M Options History — August 2010 In August 2010, M traded between $18.84 and $21.05. ATM implied volatility averaged 45.0%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 1.3% (HV 20d: 46.3%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.61.
Notable Days 2010-08-12 : Highest Volume — 27,815 contracts2010-08-11 : Largest IV drop — 17.5% change2010-08-10 : Highest IV Rank — 49.3%2010-08-04 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $19.88 $18.84 $21.05 $19.46 $19.41 Max Pain $19.64 $18.00 $21.00 $20.00 $20.00 ATM IV 45.0% 39.5% 51.3% 47.0% 46.1% Expected Move 12.7% 11.3% 14.3% 13.5% 13.2% HV 20d 46.3% 38.8% 53.8% 50.5% 38.8% HV 60d 47.1% 44.4% 51.4% 51.2% 44.4% IV Rank 40.1% 29.2% 49.3% 39.9% 46.2% IV Percentile 41.8% 22.6% 71.4% 49.6% 52.4% Term Structure 0.9% -5.4% 3.9% -3.5% 2.2% VWIV 44.3% 39.9% 49.5% 45.8% 44.6% Skew 25d 6.0% 4.7% 6.6% 5.4% 5.8% Skew 10d 11.9% 7.8% 13.8% 10.1% 13.0% Call IV 25d 42.0% 38.3% 47.4% 44.0% 43.0% Put IV 25d 48.0% 44.0% 52.7% 49.4% 48.7% Bid-Ask Spread % 4.48 3.58 5.55 4.75 4.39 Gamma HHI 0.19 0.09 0.74 0.10 0.14 Net GEX 1.2M -27.5K 7.8M -27.5K 514.9K Net DEX -20.2M -73.2M 14.2M 3.2M -8.4M Net VEX -520.9K -586.7K -449.4K -464.5K -560.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.61 0.14 7.97 0.68 2.74 Total Volume 9,485.364 3,724 27,815 5,322 12,838 Total OI 203,852.682 169,109 252,833 191,783 180,670
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 2010-08-02 $19.46 $20.00 47.0% 13.5% 50.5% 39.9% 45.8% 5.4% -3.5% -27.5K 3.2M -464.5K 0.68 4.75 N/A N/A 3,177 2,145 97,114 94,669 2010-08-03 $18.84 $20.00 48.3% 13.8% 51.1% 42.7% 48.2% 4.8% -4.4% 61.7K 14.2M -449.4K 0.42 4.07 N/A N/A 4,193 1,747 99,045 94,063 2010-08-04 $19.44 $19.00 50.0% 14.3% 51.4% 46.3% 48.6% 4.7% -5.4% 313.0K -2.0M -468.7K 0.60 3.95 N/A N/A 3,060 1,845 102,246 94,728 2010-08-05 $19.78 $20.00 48.7% 14.0% 50.8% 43.7% 49.5% 5.4% -4.7% 378.8K -10.2M -483.9K 0.37 4.58 N/A N/A 8,331 3,092 103,314 95,442 2010-08-06 $19.44 $18.00 48.2% 12.8% 51.3% 42.5% 45.3% 6.3% 0.2% 681.4K -4.9M -473.4K 1.08 4.86 N/A N/A 1,989 2,143 108,831 96,809 2010-08-09 $19.76 $18.00 48.0% 12.4% 50.0% 42.1% 43.7% 6.5% 0.4% 796.9K -12.9M -475.0K 0.21 4.41 N/A N/A 5,168 1,081 109,173 97,420 2010-08-10 $19.38 $18.00 51.3% 13.0% 50.0% 49.3% 45.4% 6.3% -0.0% 693.0K -2.3M -459.2K 0.67 5.55 N/A N/A 6,606 4,397 109,607 97,631 2010-08-11 $20.52 $18.00 42.4% 12.3% 53.5% 30.1% 43.7% 5.9% 1.7% 972.4K -37.2M -480.5K 1.38 4.04 N/A N/A 8,159 11,254 110,957 97,704 2010-08-12 $20.25 $18.00 44.2% 12.7% 53.8% 41.4% 44.7% 6.2% 1.8% 1.1M -27.5M -485.6K 0.14 4.07 N/A N/A 24,364 3,451 114,301 101,531 2010-08-13 $20.13 $18.00 43.5% 12.5% 47.5% 39.4% 43.4% 6.2% 2.6% 1.9M -39.5M -553.8K 2.42 5.08 N/A N/A 1,981 4,787 134,192 100,315 2010-08-16 $20.14 $20.00 44.5% 12.7% 47.3% 42.0% 44.5% 6.6% 2.1% 2.0M -36.0M -548.5K 1.34 4.20 N/A N/A 2,670 3,572 134,414 102,715 2010-08-17 $20.51 $20.00 41.9% 12.0% 44.8% 35.3% 43.4% 5.9% 3.0% 2.2M -50.2M -542.1K 0.91 4.49 N/A N/A 3,749 3,398 133,600 104,246 2010-08-18 $21.05 $20.00 44.2% 12.7% 44.8% 41.2% 44.3% 6.6% 2.5% 1.7M -73.2M -543.3K 3.63 3.81 N/A N/A 3,822 13,866 133,728 103,274 2010-08-19 $20.72 $21.00 43.4% 12.4% 41.7% 39.2% 44.4% 6.3% 2.6% 1.7M -50.5M -580.1K 0.58 3.58 N/A N/A 8,661 5,019 134,195 113,753 2010-08-20 $20.97 $21.00 42.0% 12.0% 41.8% 35.5% 42.4% 5.9% 3.7% 7.8M -57.1M -586.7K 0.72 4.06 N/A N/A 5,356 3,849 137,638 115,195 2010-08-23 $20.20 $21.00 42.8% 12.3% 42.1% 37.7% 41.8% 6.4% 2.4% 385.2K -17.9M -568.8K 1.44 5.41 N/A N/A 1,527 2,197 89,313 80,172 2010-08-24 $19.59 $21.00 43.3% 12.4% 42.4% 38.9% 43.3% 6.4% 1.7% 327.8K -3.5M -546.2K 2.50 4.90 N/A N/A 1,393 3,479 89,416 80,830 2010-08-25 $19.79 $21.00 42.8% 12.3% 41.2% 37.7% 42.0% 5.8% 2.5% 388.3K -9.7M -549.5K 3.06 4.51 N/A N/A 1,185 3,627 89,608 80,095 2010-08-26 $19.21 $20.00 44.0% 12.6% 41.9% 40.7% 41.9% 6.2% 2.7% 433.5K 790.0K -524.9K 0.46 4.74 N/A N/A 9,125 4,187 90,196 78,913 2010-08-27 $19.60 $20.00 39.5% 11.3% 42.4% 29.2% 39.9% 5.7% 3.9% 793.9K -13.9M -564.5K 2.23 4.66 N/A N/A 1,292 2,878 98,431 77,879 2010-08-30 $19.19 $20.00 44.0% 12.6% 40.4% 40.8% 42.8% 6.3% 2.1% 720.0K -5.0M -550.2K 7.97 4.38 N/A N/A 894 7,124 98,864 78,522 2010-08-31 $19.41 $20.00 46.1% 13.2% 38.8% 46.2% 44.6% 5.8% 2.2% 514.9K -8.4M -560.6K 2.74 4.39 N/A N/A 3,429 9,409 98,697 81,973
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