M Options History — June 2010

In June 2010, M traded between $17.77 and $22.49. ATM implied volatility averaged 46.6%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 1.9% (HV 20d: 48.5%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2010-06-24: Highest Volume — 17,700 contracts
2010-06-24: Largest IV spike — 16.3% change
2010-06-07: Highest IV Rank — 54.8%
2010-06-29: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.64	$17.77	$22.49	$21.88	$17.90
Max Pain	$22.41	$20.00	$23.00	$23.00	$20.00
ATM IV	46.6%	39.4%	54.0%	51.7%	52.3%
Expected Move	13.3%	11.3%	15.3%	14.8%	15.0%
HV 20d	48.5%	41.4%	60.2%	58.1%	45.1%
HV 60d	47.0%	44.7%	49.2%	45.0%	49.2%
IV Rank	39.1%	23.7%	54.8%	50.0%	51.3%
IV Percentile	42.5%	20.6%	73.0%	56.0%	67.9%
Term Structure	1.5%	-0.6%	3.6%	-0.6%	0.0%
VWIV	46.2%	39.5%	51.3%	51.3%	51.0%
Skew 25d	8.9%	7.6%	10.7%	10.5%	7.9%
Skew 10d	17.3%	15.5%	21.5%	21.5%	16.1%
Call IV 25d	42.8%	35.1%	50.4%	47.8%	49.7%
Put IV 25d	51.7%	42.8%	59.2%	58.3%	57.6%
Bid-Ask Spread %	5.28	4.13	7.05	7.05	5.97
Gamma HHI	0.11	0.09	0.15	0.09	0.10
Net GEX	139.8K	-378.3K	931.1K	40.9K	297.6K
Net DEX	-8.9M	-47.0M	39.2M	-33.5M	35.4M
Net VEX	-626.1K	-696.6K	-505.5K	-696.6K	-516.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.34	1.42	0.76	0.34
Total Volume	6,855.955	2,884	17,700	2,884	4,984
Total OI	198,615.682	179,377	211,995	184,188	203,750

Daily Data (22 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
2010-06-01	$21.88	$23.00	51.7%	14.8%	58.1%	50.0%	51.3%	10.5%	-0.6%	40.9K	-33.5M	-696.6K	0.76	7.05	N/A	N/A	1,642	1,242	92,966	91,222
2010-06-02	$22.40	$23.00	47.2%	13.5%	57.1%	40.4%	46.3%	8.8%	1.4%	159.2K	-44.3M	-687.2K	0.45	6.91	N/A	N/A	3,582	1,610	93,371	91,575
2010-06-03	$22.49	$23.00	45.4%	13.0%	56.6%	36.5%	42.8%	8.3%	0.6%	295.3K	-45.4M	-686.6K	0.78	4.77	N/A	N/A	8,094	6,323	95,540	91,279
2010-06-04	$21.03	$23.00	51.3%	14.5%	60.2%	49.2%	49.4%	9.9%	1.0%	-66.2K	-13.7M	-680.6K	1.17	6.30	N/A	N/A	2,188	2,551	100,776	94,958
2010-06-07	$20.58	$23.00	54.0%	14.7%	60.2%	54.8%	51.2%	10.7%	0.6%	-255.5K	-2.6M	-656.3K	1.42	5.27	N/A	N/A	4,971	7,037	101,552	96,373
2010-06-08	$20.58	$23.00	50.1%	14.1%	49.6%	46.6%	48.4%	10.4%	1.5%	-378.3K	815.4K	-663.0K	1.17	4.48	N/A	N/A	2,163	2,540	104,980	100,043
2010-06-09	$20.52	$23.00	50.0%	14.2%	49.6%	46.3%	50.8%	10.6%	1.3%	-345.9K	1.8M	-659.0K	0.39	6.86	N/A	N/A	3,075	1,190	105,859	100,221
2010-06-10	$21.33	$23.00	47.3%	13.5%	50.2%	40.5%	48.0%	9.2%	1.5%	-125.2K	-17.0M	-677.2K	0.45	4.93	N/A	N/A	6,970	3,107	106,465	100,234
2010-06-11	$21.24	$23.00	46.0%	13.2%	47.5%	37.7%	48.5%	9.6%	1.8%	206.6K	-18.6M	-675.8K	0.43	5.12	N/A	N/A	2,713	1,154	110,209	100,781
2010-06-14	$21.73	$23.00	44.5%	12.7%	46.5%	34.5%	45.2%	9.2%	2.1%	604.2K	-32.6M	-665.4K	0.48	5.15	N/A	N/A	2,098	1,006	110,690	100,463
2010-06-15	$22.21	$23.00	42.2%	12.1%	47.2%	29.7%	43.0%	8.8%	2.6%	931.1K	-47.0M	-658.5K	0.76	4.94	N/A	N/A	2,335	1,774	110,758	100,690
2010-06-16	$21.80	$23.00	41.3%	11.8%	45.0%	27.7%	41.4%	8.6%	2.8%	751.5K	-32.4M	-650.3K	0.63	5.12	N/A	N/A	2,914	1,842	110,555	101,440
2010-06-17	$21.67	$23.00	39.8%	11.4%	45.0%	24.6%	39.5%	8.5%	3.6%	695.3K	-26.1M	-636.1K	0.91	4.92	N/A	N/A	1,914	1,748	109,060	101,245
2010-06-18	$21.46	$23.00	39.4%	11.3%	41.4%	23.7%	40.3%	7.8%	3.4%	255.7K	-17.5M	-616.4K	0.77	4.57	N/A	N/A	2,652	2,053	109,526	101,215
2010-06-21	$20.74	$23.00	39.5%	11.3%	41.7%	23.9%	39.9%	8.2%	3.1%	52.3K	-12.3M	-588.3K	0.97	5.18	N/A	N/A	2,714	2,643	92,474	86,903
2010-06-22	$20.06	$23.00	43.0%	12.3%	43.2%	31.4%	44.1%	8.5%	1.9%	-71.3K	1.8M	-572.6K	1.17	4.96	N/A	N/A	2,466	2,882	94,005	87,894
2010-06-23	$20.09	$23.00	42.7%	12.3%	42.6%	30.8%	43.2%	8.4%	2.0%	-105.2K	2.0M	-587.6K	0.70	4.56	N/A	N/A	3,173	2,208	95,412	89,989
2010-06-24	$18.85	$22.00	49.7%	14.3%	47.3%	45.8%	48.0%	8.4%	0.5%	-98.4K	22.6M	-554.2K	0.77	4.98	N/A	N/A	10,016	7,684	97,280	90,732
2010-06-25	$19.02	$20.00	47.7%	13.7%	43.3%	41.4%	46.1%	7.6%	0.9%	51.5K	20.0M	-575.0K	0.46	4.13	N/A	N/A	7,626	3,521	102,472	94,157
2010-06-28	$18.82	$20.00	47.2%	13.5%	43.0%	40.3%	48.1%	8.1%	1.2%	140.3K	23.1M	-565.6K	1.14	4.94	N/A	N/A	1,468	1,674	107,954	95,287
2010-06-29	$17.77	$20.00	53.4%	15.3%	46.4%	53.6%	51.0%	8.8%	-0.6%	40.7K	39.2M	-505.5K	0.36	5.09	N/A	N/A	11,209	4,075	103,858	93,332
2010-06-30	$17.90	$20.00	52.3%	15.0%	45.1%	51.3%	51.0%	7.9%	0.0%	297.6K	35.4M	-516.8K	0.34	5.97	N/A	N/A	3,733	1,251	109,622	94,128