M Options History — February 2011

In February 2011, M traded between $22.01 and $24.62. ATM implied volatility averaged 35.3%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.7% (HV 20d: 31.5%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.78.

Notable Days

2011-02-11: Highest Volume — 36,049 contracts
2011-02-10: Largest IV spike — 11.2% change
2011-02-17: Highest IV Rank — 27.7%
2011-02-17: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.52	$22.01	$24.62	$22.74	$23.90
Max Pain	$22.47	$22.00	$23.00	$23.00	$23.00
ATM IV	35.3%	30.7%	38.6%	32.8%	34.7%
Expected Move	10.3%	9.2%	11.1%	9.4%	10.0%
HV 20d	31.5%	27.5%	34.0%	27.5%	30.6%
HV 60d	25.4%	22.7%	26.4%	22.7%	25.9%
IV Rank	18.9%	6.5%	27.7%	12.1%	17.4%
IV Percentile	31.4%	4.4%	49.2%	16.3%	30.2%
Term Structure	-0.8%	-2.4%	3.6%	1.8%	-0.9%
VWIV	36.7%	32.0%	39.2%	33.2%	35.2%
Skew 25d	2.6%	1.7%	3.6%	2.2%	2.4%
Skew 10d	5.3%	4.1%	8.1%	4.1%	5.0%
Call IV 25d	35.4%	31.7%	38.0%	32.4%	33.9%
Put IV 25d	38.1%	33.5%	40.9%	34.6%	36.2%
Bid-Ask Spread %	6.16	4.18	12.23	12.23	5.44
Gamma HHI	0.17	0.12	0.22	0.16	0.18
Net GEX	1.4M	91.5K	2.9M	400.2K	2.9M
Net DEX	-38.4M	-73.8M	25.7M	5.2M	-61.3M
Net VEX	-664.6K	-740.5K	-543.8K	-543.8K	-740.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.10	1.94	0.41	0.43
Total Volume	14,597.842	3,510	36,049	16,883	6,716
Total OI	180,947.053	154,133	215,543	154,133	172,356

Daily Data (19 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
2011-02-01	$22.74	$23.00	32.8%	9.4%	27.5%	12.1%	33.2%	2.2%	1.8%	400.2K	5.2M	-543.8K	0.41	12.23	N/A	N/A	11,991	4,892	80,051	74,082
2011-02-02	$22.01	$23.00	34.7%	9.9%	29.0%	17.3%	34.6%	1.8%	1.7%	91.5K	25.7M	-569.6K	0.81	9.62	N/A	N/A	16,100	12,991	88,883	77,814
2011-02-03	$22.24	$23.00	32.1%	9.2%	29.6%	10.3%	32.0%	1.8%	3.6%	207.1K	13.8M	-597.5K	0.79	8.74	N/A	N/A	9,800	7,730	93,333	81,689
2011-02-04	$22.82	$22.00	31.0%	10.0%	28.6%	7.3%	35.0%	2.8%	-0.4%	819.2K	-12.6M	-638.7K	0.19	5.13	N/A	N/A	7,208	1,393	96,873	82,231
2011-02-07	$23.51	$22.00	30.7%	10.0%	29.1%	6.5%	36.6%	3.0%	-0.9%	1.0M	-38.0M	-629.8K	0.72	4.18	N/A	N/A	3,924	2,830	93,261	82,637
2011-02-08	$24.26	$22.00	32.8%	10.2%	31.1%	12.0%	36.2%	2.8%	-1.4%	1.8M	-71.1M	-633.2K	0.55	4.45	N/A	N/A	17,402	9,506	94,597	82,678
2011-02-09	$23.90	$22.00	33.2%	10.6%	31.3%	13.3%	37.4%	2.9%	-1.7%	1.3M	-51.5M	-635.0K	0.39	5.95	N/A	N/A	19,629	7,733	93,547	82,438
2011-02-10	$24.22	$22.00	36.9%	10.6%	31.6%	23.4%	37.8%	3.0%	-1.8%	1.2M	-56.0M	-639.9K	1.08	6.25	N/A	N/A	1,685	1,825	95,236	86,071
2011-02-11	$24.62	$22.00	36.5%	10.5%	31.7%	22.1%	37.7%	3.6%	-1.4%	1.7M	-73.8M	-636.3K	0.10	5.52	N/A	N/A	32,662	3,387	95,139	85,523
2011-02-14	$23.87	$22.00	37.7%	10.8%	33.9%	25.3%	39.1%	2.7%	-1.9%	1.5M	-56.0M	-712.9K	1.39	6.22	N/A	N/A	1,893	2,632	118,905	87,456
2011-02-15	$23.55	$22.00	37.5%	10.7%	34.0%	24.8%	37.7%	3.2%	-1.9%	942.5K	-41.9M	-689.4K	1.32	4.57	N/A	N/A	4,538	5,975	119,177	87,589
2011-02-16	$23.94	$22.00	38.1%	10.9%	33.5%	26.6%	38.6%	2.8%	-1.9%	1.4M	-58.2M	-692.4K	0.98	6.23	N/A	N/A	5,602	5,467	117,207	91,510
2011-02-17	$24.06	$22.00	38.6%	11.1%	32.8%	27.7%	39.2%	3.5%	-2.3%	1.3M	-62.8M	-720.5K	1.94	6.17	N/A	N/A	3,650	7,074	120,185	91,676
2011-02-18	$23.75	$23.00	38.4%	11.0%	32.9%	27.2%	38.7%	2.5%	-2.4%	802.1K	-40.9M	-705.7K	1.46	5.92	N/A	N/A	6,301	9,189	121,424	94,119
2011-02-22	$23.46	$23.00	36.2%	10.4%	32.9%	21.4%	36.4%	1.7%	-1.4%	2.0M	-37.4M	-686.5K	0.70	4.75	N/A	N/A	10,105	7,067	95,872	58,294
2011-02-23	$23.21	$23.00	37.4%	10.7%	33.1%	24.6%	37.9%	2.3%	-1.2%	2.0M	-32.5M	-702.2K	0.60	5.57	N/A	N/A	9,632	5,782	100,079	60,942
2011-02-24	$23.17	$23.00	36.7%	10.5%	32.9%	22.8%	37.9%	2.3%	-0.6%	2.1M	-33.9M	-716.6K	0.77	4.91	N/A	N/A	3,194	2,463	103,743	63,208
2011-02-25	$23.60	$23.00	34.5%	9.9%	33.2%	16.7%	35.9%	2.7%	-0.2%	2.4M	-46.3M	-736.2K	0.13	5.15	N/A	N/A	6,524	867	104,261	63,908
2011-02-28	$23.90	$23.00	34.7%	10.0%	30.6%	17.4%	35.2%	2.4%	-0.9%	2.9M	-61.3M	-740.5K	0.43	5.44	N/A	N/A	4,681	2,035	108,168	64,188