M Options History — September 2010 In September 2010, M traded between $20.19 and $23.17. ATM implied volatility averaged 38.4%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.9% (HV 20d: 31.5%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.17.
Notable Days 2010-09-14 : Highest Volume — 21,629 contracts2010-09-07 : Largest IV spike — 18.3% change2010-09-07 : Highest IV Rank — 37.5%2010-09-07 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $21.66 $20.19 $23.17 $20.19 $23.08 Max Pain $20.86 $20.00 $21.00 $20.00 $21.00 ATM IV 38.4% 35.3% 42.7% 42.3% 35.6% Expected Move 11.2% 10.1% 12.9% 12.1% 10.2% HV 20d 31.5% 18.4% 40.3% 39.7% 18.4% HV 60d 42.6% 38.4% 45.5% 45.2% 38.4% IV Rank 26.2% 18.2% 37.5% 36.2% 19.1% IV Percentile 21.3% 14.3% 33.7% 30.6% 15.1% Term Structure 3.4% 1.7% 4.7% 2.8% 4.4% VWIV 39.6% 35.7% 44.8% 42.8% 35.7% Skew 25d 5.8% 4.2% 7.6% 5.9% 4.2% Skew 10d 12.4% 8.0% 15.3% 14.1% 8.0% Call IV 25d 36.9% 33.5% 41.1% 39.5% 34.5% Put IV 25d 42.7% 38.7% 48.3% 45.3% 38.7% Bid-Ask Spread % 4.90 4.36 5.87 5.39 5.87 Gamma HHI 0.16 0.13 0.19 0.15 0.18 Net GEX 785.0K 13.2K 1.7M 635.1K 1.7M Net DEX -57.6M -103.7M -22.1M -24.6M -102.3M Net VEX -588.6K -647.2K -546.0K -594.2K -575.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.17 0.15 5.38 4.17 2.88 Total Volume 8,611.095 2,165 21,629 8,085 2,644 Total OI 195,615.048 179,456 218,362 185,640 199,666
Daily Data (21 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 2010-09-01 $20.19 $20.00 42.3% 12.1% 39.7% 36.2% 42.8% 5.9% 2.8% 635.1K -24.6M -594.2K 4.17 5.39 N/A N/A 1,564 6,521 100,361 85,279 2010-09-02 $20.71 $20.00 38.5% 11.1% 40.3% 26.6% 39.4% 5.7% 4.7% 646.9K -37.5M -611.6K 3.94 4.72 N/A N/A 3,467 13,653 101,112 87,970 2010-09-03 $20.87 $20.00 36.1% 11.9% 39.6% 20.3% 41.5% 7.6% 2.5% 471.3K -36.9M -623.7K 1.40 5.87 N/A N/A 2,764 3,874 102,702 93,191 2010-09-07 $20.48 $21.00 42.7% 12.9% 40.1% 37.5% 43.8% 7.2% 1.9% 13.2K -22.8M -600.1K 3.06 4.40 N/A N/A 3,274 10,016 101,395 95,105 2010-09-08 $20.42 $21.00 41.1% 12.8% 39.3% 33.1% 44.8% 7.2% 1.7% 188.5K -22.1M -599.3K 1.26 4.73 N/A N/A 6,008 7,587 103,511 94,445 2010-09-09 $20.63 $21.00 41.5% 11.9% 33.9% 34.3% 41.8% 7.0% 2.7% 402.7K -32.6M -611.4K 1.08 4.96 N/A N/A 2,640 2,857 108,669 94,012 2010-09-10 $20.80 $21.00 40.9% 11.7% 33.6% 32.8% 40.7% 7.1% 2.6% 459.1K -40.2M -601.1K 0.36 5.60 N/A N/A 3,824 1,370 108,924 94,140 2010-09-13 $21.05 $21.00 41.5% 11.9% 33.7% 34.3% 41.7% 6.7% 2.6% 649.2K -46.1M -600.0K 5.38 4.43 N/A N/A 1,477 7,939 107,517 94,529 2010-09-14 $21.65 $21.00 39.8% 11.4% 34.9% 29.8% 41.5% 6.9% 3.1% 753.3K -65.4M -604.9K 0.29 4.65 N/A N/A 16,819 4,810 106,529 96,763 2010-09-15 $21.50 $21.00 40.4% 11.6% 34.6% 31.5% 40.3% 6.7% 2.9% 1.7M -77.9M -647.2K 1.02 4.48 N/A N/A 7,665 7,852 121,834 96,528 2010-09-16 $21.69 $21.00 38.0% 10.9% 33.6% 25.2% 39.5% 5.8% 3.8% 1.3M -74.0M -631.4K 2.01 4.76 N/A N/A 765 1,538 114,690 101,660 2010-09-17 $21.75 $21.00 36.5% 10.5% 33.0% 21.4% 39.4% 5.3% 4.6% 509.1K -59.2M -569.9K 4.01 4.92 N/A N/A 1,156 4,637 101,081 100,894 2010-09-20 $22.13 $21.00 35.9% 10.3% 33.2% 19.6% 37.0% 5.7% 4.1% 849.6K -59.3M -555.3K 1.40 4.56 N/A N/A 2,000 2,798 92,281 87,175 2010-09-21 $21.99 $21.00 36.5% 10.5% 29.9% 21.2% 36.8% 5.6% 3.9% 794.3K -55.2M -564.9K 1.41 4.74 N/A N/A 1,074 1,511 93,593 88,450 2010-09-22 $22.00 $21.00 37.0% 10.6% 27.0% 22.6% 37.0% 5.4% 3.8% 787.3K -56.4M -562.1K 4.24 4.64 N/A N/A 1,226 5,193 94,169 89,091 2010-09-23 $22.28 $21.00 37.6% 10.8% 27.1% 24.1% 38.2% 4.6% 3.3% 519.3K -60.0M -563.2K 4.23 4.80 N/A N/A 2,153 9,103 94,199 93,068 2010-09-24 $22.75 $21.00 35.3% 10.1% 24.0% 18.2% 36.9% 4.3% 4.1% 740.5K -75.3M -563.8K 0.42 4.77 N/A N/A 5,695 2,374 94,943 92,815 2010-09-27 $22.73 $21.00 36.8% 10.6% 23.8% 22.1% 37.8% 5.2% 3.7% 929.1K -76.6M -558.6K 1.94 4.36 N/A N/A 736 1,429 96,844 92,048 2010-09-28 $22.97 $21.00 36.1% 10.3% 21.3% 20.1% 37.7% 4.7% 4.1% 843.9K -81.1M -546.0K 0.15 5.37 N/A N/A 13,751 2,124 94,730 92,458 2010-09-29 $23.17 $21.00 36.2% 10.4% 21.3% 20.5% 37.9% 4.2% 4.3% 1.6M -103.7M -576.3K 0.87 4.95 N/A N/A 1,578 1,367 106,106 93,439 2010-09-30 $23.08 $21.00 35.6% 10.2% 18.4% 19.1% 35.7% 4.2% 4.4% 1.7M -102.3M -575.1K 2.88 5.87 N/A N/A 681 1,963 107,131 92,535
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