M Options History — March 2011

In March 2011, M traded between $22.87 and $24.26. ATM implied volatility averaged 34.4%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 10.0% (HV 20d: 24.5%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.05.

Notable Days

2011-03-31: Highest Volume — 60,126 contracts
2011-03-31: Largest IV spike — 20.2% change
2011-03-16: Highest IV Rank — 30.9%
2011-03-16: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.43	$22.87	$24.26	$23.34	$24.26
Max Pain	$23.61	$23.00	$24.00	$23.00	$23.00
ATM IV	34.4%	30.2%	39.7%	36.7%	38.2%
Expected Move	9.9%	8.6%	11.4%	10.5%	10.9%
HV 20d	24.5%	20.9%	31.8%	31.8%	23.3%
HV 60d	26.5%	25.9%	27.6%	26.2%	27.5%
IV Rank	16.6%	5.0%	30.9%	22.6%	26.6%
IV Percentile	25.7%	2.4%	54.0%	38.9%	47.2%
Term Structure	1.6%	-1.2%	3.8%	-0.4%	-0.3%
VWIV	35.1%	29.4%	40.1%	36.8%	38.2%
Skew 25d	3.7%	-0.4%	5.6%	2.4%	-0.4%
Skew 10d	7.2%	-1.1%	11.5%	4.2%	-1.1%
Call IV 25d	33.2%	27.6%	38.7%	36.1%	38.7%
Put IV 25d	36.9%	31.8%	42.8%	38.5%	38.3%
Bid-Ask Spread %	6.03	4.57	8.29	5.31	8.29
Gamma HHI	0.16	0.12	0.21	0.17	0.15
Net GEX	2.0M	1.3M	3.4M	2.6M	2.2M
Net DEX	-30.1M	-65.0M	-6.0M	-41.7M	-47.2M
Net VEX	-705.4K	-782.7K	-650.2K	-718.5K	-782.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.06	3.20	1.84	0.37
Total Volume	11,848.565	2,274	60,126	7,461	60,126
Total OI	171,813.783	149,264	182,142	172,816	180,835

