M Options History — June 2011

In June 2011, M traded between $26.88 and $29.24. ATM implied volatility averaged 31.9%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 1.2% (HV 20d: 30.7%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2011-06-10: Highest Volume — 104,326 contracts
  • 2011-06-06: Largest IV spike — 10.0% change
  • 2011-06-16: Highest IV Rank — 24.5%
  • 2011-06-16: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.90$26.88$29.24$28.28$29.24
Max Pain$26.95$26.00$28.00$26.00$27.00
ATM IV31.9%29.0%35.0%31.9%29.0%
Expected Move9.2%8.3%10.0%9.1%8.3%
HV 20d30.7%25.6%36.8%35.6%30.2%
HV 60d30.0%28.6%30.9%28.8%30.4%
IV Rank12.6%1.6%24.5%12.7%1.6%
IV Percentile16.3%0.4%38.9%12.7%0.4%
Term Structure2.5%0.0%3.9%0.0%3.9%
VWIV32.5%28.9%35.4%31.4%28.9%
Skew 25d3.2%1.5%4.2%2.3%1.5%
Skew 10d6.3%4.2%8.3%4.2%5.1%
Call IV 25d31.1%28.8%34.0%30.7%28.8%
Put IV 25d34.3%30.3%37.6%32.9%30.3%
Bid-Ask Spread %6.324.7713.2010.495.23
Gamma HHI0.140.110.270.150.19
Net GEX1.7M428.2K3.5M2.4M3.2M
Net DEX-64.8M-100.6M-31.6M-100.6M-95.6M
Net VEX-840.3K-883.6K-806.0K-812.3K-816.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.043.433.430.40
Total Volume12,157.53,548104,3267,7685,827
Total OI211,486.545182,216237,204206,885202,394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$28.28$26.0031.9%9.1%35.6%12.7%31.4%2.3%0.0%2.4M-100.6M-812.3K3.4310.49N/AN/A1,7546,01498,201108,684
2011-06-02$28.02$26.0030.7%8.8%35.8%8.0%30.6%2.8%0.9%2.0M-85.4M-838.8K1.1513.20N/AN/A2,3912,75098,068111,885
2011-06-03$27.54$28.0030.3%9.1%34.5%6.7%31.6%3.2%2.1%1.5M-66.4M-839.5K1.704.82N/AN/A4,0046,79898,610113,498
2011-06-06$26.95$28.0033.4%9.6%35.3%18.4%34.2%4.1%1.8%720.0K-38.8M-849.4K0.454.77N/AN/A6,9433,138100,031116,612
2011-06-07$27.78$26.0030.7%9.0%36.8%7.9%32.8%3.5%2.1%2.0M-78.7M-843.6K0.614.97N/AN/A11,2596,837102,589116,779
2011-06-08$27.82$27.0031.0%9.3%36.7%9.3%34.5%3.4%1.8%2.0M-75.8M-883.6K1.155.25N/AN/A2,7183,116106,926122,318
2011-06-09$28.13$27.0031.5%9.0%25.6%11.0%32.2%3.4%2.4%2.2M-87.6M-875.9K0.525.90N/AN/A8,6954,497106,914123,373
2011-06-10$27.23$27.0032.9%9.4%27.7%16.4%33.8%3.8%2.0%1.2M-51.2M-876.6K0.044.89N/AN/A100,3124,014108,590123,640
2011-06-13$27.13$27.0033.1%9.5%27.7%17.4%34.1%4.2%2.2%1.1M-42.9M-881.8K1.035.97N/AN/A3,3833,471107,612125,179
2011-06-14$27.89$27.0031.4%9.0%29.3%11.0%32.8%3.6%2.6%2.1M-84.9M-861.1K0.925.55N/AN/A2,2742,094109,043124,747
2011-06-15$27.29$27.0033.3%9.6%29.8%18.2%34.1%3.9%2.5%1.4M-55.9M-855.1K0.906.36N/AN/A1,8721,676109,287125,953
2011-06-16$26.88$27.0035.0%10.0%28.0%24.5%34.9%3.5%2.2%1.4M-31.6M-830.9K0.456.30N/AN/A7,3923,292106,625125,913
2011-06-17$27.27$27.0034.9%10.0%28.3%24.1%35.4%3.5%2.7%3.5M-57.6M-835.6K0.787.87N/AN/A3,5722,788110,275126,929
2011-06-20$27.65$27.0033.0%9.5%27.2%16.8%33.9%3.6%3.2%428.2K-38.7M-811.4K0.316.05N/AN/A2,80285578,001104,215
2011-06-21$28.26$27.0031.8%9.1%28.5%12.4%31.4%2.8%3.2%825.0K-55.0M-806.0K0.205.06N/AN/A5,2731,04778,824104,671
2011-06-22$28.10$27.0031.1%8.9%28.3%9.7%30.7%2.7%3.6%1.2M-54.4M-815.6K0.275.58N/AN/A4,8821,30683,536105,269
2011-06-23$28.70$27.0030.6%8.8%29.3%7.7%31.5%2.6%3.4%1.6M-73.7M-821.8K0.825.23N/AN/A3,0082,46483,282105,681
2011-06-24$28.02$27.0031.3%9.0%30.2%10.5%31.2%3.3%3.8%991.1K-50.6M-824.7K1.256.23N/AN/A5,7207,17583,049106,055
2011-06-27$28.15$27.0033.0%9.4%30.0%16.7%31.7%4.0%2.5%1.2M-57.2M-868.3K0.168.30N/AN/A7,1241,12587,580111,579
2011-06-28$28.73$27.0030.8%8.8%31.0%8.3%31.5%2.9%3.3%1.7M-71.2M-827.5K0.245.09N/AN/A3,29077584,383110,544
2011-06-29$28.76$27.0030.5%8.7%30.0%7.4%30.6%2.2%3.3%1.9M-73.0M-810.1K0.256.01N/AN/A6,2091,52984,752110,608
2011-06-30$29.24$27.0029.0%8.3%30.2%1.6%28.9%1.5%3.9%3.2M-95.6M-816.2K0.405.23N/AN/A4,1741,65390,977111,417