M Options History — May 2010

In May 2010, M traded between $20.35 and $24.70. ATM implied volatility averaged 52.4%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 3.0% (HV 20d: 55.4%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2010-05-12: Highest Volume — 49,064 contracts
  • 2010-05-10: Largest IV drop — 18.1% change
  • 2010-05-20: Highest IV Rank — 73.3%
  • 2010-05-20: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.35$20.35$24.70$23.74$22.21
Max Pain$23.20$20.00$24.00$20.00$24.00
ATM IV52.4%42.8%65.3%46.4%46.6%
Expected Move14.8%12.4%17.9%13.3%13.4%
HV 20d55.4%42.3%62.3%42.3%58.7%
HV 60d41.1%34.1%45.2%34.1%45.2%
IV Rank41.2%17.3%73.3%21.5%39.1%
IV Percentile56.7%27.8%85.7%36.5%38.9%
Term Structure-1.8%-7.8%1.3%-5.2%1.3%
VWIV52.0%43.7%61.6%47.7%44.8%
Skew 25d8.7%5.4%12.1%5.4%9.3%
Skew 10d17.8%11.2%23.5%11.2%19.2%
Call IV 25d47.8%41.3%57.0%44.7%42.4%
Put IV 25d56.6%47.6%69.0%50.1%51.6%
Bid-Ask Spread %6.083.9416.843.995.85
Gamma HHI0.200.090.620.280.09
Net GEX1.0M-6.0M4.0M3.2M142.7K
Net DEX-81.5M-206.7M7.8M-167.4M-40.7M
Net VEX-762.3K-860.3K-684.9K-761.8K-704.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.362.600.360.78
Total Volume16,893.051,80649,06411,2933,850
Total OI270,931.6178,091324,825269,640183,093

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$23.74$20.0046.4%13.3%42.3%21.5%47.7%5.4%-5.2%3.2M-167.4M-761.8K0.363.99N/AN/A8,2733,020148,235121,405
2010-05-04$22.77$20.0052.0%14.9%44.9%28.2%53.5%6.3%-6.0%2.8M-127.9M-804.0K1.243.94N/AN/A4,2675,285154,389122,187
2010-05-05$23.22$20.0051.7%14.8%45.3%27.9%51.5%7.8%-5.0%3.0M-139.6M-785.1K1.014.58N/AN/A8,9789,077149,852121,797
2010-05-06$22.42$20.0059.8%17.1%47.0%37.5%58.3%9.6%-7.8%2.5M-108.3M-815.1K1.0716.84N/AN/A10,73311,453154,160123,647
2010-05-07$21.94$24.0065.3%16.3%45.4%44.0%57.7%9.6%-3.5%1.9M-84.5M-807.0K1.155.78N/AN/A15,15117,372152,035126,245
2010-05-10$23.97$24.0053.4%13.8%55.1%29.9%49.9%8.1%-1.3%3.2M-170.6M-785.0K0.726.63N/AN/A18,75113,465151,086134,055
2010-05-11$23.90$24.0052.2%13.7%55.0%28.4%48.2%7.5%-0.4%4.0M-173.2M-806.4K1.296.14N/AN/A10,72013,797160,503140,345
2010-05-12$24.70$24.0042.8%12.4%55.1%17.3%43.7%6.3%0.7%3.5M-206.7M-785.8K1.115.43N/AN/A23,20325,861158,412148,163
2010-05-13$23.48$24.0045.7%13.1%58.1%26.7%45.9%6.7%-0.1%2.6M-128.0M-860.3K1.805.62N/AN/A5,3109,566163,956159,088
2010-05-14$22.54$24.0047.5%13.6%58.7%35.3%47.6%7.8%-0.2%1.5M-75.0M-829.6K1.405.92N/AN/A7,49910,520165,354157,678
2010-05-17$22.31$24.0050.8%14.6%58.8%45.0%53.7%7.5%-1.2%344.6K-56.6M-780.4K0.884.24N/AN/A8,2987,316163,856157,246
2010-05-18$21.37$24.0052.7%15.1%60.6%52.1%51.4%8.2%-1.8%-986.8K-18.2M-754.1K1.145.25N/AN/A11,47713,098161,540159,443
2010-05-19$21.35$24.0054.9%15.8%60.0%56.9%53.7%8.5%-1.5%-543.5K-23.2M-759.8K1.375.14N/AN/A8,07111,096162,995161,830
2010-05-20$20.35$24.0062.6%17.9%59.1%73.3%61.6%12.1%-4.1%-1.0M7.8M-718.6K1.416.48N/AN/A4,5636,411163,286156,431
2010-05-21$21.05$24.0056.7%16.3%60.5%60.7%58.0%11.2%-0.1%-6.0M-14.3M-708.5K1.277.21N/AN/A5,2916,695159,077156,367
2010-05-24$21.15$24.0056.1%16.1%60.6%59.4%56.4%11.1%-1.2%-47.9K-21.3M-698.8K1.575.17N/AN/A2,1413,36990,51288,844
2010-05-25$21.51$24.0052.0%14.9%60.1%50.7%59.8%11.5%0.7%101.4K-28.2M-699.0K2.606.32N/AN/A1,6894,39991,08687,005
2010-05-26$21.02$24.0052.6%15.1%60.3%51.9%51.4%10.4%-0.7%-65.4K-17.8M-684.9K1.846.62N/AN/A2,1103,88091,80288,999
2010-05-27$22.05$24.0045.7%13.1%62.3%37.1%46.0%9.8%1.3%69.7K-36.2M-697.0K1.614.55N/AN/A6931,11392,23390,395
2010-05-28$22.21$24.0046.6%13.4%58.7%39.1%44.8%9.3%1.3%142.7K-40.7M-704.6K0.785.85N/AN/A2,1631,68792,53590,558