M Options History — April 2010

In April 2010, M traded between $22.34 and $24.85. ATM implied volatility averaged 36.8%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 3.7% (HV 20d: 33.1%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2010-04-27: Highest Volume — 43,151 contracts
  • 2010-04-15: Largest IV spike — 25.6% change
  • 2010-04-30: Highest IV Rank — 20.8%
  • 2010-04-30: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.46$22.34$24.85$22.34$23.20
Max Pain$19.00$18.00$21.00$21.00$20.00
ATM IV36.8%28.3%45.8%31.3%45.8%
Expected Move11.0%9.0%13.1%9.0%13.1%
HV 20d33.1%29.9%42.2%32.1%42.2%
HV 60d29.8%28.2%34.2%29.4%34.2%
IV Rank9.5%0.0%20.8%1.4%20.8%
IV Percentile14.6%0.0%34.9%1.6%34.9%
Term Structure-1.5%-4.3%4.2%4.2%-3.9%
VWIV39.1%31.8%45.0%31.8%45.0%
Skew 25d4.8%3.4%5.9%3.4%5.7%
Skew 10d12.6%8.7%18.2%8.8%11.1%
Call IV 25d36.5%30.1%43.6%30.1%43.6%
Put IV 25d41.3%33.5%49.3%33.5%49.3%
Bid-Ask Spread %4.493.486.353.485.26
Gamma HHI0.370.250.570.340.25
Net GEX4.4M3.0M11.1M4.6M3.0M
Net DEX-193.4M-242.6M-143.8M-187.5M-145.2M
Net VEX-636.4K-798.0K-585.6K-649.8K-771.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.132.531.872.16
Total Volume13,5124,06743,1514,3366,460
Total OI248,560.619203,973270,542248,795268,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$22.34$21.0031.3%9.0%32.1%1.4%31.8%3.4%4.2%4.6M-187.5M-649.8K1.873.48N/AN/A1,5092,827142,743106,052
2010-04-05$22.84$18.0033.0%10.2%31.6%3.4%35.2%4.4%0.3%4.3M-208.4M-607.4K0.814.19N/AN/A6,1555,011142,128106,528
2010-04-06$22.61$18.0032.1%10.2%30.8%2.4%36.3%4.3%-0.1%4.9M-199.7M-634.3K0.573.75N/AN/A5,3143,008145,645109,171
2010-04-07$22.46$18.0038.9%10.9%30.1%10.6%38.4%4.0%-1.1%4.9M-178.8M-623.9K1.194.03N/AN/A7,3928,786140,907109,853
2010-04-08$22.65$18.0031.6%10.4%29.9%1.7%35.8%4.2%-0.4%5.3M-189.7M-601.4K0.194.46N/AN/A28,4195,532140,907109,853
2010-04-09$23.51$18.0029.4%10.1%32.2%0.0%38.8%4.3%0.1%5.3M-241.5M-621.2K0.674.13N/AN/A3,3252,216154,637115,042
2010-04-12$22.94$18.0033.7%10.6%32.2%5.2%38.2%4.2%-0.8%5.7M-204.9M-617.8K0.923.85N/AN/A3,5633,293149,408114,146
2010-04-13$23.24$18.0032.4%10.5%32.1%3.7%36.5%4.3%-0.5%4.9M-207.9M-611.1K0.323.76N/AN/A4,4671,415144,024116,097
2010-04-14$23.96$18.0028.3%10.2%33.5%0.0%35.8%4.2%-0.2%4.1M-242.6M-587.6K0.134.61N/AN/A17,5782,291145,668116,022
2010-04-15$23.76$19.0035.6%10.2%33.7%8.6%37.4%4.0%-0.2%4.6M-229.1M-589.8K0.953.90N/AN/A3,7843,584144,704117,492
2010-04-16$22.98$19.0036.8%10.6%36.1%10.1%37.1%4.1%-0.3%11.1M-190.0M-602.7K1.125.62N/AN/A7,3908,249142,948118,265
2010-04-19$22.90$19.0038.7%11.1%34.7%12.4%41.3%5.7%-2.8%3.1M-143.8M-589.4K2.535.52N/AN/A6,69516,930119,01484,959
2010-04-20$23.01$19.0038.6%11.1%30.0%12.2%39.7%5.6%-2.6%3.0M-146.4M-611.8K1.074.03N/AN/A3,4873,740122,70095,933
2010-04-21$23.44$19.0038.4%11.0%30.3%12.1%39.7%5.7%-2.7%3.2M-161.2M-620.2K1.755.31N/AN/A2,6364,600124,17798,669
2010-04-22$24.48$19.0039.4%11.3%32.4%13.2%40.6%5.1%-3.0%3.1M-197.2M-598.4K1.576.35N/AN/A5,3368,401124,518100,735
2010-04-23$24.83$20.0038.0%10.9%32.4%11.5%39.9%5.3%-2.2%3.1M-211.7M-585.6K1.054.39N/AN/A3,2803,429127,386102,519
2010-04-26$24.85$20.0042.0%12.0%32.5%16.3%43.2%5.7%-4.3%3.1M-207.4M-603.4K0.364.09N/AN/A22,7638,306128,461103,497
2010-04-27$23.91$20.0044.1%12.7%36.1%18.9%44.6%5.5%-3.9%3.4M-177.4M-674.6K1.215.80N/AN/A19,56423,587139,909106,655
2010-04-28$24.03$20.0043.9%12.6%35.6%18.5%44.2%5.9%-3.6%3.4M-179.9M-798.0K0.793.85N/AN/A2,9922,371150,327120,215
2010-04-29$24.68$20.0041.3%11.9%35.6%15.5%42.4%5.1%-2.6%3.4M-210.9M-764.8K2.063.98N/AN/A1,3302,737149,165120,126
2010-04-30$23.20$20.0045.8%13.1%42.2%20.8%45.0%5.7%-3.9%3.0M-145.2M-771.7K2.165.26N/AN/A2,0424,418149,073119,495