M Options History — November 2010

In November 2010, M traded between $23.97 and $26.00. ATM implied volatility averaged 40.0%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 7.9% (HV 20d: 32.1%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2010-11-08: Highest Volume — 37,758 contracts
2010-11-10: Largest IV drop — 25.3% change
2010-11-02: Highest IV Rank — 48.6%
2010-11-02: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.05	$23.97	$26.00	$23.97	$25.68
Max Pain	$23.52	$22.00	$24.00	$22.00	$24.00
ATM IV	40.0%	34.1%	47.0%	45.5%	41.4%
Expected Move	11.4%	10.2%	13.5%	13.0%	11.9%
HV 20d	32.1%	29.0%	37.1%	31.6%	30.8%
HV 60d	29.4%	27.0%	30.8%	30.7%	27.2%
IV Rank	31.1%	15.8%	48.6%	44.6%	35.3%
IV Percentile	37.4%	13.5%	73.0%	63.9%	46.0%
Term Structure	-1.1%	-4.3%	0.8%	-3.6%	-2.6%
VWIV	39.9%	35.3%	46.9%	45.7%	42.7%
Skew 25d	3.3%	1.9%	4.5%	2.8%	2.2%
Skew 10d	6.7%	5.0%	10.0%	6.2%	5.7%
Call IV 25d	38.5%	34.4%	46.0%	44.7%	41.2%
Put IV 25d	41.8%	37.6%	49.2%	47.5%	43.4%
Bid-Ask Spread %	7.33	2.04	13.65	13.09	5.97
Gamma HHI	0.24	0.18	0.49	0.20	0.19
Net GEX	4.1M	2.8M	7.9M	2.9M	4.5M
Net DEX	-159.9M	-194.2M	-122.6M	-124.4M	-152.0M
Net VEX	-570.3K	-631.8K	-490.7K	-526.4K	-605.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.08	4.61	0.16	0.44
Total Volume	12,810.476	4,425	37,758	4,425	9,149
Total OI	230,928.81	192,223	265,893	210,801	218,307

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
2010-11-01	$23.97	$22.00	45.5%	13.0%	31.6%	44.6%	45.7%	2.8%	-3.6%	2.9M	-124.4M	-526.4K	0.16	13.09	N/A	N/A	3,799	626	116,558	94,243
2010-11-02	$24.02	$22.00	47.0%	13.5%	29.5%	48.6%	46.9%	3.1%	-4.3%	3.0M	-125.5M	-544.0K	0.98	12.63	N/A	N/A	4,901	4,806	117,680	94,269
2010-11-03	$23.97	$22.00	45.3%	13.0%	29.4%	44.1%	45.4%	2.9%	-3.3%	2.8M	-122.6M	-532.1K	4.61	13.65	N/A	N/A	1,384	6,378	118,389	97,786
2010-11-04	$25.56	$22.00	41.2%	11.8%	37.1%	33.6%	42.5%	1.9%	-3.0%	2.8M	-185.6M	-490.7K	1.02	13.11	N/A	N/A	10,334	10,553	118,808	100,843
2010-11-05	$25.57	$23.00	41.3%	11.1%	36.5%	33.9%	39.2%	3.6%	-0.8%	3.0M	-185.2M	-541.6K	0.63	4.58	N/A	N/A	4,131	2,589	123,704	104,123
2010-11-08	$25.57	$23.00	45.8%	11.9%	35.9%	45.4%	42.4%	4.5%	-1.4%	3.2M	-188.1M	-522.7K	0.27	6.08	N/A	N/A	29,816	7,942	125,270	100,904
2010-11-09	$25.22	$24.00	45.7%	11.9%	36.3%	45.3%	41.6%	4.3%	-1.5%	3.9M	-186.2M	-604.3K	0.57	5.77	N/A	N/A	12,581	7,120	139,689	105,548
2010-11-10	$24.86	$24.00	34.1%	10.6%	35.5%	15.8%	36.8%	3.1%	0.5%	5.0M	-179.2M	-600.5K	0.93	6.55	N/A	N/A	14,516	13,480	145,486	106,634
2010-11-11	$24.92	$24.00	37.2%	10.7%	35.1%	24.1%	37.3%	3.6%	0.3%	5.1M	-185.9M	-631.8K	0.43	7.15	N/A	N/A	6,951	2,986	152,313	113,580
2010-11-12	$25.06	$24.00	37.9%	10.9%	35.1%	26.0%	37.6%	3.6%	0.3%	5.9M	-186.4M	-621.9K	0.39	5.82	N/A	N/A	6,156	2,381	149,533	111,054
2010-11-15	$24.70	$24.00	37.8%	10.8%	35.5%	25.8%	37.6%	3.5%	0.0%	5.0M	-165.9M	-604.7K	0.73	5.30	N/A	N/A	3,367	2,448	148,168	112,113
2010-11-16	$24.15	$24.00	39.1%	11.2%	29.2%	29.3%	39.2%	3.8%	-0.1%	4.5M	-131.9M	-601.9K	0.48	5.84	N/A	N/A	4,576	2,214	146,843	113,223
2010-11-17	$24.65	$24.00	37.8%	10.8%	29.4%	25.6%	38.0%	3.8%	0.5%	4.8M	-165.5M	-603.4K	0.28	4.95	N/A	N/A	8,835	2,474	148,733	113,145
2010-11-18	$24.73	$24.00	36.5%	10.5%	29.0%	22.2%	37.0%	2.9%	0.5%	5.6M	-170.0M	-588.0K	0.31	8.50	N/A	N/A	5,609	1,714	148,920	112,293
2010-11-19	$25.08	$24.00	35.8%	10.2%	29.0%	20.1%	36.4%	3.2%	0.8%	7.9M	-194.2M	-567.0K	0.20	5.10	N/A	N/A	8,900	1,744	150,005	112,196
2010-11-22	$25.64	$24.00	36.8%	10.5%	29.5%	22.8%	35.3%	4.5%	-0.9%	2.9M	-138.7M	-542.1K	0.15	2.04	N/A	N/A	12,269	1,871	105,873	86,350
2010-11-23	$25.45	$24.00	38.0%	10.9%	29.3%	26.3%	38.5%	3.4%	-0.3%	2.9M	-131.7M	-564.4K	0.71	7.58	N/A	N/A	5,007	3,565	107,647	86,612
2010-11-24	$25.89	$24.00	35.5%	10.2%	29.6%	19.4%	36.9%	3.6%	0.2%	3.1M	-147.8M	-557.9K	0.70	7.34	N/A	N/A	3,120	2,180	109,300	86,395
2010-11-26	$26.00	$24.00	39.3%	11.3%	29.5%	29.8%	39.1%	2.8%	-1.7%	3.0M	-150.5M	-543.3K	0.08	5.65	N/A	N/A	20,062	1,693	108,551	87,203
2010-11-29	$25.42	$24.00	41.5%	11.9%	30.9%	35.7%	41.8%	2.3%	-2.3%	4.2M	-140.1M	-582.2K	0.83	7.17	N/A	N/A	8,071	6,722	123,207	88,007
2010-11-30	$25.68	$24.00	41.4%	11.9%	30.8%	35.3%	42.7%	2.2%	-2.6%	4.5M	-152.0M	-605.2K	0.44	5.97	N/A	N/A	6,360	2,789	127,391	90,916