Daily Data (23 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
2011-03-01	$23.34	$23.00	36.7%	10.5%	31.8%	22.6%	36.8%	2.4%	-0.4%	2.6M	-41.7M	-718.5K	1.84	5.31	N/A	N/A	2,630	4,831	108,871	63,945
2011-03-02	$23.58	$23.00	36.4%	10.4%	31.2%	21.9%	37.4%	3.1%	-1.2%	2.7M	-49.1M	-740.5K	0.34	7.37	N/A	N/A	6,973	2,396	109,152	66,595
2011-03-03	$23.64	$23.00	33.3%	9.5%	28.4%	13.4%	34.1%	2.4%	0.8%	2.9M	-50.9M	-737.7K	0.44	5.33	N/A	N/A	4,751	2,103	110,684	67,504
2011-03-04	$23.36	$24.00	33.8%	10.0%	28.8%	14.8%	36.4%	3.7%	1.6%	2.5M	-36.8M	-710.8K	0.74	5.80	N/A	N/A	5,090	3,762	108,988	67,861
2011-03-07	$23.26	$24.00	35.9%	10.3%	27.6%	20.6%	36.1%	3.9%	1.2%	2.4M	-34.0M	-706.2K	0.60	5.79	N/A	N/A	3,174	1,902	109,621	68,547
2011-03-08	$23.37	$24.00	34.9%	10.1%	25.4%	17.8%	35.2%	4.1%	1.2%	2.5M	-36.4M	-706.9K	0.42	6.09	N/A	N/A	2,866	1,209	111,295	69,278
2011-03-09	$24.08	$24.00	32.9%	9.8%	25.2%	12.4%	35.0%	3.5%	1.5%	3.4M	-65.0M	-740.1K	0.06	4.92	N/A	N/A	37,836	2,191	112,196	69,946
2011-03-10	$23.60	$24.00	35.0%	10.0%	25.7%	18.0%	36.4%	3.8%	1.4%	2.1M	-37.9M	-686.8K	3.20	5.24	N/A	N/A	699	2,239	97,296	69,976
2011-03-11	$23.74	$24.00	34.9%	10.0%	25.3%	17.9%	34.9%	3.6%	1.5%	2.3M	-41.9M	-693.0K	2.04	5.30	N/A	N/A	1,799	3,666	96,950	71,382
2011-03-14	$23.47	$24.00	37.2%	10.7%	24.6%	23.9%	38.0%	4.2%	0.9%	2.1M	-31.9M	-683.2K	0.77	5.09	N/A	N/A	1,284	990	97,653	74,166
2011-03-15	$23.25	$24.00	37.8%	10.8%	22.4%	25.6%	39.0%	4.3%	1.2%	1.7M	-24.0M	-669.3K	0.58	7.10	N/A	N/A	3,984	2,311	97,615	73,954
2011-03-16	$23.19	$24.00	39.7%	11.4%	22.0%	30.9%	40.1%	5.0%	0.7%	1.5M	-20.9M	-677.4K	0.75	6.38	N/A	N/A	3,015	2,252	98,581	75,177
2011-03-17	$23.11	$24.00	37.9%	10.9%	21.0%	26.0%	38.1%	5.6%	1.2%	1.4M	-19.3M	-666.9K	1.11	6.99	N/A	N/A	6,722	7,455	100,066	76,116
2011-03-18	$22.99	$24.00	36.6%	10.5%	20.9%	22.5%	37.8%	5.2%	1.7%	1.4M	-12.5M	-663.5K	1.04	6.91	N/A	N/A	4,178	4,353	103,236	76,055
2011-03-21	$23.41	$24.00	33.1%	9.5%	21.7%	12.9%	32.3%	5.2%	3.0%	1.6M	-23.5M	-660.4K	1.02	4.57	N/A	N/A	3,388	3,454	85,659	63,605
2011-03-22	$22.87	$24.00	32.1%	9.2%	22.8%	10.1%	33.1%	4.5%	3.3%	1.3M	-8.7M	-650.2K	0.79	6.33	N/A	N/A	3,452	2,712	87,747	66,383
2011-03-23	$22.95	$24.00	31.2%	9.0%	22.6%	7.9%	33.3%	4.3%	3.8%	1.4M	-8.9M	-663.1K	2.44	5.66	N/A	N/A	2,742	6,694	88,491	68,255
2011-03-24	$23.06	$23.00	30.4%	8.7%	22.6%	5.6%	31.2%	3.6%	3.5%	1.3M	-10.2M	-690.8K	2.01	6.14	N/A	N/A	2,611	5,247	89,445	73,557
2011-03-25	$23.43	$23.00	30.2%	8.6%	22.4%	5.0%	29.4%	4.2%	3.8%	1.5M	-17.6M	-722.9K	2.69	5.75	N/A	N/A	1,622	4,360	90,095	78,176
2011-03-28	$23.16	$23.00	31.0%	8.9%	22.2%	7.3%	31.3%	3.8%	3.1%	1.3M	-6.0M	-736.5K	0.69	6.93	N/A	N/A	2,497	1,729	90,933	81,927
2011-03-29	$23.64	$23.00	31.3%	9.0%	21.9%	8.0%	31.3%	2.7%	2.1%	1.6M	-23.4M	-758.1K	0.07	6.36	N/A	N/A	30,695	2,079	91,980	82,520
2011-03-30	$24.24	$23.00	31.8%	9.1%	23.3%	9.3%	32.1%	2.1%	1.6%	2.3M	-44.0M	-759.6K	0.17	5.09	N/A	N/A	10,617	1,831	96,262	83,141
2011-03-31	$24.26	$23.00	38.2%	10.9%	23.3%	26.6%	38.2%	-0.4%	-0.3%	2.2M	-47.2M	-782.7K	0.37	8.29	N/A	N/A	43,978	16,148	97,422	83,413