M Options History — May 2011

In May 2011, M traded between $24.18 and $29.50. ATM implied volatility averaged 33.5%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.9% (HV 20d: 32.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2011-05-11: Highest Volume — 109,077 contracts
  • 2011-05-11: Largest IV drop — 18.0% change
  • 2011-05-10: Highest IV Rank — 34.8%
  • 2011-05-04: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.63$24.18$29.50$24.18$28.88
Max Pain$24.48$24.00$25.00$24.00$25.00
ATM IV33.5%28.6%40.8%35.8%30.1%
Expected Move9.4%8.2%10.4%10.3%8.6%
HV 20d32.6%24.9%36.8%24.9%35.3%
HV 60d27.4%25.0%29.1%25.3%28.4%
IV Rank13.5%0.0%34.8%18.4%5.9%
IV Percentile22.0%0.0%61.5%34.1%2.8%
Term Structure0.1%-4.2%2.9%-2.4%0.8%
VWIV33.1%29.3%36.2%36.0%31.2%
Skew 25d2.1%-0.2%3.2%0.9%3.1%
Skew 10d3.8%-1.1%5.8%1.3%5.6%
Call IV 25d32.2%27.7%36.4%35.7%29.1%
Put IV 25d34.3%30.4%36.6%36.5%32.2%
Bid-Ask Spread %6.474.1513.446.628.00
Gamma HHI0.190.140.350.210.18
Net GEX4.8M1.9M7.0M3.9M2.7M
Net DEX-192.3M-334.3M-47.1M-47.1M-122.3M
Net VEX-869.3K-955.8K-812.1K-813.8K-824.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.170.880.740.50
Total Volume17,718.3811,553109,07711,6584,832
Total OI259,455.952200,961323,817233,611207,033

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$24.18$24.0035.8%10.3%24.9%18.4%36.0%0.9%-2.4%3.9M-47.1M-813.8K0.746.62N/AN/A6,7054,953131,123102,488
2011-05-03$24.98$24.0035.1%10.1%26.6%16.6%35.2%0.9%-2.9%5.4M-95.6M-840.6K0.884.77N/AN/A3,8663,419135,261102,062
2011-05-04$25.40$24.0036.1%10.4%25.4%19.4%36.2%0.1%-4.2%5.9M-124.4M-831.0K0.599.78N/AN/A31,23918,465136,049103,028
2011-05-05$26.35$24.0035.6%10.2%27.3%18.0%35.8%-0.2%-3.7%6.6M-187.3M-897.8K0.2912.33N/AN/A21,5206,252149,714117,238
2011-05-06$26.08$24.0036.1%9.4%27.5%19.4%32.7%1.9%0.9%6.3M-162.3M-924.8K0.815.52N/AN/A4,9544,030149,272119,942
2011-05-09$26.18$24.0038.8%9.8%26.0%28.8%34.3%2.6%-0.1%6.6M-166.8M-910.1K0.255.67N/AN/A7,1801,784150,550121,125
2011-05-10$26.33$24.0040.8%9.9%26.0%34.8%34.5%2.7%-1.0%6.5M-175.1M-891.0K0.7413.44N/AN/A17,29612,718149,151121,608
2011-05-11$28.36$24.0033.4%9.7%35.8%12.9%34.7%1.5%0.4%5.7M-303.8M-812.1K0.514.15N/AN/A72,07936,998155,015127,402
2011-05-12$28.62$24.0033.3%9.6%35.7%12.6%34.0%1.5%0.2%6.2M-318.2M-955.8K0.406.30N/AN/A10,7614,289172,820150,997
2011-05-13$28.46$24.0032.2%9.2%35.5%9.3%32.9%2.5%1.1%6.5M-288.8M-913.3K0.175.97N/AN/A11,5711,962165,868139,369
2011-05-16$28.06$24.0032.7%9.4%36.2%10.6%33.3%2.5%1.1%6.0M-271.7M-914.7K0.725.39N/AN/A6,9264,968166,698140,137
2011-05-17$28.40$25.0032.9%9.4%34.8%11.2%33.1%2.5%1.2%6.0M-284.7M-890.3K0.524.82N/AN/A4,9532,594164,835141,145
2011-05-18$29.20$25.0030.3%8.7%35.3%3.7%30.3%2.2%2.9%7.0M-333.5M-854.6K0.335.39N/AN/A10,1523,341167,127141,826
2011-05-19$29.50$25.0032.3%9.2%34.9%9.4%31.8%2.1%2.1%5.8M-334.3M-823.9K0.625.21N/AN/A8,9735,570161,804138,606
2011-05-20$28.63$25.0032.4%9.3%36.7%12.0%32.2%2.6%2.1%3.3M-276.3M-869.0K0.314.60N/AN/A8,8202,715161,497141,548
2011-05-23$28.58$25.0033.3%9.5%36.4%15.5%33.6%3.1%-0.4%1.9M-109.6M-863.7K0.275.25N/AN/A6,9541,90394,065106,896
2011-05-24$28.29$25.0033.0%9.5%36.7%15.1%33.1%3.2%0.0%2.1M-100.9M-863.5K0.484.68N/AN/A3,2431,54995,888105,324
2011-05-25$28.27$25.0031.4%9.0%36.8%8.8%31.4%2.6%0.5%2.1M-99.8M-865.9K0.455.31N/AN/A5,9292,65796,540106,346
2011-05-26$28.65$25.0029.4%8.4%35.9%1.1%30.3%2.7%1.2%2.4M-112.6M-852.9K0.414.55N/AN/A1,70770697,442107,737
2011-05-27$28.91$25.0028.6%8.2%35.1%0.0%29.3%2.7%1.5%2.7M-122.8M-842.4K0.648.13N/AN/A94860598,007107,992
2011-05-31$28.88$25.0030.1%8.6%35.3%5.9%31.2%3.1%0.8%2.7M-122.3M-824.8K0.508.00N/AN/A3,2251,60798,689108,344