M Options History — April 2011

In April 2011, M traded between $23.91 and $25.40. ATM implied volatility averaged 33.4%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 8.7% (HV 20d: 24.7%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-04-21: Highest Volume — 26,627 contracts
  • 2011-04-14: Largest IV spike — 21.9% change
  • 2011-04-04: Highest IV Rank — 19.9%
  • 2011-04-07: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.46$23.91$25.40$24.35$23.91
Max Pain$23.70$23.00$24.00$23.00$24.00
ATM IV33.4%29.3%35.7%35.3%33.2%
Expected Move9.9%9.2%11.0%10.1%9.5%
HV 20d24.7%22.8%25.9%22.8%24.5%
HV 60d26.6%25.2%27.5%27.5%25.2%
IV Rank12.5%0.6%19.9%19.0%11.3%
IV Percentile18.8%0.4%29.8%27.8%19.8%
Term Structure-1.3%-4.0%1.3%1.3%-1.1%
VWIV34.8%32.2%38.6%35.6%33.3%
Skew 25d0.9%-0.9%2.4%-0.9%1.2%
Skew 10d2.0%-1.1%6.5%-1.1%2.4%
Call IV 25d34.6%32.0%37.2%36.7%32.8%
Put IV 25d35.4%32.8%39.6%35.8%34.0%
Bid-Ask Spread %5.894.078.225.098.22
Gamma HHI0.250.160.340.300.21
Net GEX4.8M2.4M7.3M4.5M3.5M
Net DEX-67.8M-137.9M-25.1M-73.2M-31.2M
Net VEX-855.4K-908.7K-806.2K-904.2K-821.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.061.570.981.57
Total Volume11,180.452,52326,6277,1923,822
Total OI229,556205,221245,431225,135231,893

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$24.35$23.0035.3%10.1%22.8%19.0%35.6%-0.9%1.3%4.5M-73.2M-904.2K0.985.09N/AN/A3,6343,558128,72896,407
2011-04-04$23.93$23.0035.7%10.4%23.7%19.9%36.2%1.4%-1.8%4.1M-49.7M-872.2K0.445.05N/AN/A4,3231,894128,60397,928
2011-04-05$24.60$23.0035.1%10.2%25.5%18.3%35.6%1.7%-1.9%5.4M-85.2M-886.7K0.075.71N/AN/A24,8191,754131,07698,681
2011-04-06$25.19$23.0035.6%10.7%24.7%19.8%37.9%1.5%-2.8%7.2M-131.9M-906.3K0.115.30N/AN/A17,5981,940140,14499,331
2011-04-07$25.40$23.0034.9%11.0%23.3%17.8%38.6%2.4%-4.0%6.7M-137.9M-908.7K0.754.77N/AN/A14,49110,925138,27399,848
2011-04-08$24.83$23.0030.3%10.0%25.1%5.5%34.5%-0.1%-1.4%6.2M-97.7M-907.4K0.536.66N/AN/A9,6735,160138,245107,186
2011-04-11$24.99$24.0030.6%10.1%24.6%6.1%35.3%0.3%-0.9%7.1M-104.0M-865.3K0.546.10N/AN/A6,6333,605134,425100,987
2011-04-12$24.71$24.0030.6%10.1%24.7%6.1%35.4%0.5%-1.5%7.0M-85.9M-854.6K0.555.98N/AN/A3,3361,842136,063100,586
2011-04-13$24.68$24.0029.3%10.2%24.7%0.6%35.5%0.3%-1.5%7.3M-81.6M-844.0K0.195.67N/AN/A6,2401,185135,124100,301
2011-04-14$24.44$24.0035.7%10.2%25.0%18.4%35.9%0.2%-1.1%6.5M-64.9M-835.1K1.325.12N/AN/A4,1165,450138,425100,523
2011-04-15$24.40$24.0035.1%10.1%24.9%16.6%35.3%0.0%-0.8%3.4M-61.2M-848.7K0.985.03N/AN/A2,6302,583139,005103,743
2011-04-18$23.92$24.0033.5%9.6%25.4%12.2%33.8%0.6%-1.0%2.4M-26.2M-813.6K0.395.94N/AN/A5,6052,194111,49793,724
2011-04-19$23.92$24.0032.0%9.2%23.8%8.0%32.2%0.6%-0.7%2.5M-25.1M-806.2K0.225.85N/AN/A2,918655112,59694,635
2011-04-20$24.51$24.0033.1%9.5%25.0%11.1%33.0%0.5%-1.1%3.2M-52.5M-818.6K0.407.34N/AN/A15,8756,348113,36694,997
2011-04-21$24.16$24.0032.6%9.3%25.8%9.6%32.6%1.6%-0.2%3.3M-40.1M-851.9K0.417.39N/AN/A18,8437,784123,072100,306
2011-04-25$23.99$24.0033.9%9.7%25.5%13.1%33.7%1.6%-1.2%3.5M-34.5M-851.9K0.634.07N/AN/A1,546977131,766105,230
2011-04-26$24.49$24.0033.5%9.6%25.9%12.0%33.0%1.3%-0.7%4.0M-57.5M-834.3K0.066.13N/AN/A9,664603124,731100,321
2011-04-27$24.57$24.0033.8%9.7%25.0%12.9%34.2%1.5%-1.4%4.4M-69.2M-843.5K0.264.62N/AN/A4,3511,143129,215100,501
2011-04-28$24.21$24.0033.6%9.6%24.1%12.4%33.7%1.4%-1.4%3.8M-46.4M-833.4K0.427.72N/AN/A2,7351,157129,010100,628
2011-04-29$23.91$24.0033.2%9.5%24.5%11.3%33.3%1.2%-1.1%3.5M-31.2M-821.5K1.578.22N/AN/A1,4852,337130,785101,108