M Options History — December 2010

In December 2010, M traded between $24.95 and $25.98. ATM implied volatility averaged 33.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 11.9% (HV 20d: 21.9%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-12-10: Highest Volume — 42,121 contracts
  • 2010-12-13: Largest IV spike — 9.1% change
  • 2010-12-01: Highest IV Rank — 33.3%
  • 2010-12-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.39$24.95$25.98$25.80$25.30
Max Pain$23.25$21.00$24.00$24.00$24.00
ATM IV33.8%29.1%40.6%40.6%33.5%
Expected Move9.7%8.3%11.6%11.6%9.6%
HV 20d21.9%18.4%31.1%30.8%18.4%
HV 60d27.1%26.6%27.6%26.8%26.6%
IV Rank14.8%2.1%33.3%33.3%14.1%
IV Percentile13.6%0.4%43.3%43.3%15.9%
Term Structure0.2%-2.5%1.7%-2.5%-0.7%
VWIV34.0%29.2%41.1%41.1%33.5%
Skew 25d3.0%1.7%4.1%2.3%1.7%
Skew 10d6.6%3.4%8.9%5.7%3.4%
Call IV 25d32.9%28.5%40.6%40.6%33.3%
Put IV 25d35.9%31.1%42.9%42.9%35.0%
Bid-Ask Spread %8.095.1110.657.416.44
Gamma HHI0.260.200.360.200.29
Net GEX4.3M3.8M5.3M4.7M4.3M
Net DEX-110.5M-157.9M-70.3M-157.9M-84.2M
Net VEX-539.1K-593.1K-484.1K-592.4K-547.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.052.600.182.34
Total Volume10,353.4551,82742,12117,0143,083
Total OI212,399.364188,492226,053220,357207,394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$25.80$24.0040.6%11.6%30.8%33.3%41.1%2.3%-2.5%4.7M-157.9M-592.4K0.187.41N/AN/A14,4152,599128,35192,006
2010-12-02$25.54$24.0037.7%10.8%31.1%25.4%37.7%2.5%-1.6%5.3M-147.4M-593.1K0.119.28N/AN/A22,5012,432133,55492,499
2010-12-03$25.06$24.0037.0%10.6%22.2%23.6%37.5%2.5%0.1%3.8M-117.7M-577.2K0.846.76N/AN/A7,7406,483122,88692,891
2010-12-06$25.18$22.5037.6%10.6%22.3%25.3%37.0%4.1%0.0%3.8M-124.0M-558.6K0.738.77N/AN/A3,6812,688122,45296,225
2010-12-07$25.58$21.0036.5%10.2%23.0%22.3%35.9%4.0%0.0%4.5M-142.8M-550.3K0.738.95N/AN/A5,0353,693123,87393,202
2010-12-08$25.49$21.0035.8%10.3%22.5%20.3%35.8%3.8%-0.0%4.1M-136.8M-552.8K0.3710.65N/AN/A5,6592,116125,12796,133
2010-12-09$25.44$21.0034.4%10.1%21.8%16.5%34.9%3.9%0.2%4.3M-138.2M-544.4K0.439.94N/AN/A1,811776128,21196,387
2010-12-10$25.49$21.0033.1%9.9%21.8%12.8%39.3%3.9%0.2%4.5M-141.1M-541.4K0.058.89N/AN/A40,1731,948128,58196,394
2010-12-13$24.95$22.5036.1%9.7%23.2%21.0%34.1%3.8%0.2%4.0M-83.2M-518.5K0.388.31N/AN/A3,3961,306117,10896,893
2010-12-14$25.18$22.5034.3%9.4%22.7%16.2%32.8%3.8%0.8%4.1M-95.5M-504.4K2.457.42N/AN/A2,0695,074117,25397,121
2010-12-15$25.27$24.0032.2%9.2%21.0%10.6%32.3%4.0%1.0%3.9M-96.4M-511.2K0.706.72N/AN/A2,4601,723117,23799,341
2010-12-16$25.73$24.0031.1%8.9%20.7%7.5%32.0%3.1%1.5%4.8M-123.1M-499.6K0.705.11N/AN/A3,7132,592116,99599,613
2010-12-17$25.89$24.0031.6%9.1%20.8%8.9%31.5%2.9%0.6%3.8M-127.4M-484.1K0.146.15N/AN/A18,3762,624117,262100,486
2010-12-20$25.60$24.0029.3%8.4%20.8%2.8%29.7%2.5%1.5%4.4M-104.6M-486.7K0.416.23N/AN/A6,3862,628103,26485,228
2010-12-21$25.98$24.0029.1%8.3%20.0%2.1%29.2%2.6%1.7%4.9M-124.1M-486.6K1.048.74N/AN/A7,1227,425106,02186,929
2010-12-22$25.49$24.0030.5%8.7%21.0%5.9%30.5%2.6%1.4%4.7M-97.1M-560.5K0.668.66N/AN/A4,3872,906109,02692,869
2010-12-23$25.16$24.0030.7%8.8%20.5%6.5%30.5%3.3%0.9%4.4M-83.5M-557.5K0.239.12N/AN/A6,0861,398110,95094,994
2010-12-27$25.16$24.0033.2%9.5%20.4%13.1%32.9%2.2%-0.2%4.3M-85.2M-539.6K0.269.94N/AN/A6,5231,701110,73295,359
2010-12-28$25.00$24.0032.9%9.4%18.9%12.5%34.3%2.8%-0.4%4.2M-70.3M-532.3K2.608.29N/AN/A1,8904,913109,02595,763
2010-12-29$25.04$24.0032.8%9.4%18.5%12.1%32.8%2.6%-0.3%4.0M-71.6M-562.8K0.267.82N/AN/A1,926492109,304100,073
2010-12-30$25.24$24.0033.0%9.5%18.7%12.8%33.0%2.2%-0.3%4.2M-79.7M-558.8K0.298.35N/AN/A1,420407108,28799,487
2010-12-31$25.30$24.0033.5%9.6%18.4%14.1%33.5%1.7%-0.7%4.3M-84.2M-547.9K2.346.44N/AN/A9232,160107,88299,512