M Options History — January 2011

In January 2011, M traded between $22.92 and $25.44. ATM implied volatility averaged 32.0%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 9.4% (HV 20d: 22.6%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2011-01-06: Highest Volume — 33,707 contracts
  • 2011-01-13: Largest IV spike — 8.3% change
  • 2011-01-04: Highest IV Rank — 16.4%
  • 2011-01-07: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.60$22.92$25.44$25.44$23.15
Max Pain$23.25$23.00$24.00$24.00$23.00
ATM IV32.0%29.5%34.4%32.9%32.7%
Expected Move9.3%8.5%9.9%9.4%9.4%
HV 20d22.6%16.9%27.4%17.2%27.4%
HV 60d26.0%24.7%27.5%26.6%26.2%
IV Rank10.1%3.2%16.4%12.4%11.9%
IV Percentile9.8%1.6%19.8%11.5%15.5%
Term Structure2.0%-1.8%3.5%-0.9%2.0%
VWIV33.0%30.3%35.3%32.3%33.2%
Skew 25d3.0%0.7%4.7%3.0%2.7%
Skew 10d6.8%2.7%10.6%5.7%6.0%
Call IV 25d31.7%29.2%34.0%31.9%31.9%
Put IV 25d34.7%31.7%37.0%34.9%34.6%
Bid-Ask Spread %8.786.8811.998.3410.42
Gamma HHI0.200.140.330.310.15
Net GEX894.6K-1.7M4.7M4.7M452.4K
Net DEX-8.2M-89.3M27.4M-89.3M-4.6M
Net VEX-537.5K-575.0K-500.6K-542.4K-554.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.201.800.220.47
Total Volume10,618.353,13533,7075,5275,551
Total OI216,288.95139,137278,455209,191150,834

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$25.44$24.0032.9%9.4%17.2%12.4%32.3%3.0%-0.9%4.7M-89.3M-542.4K0.228.34N/AN/A4,542985108,096101,095
2011-01-04$25.09$24.0034.4%9.9%17.8%16.4%34.1%2.8%-1.8%4.2M-71.5M-546.6K0.339.05N/AN/A12,4224,095109,424101,381
2011-01-05$24.97$24.0033.8%9.7%16.9%14.8%34.1%2.9%-1.3%4.4M-66.1M-550.7K0.869.44N/AN/A5,5264,739112,856104,176
2011-01-06$23.97$24.0033.0%9.5%22.0%12.7%33.7%0.7%0.2%2.1M-14.0M-515.2K0.6411.99N/AN/A20,55413,153115,394107,816
2011-01-07$23.31$24.0031.3%9.9%23.7%8.2%35.3%4.7%2.0%336.4K24.1M-502.2K0.418.29N/AN/A17,9957,325118,007115,570
2011-01-10$23.48$23.0031.8%9.7%23.9%9.3%34.2%4.4%2.4%747.4K2.3M-540.1K0.429.88N/AN/A4,1401,731128,629118,187
2011-01-11$23.24$23.0032.1%9.7%23.2%10.3%34.0%3.0%2.7%156.0K15.8M-505.9K0.469.22N/AN/A5,6322,614130,604115,448
2011-01-12$23.22$23.0030.4%9.6%22.7%5.5%34.6%3.4%2.7%81.7K15.4M-503.4K0.407.25N/AN/A5,9592,398132,160115,951
2011-01-13$22.99$23.0032.9%9.4%22.6%12.3%33.9%2.7%2.9%-148.6K22.5M-500.6K1.056.89N/AN/A5,1735,424136,083117,218
2011-01-14$23.08$23.0032.3%9.3%21.3%10.7%33.7%3.5%3.0%-257.1K22.2M-513.9K0.637.09N/AN/A7,2974,624139,630121,512
2011-01-18$23.40$23.0032.9%9.4%22.0%12.4%33.9%3.0%2.7%140.1K1.3M-537.6K1.807.97N/AN/A5,1539,264143,929123,153
2011-01-19$22.92$23.0031.9%9.1%22.6%9.7%31.9%2.8%3.5%-1.7M27.4M-543.8K0.566.88N/AN/A4,0632,283146,444130,201
2011-01-20$23.40$23.0033.4%9.6%23.4%13.9%33.4%3.3%2.5%-208.9K4.4M-564.3K0.277.35N/AN/A6,8741,846147,989130,466
2011-01-21$23.14$23.0032.6%9.4%22.9%11.7%32.7%3.2%2.7%63.8K14.5M-539.4K1.638.35N/AN/A2,3773,885146,944130,587
2011-01-24$23.46$23.0031.1%8.9%23.6%7.6%32.5%3.3%2.5%443.2K-11.2M-542.0K0.258.00N/AN/A11,6242,91368,90570,232
2011-01-25$23.33$23.0030.6%8.8%23.6%6.2%30.3%3.1%2.9%419.4K-8.4M-555.4K0.4010.78N/AN/A2,24289372,24671,349
2011-01-26$23.56$23.0029.9%8.6%24.0%4.4%30.4%2.8%2.9%607.0K-17.3M-559.7K0.208.29N/AN/A6,0371,23072,98371,609
2011-01-27$23.86$23.0029.5%8.5%24.6%3.2%30.5%2.5%3.2%957.4K-30.4M-575.0K0.419.52N/AN/A4,3001,75876,72072,159
2011-01-28$22.99$23.0031.2%8.9%27.2%7.7%31.3%2.6%2.9%399.4K-927.1K-557.6K1.3810.56N/AN/A1,5732,17376,58573,207
2011-01-31$23.15$23.0032.7%9.4%27.4%11.9%33.2%2.7%2.0%452.4K-4.6M-554.9K0.4710.42N/AN/A3,7731,77877,01573,819