M Options History — March 2010

In March 2010, M traded between $19.78 and $22.12. ATM implied volatility averaged 32.6%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.8% (HV 20d: 28.8%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.98.

Notable Days

2010-03-19: Highest Volume — 54,344 contracts
2010-03-11: Largest IV spike — 10.9% change
2010-03-11: Highest IV Rank — 5.2%
2010-03-11: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.17	$19.78	$22.12	$19.78	$21.77
Max Pain	$20.13	$18.00	$21.00	$18.00	$21.00
ATM IV	32.6%	30.1%	34.4%	31.8%	32.3%
Expected Move	9.5%	9.1%	9.9%	9.1%	9.2%
HV 20d	28.8%	26.1%	34.1%	26.6%	31.5%
HV 60d	30.0%	28.4%	31.7%	31.7%	29.3%
IV Rank	2.7%	0.0%	5.2%	0.9%	2.6%
IV Percentile	3.3%	0.0%	7.9%	0.4%	4.0%
Term Structure	2.1%	-0.2%	3.5%	0.6%	3.5%
VWIV	34.1%	31.9%	36.9%	32.5%	32.9%
Skew 25d	4.2%	3.3%	4.9%	3.3%	3.8%
Skew 10d	8.6%	6.1%	9.9%	6.7%	7.9%
Call IV 25d	31.7%	30.5%	32.9%	30.8%	31.5%
Put IV 25d	35.9%	34.1%	37.5%	34.1%	35.3%
Bid-Ask Spread %	4.62	3.67	6.38	6.38	4.43
Gamma HHI	0.28	0.13	0.47	0.15	0.32
Net GEX	2.4M	817.5K	4.3M	965.0K	4.3M
Net DEX	-138.0M	-179.7M	-93.1M	-99.4M	-164.3M
Net VEX	-650.1K	-686.4K	-597.7K	-605.9K	-671.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.18	3.27	3.27	0.67
Total Volume	15,343.826	3,324	54,344	14,371	6,230
Total OI	234,999.696	194,243	252,248	194,243	249,302

