-17$17.93$16.0040.1%11.5%28.9%6.2%40.2%6.9%0.0%1.5M-84.1M-622.2K0.704.51N/AN/A6,6584,689158,071130,922
2010-02-18$18.16$16.0039.4%11.3%28.2%5.3%40.5%6.2%-0.3%1.6M-98.3M-616.1K0.924.56N/AN/A4,2573,916161,605133,570
2010-02-19$18.54$16.0036.6%10.5%22.1%1.8%38.1%5.2%0.0%1.2M-119.2M-604.5K0.683.55N/AN/A4,2202,871161,579134,748
2010-02-22$18.47$16.0040.5%11.6%21.4%6.8%40.0%6.6%-3.7%1.2M-70.1M-592.8K0.807.39N/AN/A16,90113,45694,72372,938
2010-02-23$18.67$18.0034.8%10.0%21.0%0.0%36.4%4.0%-0.8%1.5M-76.7M-605.3K0.414.04N/AN/A35,04814,312101,80879,805
2010-02-24$19.52$17.0031.1%8.9%24.3%0.0%32.7%3.5%1.1%1.5M-93.9M-611.3K1.484.15N/AN/A11,61017,126100,12685,906
2010-02-25$19.28$18.0032.2%9.2%24.6%1.4%32.2%3.4%1.6%1.1M-85.6M-624.5K4.093.60N/AN/A2,95012,059104,56391,603
2010-02-26$19.15$18.0032.0%9.2%25.3%1.1%32.1%3.5%1.5%975.9K-79.9M-620.3K2.515.64N/AN/A2,4186,078104,24993,277