M Options History — July 2011

In July 2011, M traded between $28.87 and $30.50. ATM implied volatility averaged 32.8%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.5% (HV 20d: 31.3%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2011-07-07: Highest Volume — 35,623 contracts
  • 2011-07-14: Largest IV spike — 42.1% change
  • 2011-07-29: Highest IV Rank — 59.8%
  • 2011-07-29: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.76$28.87$30.50$29.88$28.87
Max Pain$27.80$27.00$28.00$27.00$28.00
ATM IV32.8%25.2%40.9%26.6%40.9%
Expected Move9.9%7.6%11.7%7.6%11.7%
HV 20d31.3%29.0%34.4%30.1%30.6%
HV 60d31.9%30.3%32.7%30.3%32.0%
IV Rank27.2%0.0%59.8%0.0%59.8%
IV Percentile33.5%0.0%82.1%0.0%82.1%
Term Structure-0.0%-2.8%4.6%4.6%-2.8%
VWIV35.0%27.0%40.8%27.0%40.8%
Skew 25d3.1%1.6%4.0%1.6%3.0%
Skew 10d7.1%3.2%9.4%3.2%6.6%
Call IV 25d33.3%26.4%40.0%26.4%40.0%
Put IV 25d36.4%28.0%43.0%28.0%43.0%
Bid-Ask Spread %5.724.757.446.166.58
Gamma HHI0.200.140.750.220.14
Net GEX3.3M242.6K27.0M4.2M242.6K
Net DEX-96.1M-145.3M-52.8M-122.4M-52.8M
Net VEX-774.0K-830.2K-725.1K-785.0K-760.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.188.530.540.67
Total Volume8,190.052,05835,62313,7367,060
Total OI211,267.4197,703227,059204,084209,631

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$29.88$27.0026.6%7.6%30.1%0.0%27.0%1.6%4.6%4.2M-122.4M-785.0K0.546.16N/AN/A8,9304,80692,500111,584
2011-07-05$29.60$27.0030.3%9.2%29.0%13.0%33.5%4.0%1.4%3.4M-109.0M-773.6K1.645.70N/AN/A3,6305,95690,485112,832
2011-07-06$28.87$27.0034.8%9.4%29.2%32.4%33.9%3.9%1.3%2.5M-72.8M-809.8K0.787.14N/AN/A8,8336,92792,245118,047
2011-07-07$30.46$27.0026.8%9.5%34.4%0.9%33.6%3.5%0.1%4.1M-145.3M-761.7K0.636.26N/AN/A21,91913,70494,235121,274
2011-07-08$30.42$28.0026.2%9.8%34.4%0.0%34.4%3.2%-0.2%2.8M-133.8M-826.6K0.375.36N/AN/A3,2501,21096,158129,196
2011-07-11$29.60$28.0030.7%10.0%33.7%18.0%34.9%3.5%-0.4%2.9M-95.4M-830.2K0.235.39N/AN/A5,9491,38596,109129,362
2011-07-12$29.66$28.0029.0%10.1%33.6%11.3%36.3%3.3%-0.6%3.2M-100.7M-814.6K0.424.96N/AN/A2,9241,24296,782129,232
2011-07-13$29.82$28.0025.2%10.0%32.5%0.0%36.0%3.4%-0.2%3.7M-109.3M-791.7K0.874.75N/AN/A1,7071,48096,464129,884
2011-07-14$30.06$28.0035.8%10.3%31.1%40.6%36.4%3.3%-0.0%3.8M-118.8M-801.1K0.725.11N/AN/A3,0912,21996,159130,412
2011-07-15$29.98$28.0035.2%10.1%30.4%38.2%37.1%3.0%0.4%27.0M-112.2M-796.9K0.465.88N/AN/A4,9442,28896,448130,611
2011-07-18$29.69$28.0034.9%10.0%30.6%36.9%35.6%3.1%0.1%473.3K-77.1M-775.7K0.975.69N/AN/A2,1592,10281,388119,469
2011-07-19$30.14$28.0034.1%9.8%30.7%33.9%34.4%3.5%0.2%840.5K-92.6M-764.9K8.535.28N/AN/A1,56913,38181,855119,565
2011-07-20$29.60$28.0033.4%9.6%30.9%31.3%34.6%3.5%0.2%599.6K-72.9M-764.7K1.805.31N/AN/A8011,44481,792115,911
2011-07-21$29.94$28.0032.8%9.4%30.9%29.0%32.7%2.8%0.1%830.8K-88.8M-736.6K0.605.74N/AN/A3,8802,31582,093117,065
2011-07-22$30.50$28.0034.0%9.7%30.8%33.5%33.9%2.9%-0.3%1.4M-107.9M-726.7K0.445.88N/AN/A4,9002,15083,595117,452
2011-07-25$29.94$28.0035.0%10.0%30.2%37.4%35.1%2.6%-1.2%1.1M-94.3M-725.1K0.995.63N/AN/A1,5381,52685,239118,012
2011-07-26$29.92$28.0035.5%10.2%30.2%39.4%35.2%2.8%-0.9%1.1M-91.7M-729.4K0.184.80N/AN/A3,35761085,509118,443
2011-07-27$29.19$28.0037.1%10.6%31.0%45.4%37.5%2.1%-1.1%641.0K-66.9M-746.3K0.885.31N/AN/A3,4913,06688,266118,700
2011-07-28$28.99$28.0036.7%10.5%31.1%43.8%36.8%2.7%-0.8%479.9K-58.4M-759.3K0.747.44N/AN/A1,18387590,213121,131
2011-07-29$28.87$28.0040.9%11.7%30.6%59.8%40.8%3.0%-2.8%242.6K-52.8M-760.6K0.676.58N/AN/A4,2352,82589,089120,542