Daily Data (23 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
2010-03-01	$19.78	$18.00	31.8%	9.1%	26.6%	0.9%	32.5%	3.3%	0.6%	965.0K	-99.4M	-605.9K	3.27	6.38	N/A	N/A	3,369	11,002	104,817	89,426
2010-03-02	$20.00	$18.00	33.4%	9.6%	26.2%	2.9%	34.1%	3.5%	0.1%	817.5K	-104.4M	-606.0K	0.99	4.73	N/A	N/A	18,241	18,018	105,398	94,270
2010-03-03	$20.03	$19.00	33.6%	9.6%	26.3%	3.2%	35.2%	3.3%	-0.2%	1.1M	-108.1M	-653.2K	2.30	4.45	N/A	N/A	3,047	7,005	117,069	101,461
2010-03-04	$19.88	$19.00	31.9%	9.1%	27.0%	1.0%	32.6%	3.4%	1.6%	992.9K	-99.7M	-658.6K	1.58	6.04	N/A	N/A	11,333	17,878	118,393	104,538
2010-03-05	$20.45	$20.00	30.8%	9.5%	27.1%	0.0%	33.2%	4.2%	2.1%	1.2M	-124.0M	-677.3K	1.51	5.01	N/A	N/A	4,625	7,007	123,529	111,887
2010-03-08	$21.04	$20.00	32.4%	9.6%	26.1%	2.0%	34.3%	4.1%	1.5%	1.6M	-148.2M	-650.4K	0.41	4.20	N/A	N/A	7,331	3,007	123,351	110,357
2010-03-09	$20.68	$20.00	30.1%	9.5%	27.1%	0.0%	36.3%	4.7%	2.3%	1.6M	-132.7M	-652.5K	1.19	5.57	N/A	N/A	9,486	11,285	124,249	110,364
2010-03-10	$20.98	$20.00	31.0%	9.8%	26.6%	1.1%	36.3%	4.9%	1.9%	2.1M	-146.3M	-666.3K	0.20	4.97	N/A	N/A	23,126	4,511	128,752	117,753
2010-03-11	$21.06	$20.00	34.4%	9.9%	26.6%	5.2%	36.9%	4.9%	2.0%	1.9M	-121.7M	-655.2K	1.92	4.58	N/A	N/A	1,482	2,850	113,406	118,703
2010-03-12	$21.75	$20.00	33.1%	9.5%	27.3%	3.6%	36.6%	4.8%	2.7%	2.0M	-146.7M	-618.1K	0.46	4.47	N/A	N/A	9,718	4,434	113,021	119,865
2010-03-15	$21.56	$20.00	33.6%	9.6%	28.3%	4.3%	36.6%	4.8%	2.4%	2.3M	-145.9M	-632.2K	0.35	4.79	N/A	N/A	5,195	1,843	116,427	121,004
2010-03-16	$21.64	$20.00	33.1%	9.5%	27.2%	3.6%	34.8%	4.7%	2.5%	2.7M	-154.7M	-622.8K	1.54	4.25	N/A	N/A	1,692	2,600	119,285	121,587
2010-03-17	$21.58	$20.00	32.7%	9.4%	27.4%	3.1%	33.2%	4.3%	2.3%	2.8M	-143.1M	-597.7K	0.45	4.65	N/A	N/A	10,971	4,978	114,368	122,729
2010-03-18	$21.39	$20.00	33.8%	9.7%	28.1%	4.4%	34.2%	4.2%	2.0%	3.4M	-137.7M	-602.9K	0.30	3.67	N/A	N/A	28,565	8,595	116,437	125,118
2010-03-19	$20.89	$21.00	33.3%	9.5%	29.9%	3.8%	31.9%	4.6%	1.9%	2.5M	-93.1M	-646.0K	0.18	4.68	N/A	N/A	46,096	8,248	122,438	129,810
2010-03-22	$22.00	$21.00	32.3%	9.3%	33.7%	2.7%	33.5%	4.5%	2.4%	3.1M	-167.6M	-668.5K	1.13	3.96	N/A	N/A	3,648	4,126	135,165	103,201
2010-03-23	$21.87	$21.00	31.6%	9.1%	34.1%	1.8%	32.3%	4.4%	2.7%	3.2M	-159.7M	-667.1K	0.91	4.12	N/A	N/A	4,616	4,207	133,961	104,010
2010-03-24	$21.50	$21.00	33.6%	9.6%	32.3%	4.2%	33.9%	4.5%	2.4%	2.9M	-142.4M	-685.8K	0.79	4.23	N/A	N/A	5,432	4,309	134,493	106,206
2010-03-25	$21.50	$21.00	33.9%	9.7%	31.7%	4.6%	33.5%	4.4%	2.5%	3.0M	-142.9M	-686.4K	0.61	5.05	N/A	N/A	2,197	1,340	134,765	105,501
2010-03-26	$21.72	$21.00	31.9%	9.1%	31.4%	2.1%	33.0%	4.2%	3.5%	3.6M	-157.0M	-686.4K	0.42	3.69	N/A	N/A	2,347	977	140,086	105,066
2010-03-29	$21.64	$21.00	32.3%	9.3%	30.0%	2.6%	33.9%	4.1%	3.1%	3.7M	-153.5M	-673.8K	1.03	3.77	N/A	N/A	3,589	3,713	140,362	105,261
2010-03-30	$22.12	$21.00	33.1%	9.5%	30.6%	3.7%	32.8%	3.4%	3.0%	4.2M	-179.7M	-667.2K	0.27	4.64	N/A	N/A	6,788	1,851	142,971	104,831
2010-03-31	$21.77	$21.00	32.3%	9.2%	31.5%	2.6%	32.9%	3.8%	3.5%	4.3M	-164.3M	-671.5K	0.67	4.43	N/A	N/A	3,731	2,499	143,897	105,405