M Options History — July 2010

In July 2010, M traded between $17.16 and $20.14. ATM implied volatility averaged 46.4%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 0.9% (HV 20d: 47.4%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2010-07-07: Highest Volume — 21,830 contracts
  • 2010-07-12: Largest IV spike — 16.8% change
  • 2010-07-06: Highest IV Rank — 56.4%
  • 2010-07-06: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.46$17.16$20.14$18.33$18.65
Max Pain$19.95$19.00$20.00$20.00$20.00
ATM IV46.4%39.4%54.7%52.1%44.6%
Expected Move13.5%12.8%15.2%14.9%12.8%
HV 20d47.4%42.0%55.3%46.5%49.5%
HV 60d50.5%49.1%52.7%49.5%50.8%
IV Rank38.7%23.7%56.4%51.0%34.8%
IV Percentile44.5%20.6%79.4%65.9%36.1%
Term Structure-0.9%-2.4%2.7%0.5%-1.8%
VWIV47.2%43.3%53.0%52.1%43.3%
Skew 25d6.5%4.9%8.5%6.5%5.6%
Skew 10d12.5%9.1%17.2%14.0%10.1%
Call IV 25d44.4%41.9%48.9%48.9%43.0%
Put IV 25d50.8%47.9%57.1%55.3%48.7%
Bid-Ask Spread %4.593.448.804.518.80
Gamma HHI0.130.090.200.120.10
Net GEX289.3K-143.2K1.1M278.9K-143.2K
Net DEX22.2M-16.4M52.9M26.3M20.3M
Net VEX-475.1K-535.3K-418.9K-535.3K-451.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.122.880.540.33
Total Volume6,699.0481,79021,8306,3351,790
Total OI197,235.095180,537213,178200,373190,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$18.33$20.0052.1%14.9%46.5%51.0%52.1%6.5%0.5%278.9K26.3M-535.3K0.544.51N/AN/A4,1202,215106,43193,942
2010-07-02$17.85$19.0048.7%14.0%42.0%43.6%48.9%6.6%2.7%293.3K37.6M-500.7K1.535.11N/AN/A9751,487108,42394,856
2010-07-06$17.41$20.0054.7%15.2%42.1%56.4%51.5%8.5%-2.0%231.8K46.1M-463.2K0.124.00N/AN/A13,2971,632108,51994,156
2010-07-07$17.91$20.0051.9%14.3%44.0%50.5%53.0%8.1%-1.1%401.8K35.9M-480.7K0.673.97N/AN/A13,0388,792109,30494,303
2010-07-08$18.44$20.0044.8%13.8%45.8%35.3%48.4%7.2%-0.0%1.1M17.2M-509.5K0.313.51N/AN/A11,1473,496116,88996,289
2010-07-09$18.53$20.0039.4%13.0%43.0%23.7%46.9%7.1%0.9%680.5K22.4M-498.3K2.143.98N/AN/A1,5563,329110,87595,467
2010-07-12$17.98$20.0046.0%13.5%43.8%37.9%48.7%7.0%-0.2%541.2K37.7M-470.8K0.513.44N/AN/A1,622833111,05398,172
2010-07-13$18.47$20.0044.9%13.3%44.2%35.4%46.2%6.5%-0.3%740.0K23.2M-481.9K0.343.56N/AN/A3,5451,221111,18896,799
2010-07-14$18.38$20.0042.6%13.4%42.8%30.5%44.5%6.6%-0.3%842.0K26.3M-468.9K0.663.62N/AN/A3,5982,381111,44797,205
2010-07-15$18.30$20.0045.9%13.2%42.7%37.7%45.5%6.4%-0.2%689.0K29.3M-466.8K0.744.44N/AN/A3,9772,956111,82197,738
2010-07-16$17.16$20.0048.9%14.0%47.0%44.1%48.1%7.2%-1.0%51.3K52.9M-421.8K0.915.45N/AN/A3,3443,029112,16498,664
2010-07-19$17.53$20.0045.6%13.1%48.4%36.9%46.3%6.4%-1.4%-81.2K35.7M-418.9K0.434.60N/AN/A5,7352,47592,87587,662
2010-07-20$18.42$20.0045.8%13.1%51.9%37.5%45.3%5.6%-1.6%-26.0K20.0M-462.9K0.436.00N/AN/A3,8061,64493,93388,830
2010-07-21$18.20$20.0047.4%13.6%50.9%40.8%46.7%5.9%-1.4%-3.9K22.5M-456.1K0.624.21N/AN/A2,4681,53494,89989,043
2010-07-22$19.24$20.0044.6%12.8%55.3%34.9%44.2%5.8%-1.7%93.0K3.7M-487.0K0.224.70N/AN/A4,7131,04595,94089,831
2010-07-23$19.38$20.0044.9%12.9%50.3%35.4%46.5%6.1%-1.5%105.8K1.2M-481.5K0.294.77N/AN/A3,9201,13896,23289,870
2010-07-26$20.14$20.0044.5%12.8%51.9%34.6%44.3%6.0%-2.4%173.8K-16.4M-500.6K0.534.46N/AN/A6,3313,32697,49089,890
2010-07-27$19.58$20.0045.0%12.9%52.9%35.6%46.0%5.8%-2.3%166.9K-3.3M-494.6K0.864.46N/AN/A1,2481,07499,87491,641
2010-07-28$19.05$20.0047.0%13.5%49.4%39.9%47.1%6.0%-2.2%30.8K8.8M-475.5K1.724.52N/AN/A7331,26396,89391,784
2010-07-29$18.64$20.0045.6%13.1%50.2%36.9%47.9%4.9%-2.2%-48.4K19.0M-449.9K2.884.19N/AN/A1,2483,59996,46492,285
2010-07-30$18.65$20.0044.6%12.8%49.5%34.8%43.3%5.6%-1.8%-143.2K20.3M-451.4K0.338.80N/AN/A1,34744396,18194,615