M Options History — October 2010 In October 2010, M traded between $22.18 and $24.96. ATM implied volatility averaged 39.5%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 14.7% (HV 20d: 24.8%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.52.
Notable Days 2010-10-27 : Highest Volume — 24,319 contracts2010-10-11 : Largest IV spike — 17.2% change2010-10-27 : Highest IV Rank — 40.0%2010-10-27 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $23.46 $22.18 $24.96 $23.15 $23.67 Max Pain $22.24 $21.00 $23.00 $21.00 $22.00 ATM IV 39.5% 33.4% 43.7% 35.5% 43.5% Expected Move 11.7% 10.2% 12.5% 10.2% 12.5% HV 20d 24.8% 17.0% 32.1% 17.0% 32.1% HV 60d 34.6% 30.9% 38.3% 38.1% 30.9% IV Rank 29.1% 13.2% 40.0% 18.7% 39.5% IV Percentile 32.2% 10.7% 51.2% 14.7% 51.2% Term Structure -0.4% -2.4% 5.1% 5.1% -2.4% VWIV 41.1% 35.6% 44.8% 35.6% 44.0% Skew 25d 5.7% 2.4% 7.2% 3.7% 2.4% Skew 10d 12.4% 6.3% 15.8% 10.0% 6.3% Call IV 25d 38.4% 33.9% 43.2% 33.9% 43.2% Put IV 25d 44.0% 37.6% 46.4% 37.6% 45.7% Bid-Ask Spread % 7.33 3.83 12.23 6.05 10.86 Gamma HHI 0.19 0.15 0.22 0.17 0.20 Net GEX 1.8M 1.3M 2.8M 1.6M 2.8M Net DEX -104.7M -172.6M -43.1M -102.3M -110.4M Net VEX -539.6K -573.2K -517.8K -573.2K -549.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 0.27 3.75 3.01 0.32 Total Volume 9,170 2,814 24,319 5,966 5,400 Total OI 204,940.286 185,361 221,510 201,090 209,217
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 2010-10-01 $23.15 $21.00 35.5% 10.2% 17.0% 18.7% 35.6% 3.7% 5.1% 1.6M -102.3M -573.2K 3.01 6.05 N/A N/A 1,487 4,479 107,372 93,718 2010-10-04 $22.76 $22.00 38.2% 11.8% 18.8% 25.7% 43.0% 7.2% 0.3% 1.3M -86.6M -571.5K 1.48 4.34 N/A N/A 1,885 2,793 108,334 95,745 2010-10-05 $23.52 $22.00 35.3% 11.1% 19.3% 18.2% 38.9% 6.9% 0.5% 1.6M -117.1M -540.3K 1.52 4.24 N/A N/A 2,196 3,329 108,001 95,970 2010-10-06 $23.70 $22.00 36.1% 11.3% 18.9% 20.3% 44.8% 6.9% 0.4% 1.8M -123.9M -540.2K 2.05 4.03 N/A N/A 3,872 7,928 108,657 94,720 2010-10-07 $23.85 $22.00 35.1% 11.3% 18.9% 17.5% 40.7% 6.8% 0.8% 1.8M -128.2M -541.5K 1.10 3.83 N/A N/A 5,899 6,485 109,309 95,559 2010-10-08 $24.36 $22.00 33.4% 11.2% 19.5% 13.2% 38.0% 6.2% 1.0% 1.9M -150.4M -542.0K 0.46 4.55 N/A N/A 5,526 2,534 112,722 96,459 2010-10-11 $24.85 $22.00 39.1% 11.3% 20.0% 28.2% 40.9% 6.5% 0.2% 2.2M -172.4M -517.8K 2.41 4.77 N/A N/A 3,266 7,887 115,422 96,609 2010-10-12 $24.96 $22.00 37.5% 11.2% 18.6% 23.8% 39.5% 6.0% 0.2% 1.8M -172.6M -527.2K 0.88 4.22 N/A N/A 2,791 2,465 116,615 100,170 2010-10-13 $24.34 $22.00 36.5% 11.6% 21.3% 21.2% 41.4% 6.3% -0.6% 1.8M -149.0M -534.8K 2.45 7.18 N/A N/A 3,776 9,266 117,131 100,180 2010-10-14 $24.04 $22.00 40.4% 11.6% 22.3% 31.4% 40.0% 6.6% -0.6% 1.4M -133.3M -548.6K 1.49 5.97 N/A N/A 2,812 4,200 117,156 104,354 2010-10-15 $24.18 $22.00 40.0% 11.5% 22.3% 30.4% 38.8% 6.4% -0.2% 2.4M -143.7M -543.6K 0.72 6.47 N/A N/A 3,356 2,414 117,902 103,137 2010-10-18 $24.00 $22.00 40.7% 11.7% 22.2% 32.1% 40.6% 6.4% -0.5% 2.2M -111.2M -528.2K 3.75 7.41 N/A N/A 1,526 5,720 104,388 80,973 2010-10-19 $22.64 $23.00 42.2% 12.1% 31.3% 36.1% 41.9% 6.4% -1.4% 1.6M -61.8M -529.5K 0.79 7.61 N/A N/A 4,436 3,513 105,126 85,768 2010-10-20 $22.43 $23.00 43.0% 12.3% 31.5% 38.0% 41.5% 6.5% -1.7% 1.7M -55.2M -528.8K 1.05 7.46 N/A N/A 4,672 4,901 107,301 86,485 2010-10-21 $22.25 $23.00 41.9% 12.0% 31.3% 35.4% 42.4% 5.7% -1.4% 1.4M -45.8M -524.8K 3.65 9.09 N/A N/A 1,963 7,164 105,783 89,432 2010-10-22 $22.18 $23.00 41.8% 12.0% 30.4% 35.0% 44.0% 5.6% -1.5% 1.4M -43.1M -540.7K 1.98 10.25 N/A N/A 945 1,869 106,428 95,086 2010-10-25 $22.47 $23.00 42.0% 12.0% 30.8% 35.6% 40.6% 5.5% -2.3% 1.6M -51.8M -533.1K 1.21 12.23 N/A N/A 4,235 5,142 106,808 96,269 2010-10-26 $22.96 $23.00 40.5% 11.6% 31.5% 31.7% 40.2% 5.1% -1.4% 1.9M -72.0M -537.0K 0.96 9.94 N/A N/A 2,517 2,419 106,801 94,784 2010-10-27 $23.04 $22.00 43.7% 12.5% 31.4% 40.0% 43.1% 3.5% -2.0% 1.8M -77.6M -537.6K 0.27 12.19 N/A N/A 19,170 5,149 106,502 94,545 2010-10-28 $23.29 $22.00 43.3% 12.4% 31.6% 38.9% 42.8% 2.5% -1.9% 2.3M -91.0M -541.2K 0.39 11.16 N/A N/A 15,267 5,916 111,694 95,114 2010-10-29 $23.67 $22.00 43.5% 12.5% 32.1% 39.5% 44.0% 2.4% -2.4% 2.8M -110.4M -549.9K 0.32 10.86 N/A N/A 4,093 1,307 115,461 93,756
« Sep 2010 | All History | Nov 2010 » Home M History October 2010