M Options History — August 2011

In August 2011, M traded between $23.07 and $29.28. ATM implied volatility averaged 54.2%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 1.2% (HV 20d: 53.1%). Max pain ranged from $24.00 to $29.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.89.

Notable Days

2011-08-08: Highest Volume — 26,126 contracts
2011-08-08: Largest IV spike — 58.4% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.43	$23.07	$29.28	$29.28	$25.95
Max Pain	$26.61	$24.00	$29.00	$28.00	$25.00
ATM IV	54.2%	43.0%	87.4%	43.0%	46.9%
Expected Move	14.8%	12.3%	18.7%	12.3%	13.4%
HV 20d	53.1%	29.9%	65.9%	29.9%	63.1%
HV 60d	40.1%	31.2%	45.0%	31.2%	44.4%
IV Rank	57.0%	31.9%	100.0%	68.2%	34.9%
IV Percentile	96.7%	89.7%	100.0%	90.5%	93.3%
Term Structure	-4.7%	-9.9%	-1.1%	-4.3%	-2.8%
VWIV	51.6%	43.1%	62.3%	43.1%	46.5%
Skew 25d	9.8%	2.1%	14.2%	3.1%	10.2%
Skew 10d	18.5%	4.9%	24.5%	6.2%	20.6%
Call IV 25d	47.5%	41.0%	59.5%	41.6%	42.7%
Put IV 25d	57.3%	44.8%	72.1%	44.8%	52.9%
Bid-Ask Spread %	7.93	6.18	10.38	6.18	8.69
Gamma HHI	0.13	0.09	0.18	0.15	0.15
Net GEX	-263.6K	-1.4M	1.5M	613.7K	935.4K
Net DEX	27.4M	-68.8M	111.1M	-68.8M	-21.1M
Net VEX	-695.6K	-788.7K	-578.1K	-739.9K	-723.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.04	2.86	0.16	0.41
Total Volume	13,135.609	4,697	26,126	10,802	11,014
Total OI	207,170.609	146,053	237,894	212,057	185,562

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
2011-08-01	$29.28	$28.00	43.0%	12.3%	29.9%	68.2%	43.1%	3.1%	-4.3%	613.7K	-68.8M	-739.9K	0.16	6.18	N/A	N/A	9,283	1,519	90,194	121,863
2011-08-02	$27.63	$28.00	45.6%	13.1%	36.1%	78.1%	46.7%	2.1%	-5.1%	-290.3K	-12.0M	-761.8K	0.45	7.74	N/A	N/A	17,633	7,917	97,679	122,559
2011-08-03	$27.83	$28.00	47.2%	13.5%	35.3%	84.0%	47.1%	2.9%	-5.4%	-252.9K	-17.3M	-787.2K	0.32	7.24	N/A	N/A	10,296	3,342	96,990	125,068
2011-08-04	$26.13	$28.00	54.4%	15.6%	35.3%	100.0%	53.7%	4.4%	-7.3%	-943.5K	38.1M	-758.4K	1.07	9.39	N/A	N/A	7,540	8,101	98,430	125,833
2011-08-05	$26.54	$29.00	55.2%	13.8%	36.2%	100.0%	47.0%	7.4%	-2.9%	-1.2M	31.9M	-788.7K	1.62	8.02	N/A	N/A	6,741	10,901	96,619	128,168
2011-08-08	$24.13	$29.00	87.4%	18.7%	47.6%	100.0%	62.3%	12.6%	-9.9%	-941.1K	72.6M	-720.0K	2.49	9.29	N/A	N/A	7,487	18,639	100,219	120,659
2011-08-09	$25.44	$29.00	77.1%	17.1%	52.5%	83.4%	62.3%	12.1%	-8.8%	-1.1M	50.7M	-749.0K	0.64	10.38	N/A	N/A	13,536	8,617	99,904	127,526
2011-08-10	$24.52	$28.00	71.7%	16.8%	53.2%	74.8%	58.0%	14.2%	-7.4%	-1.0M	67.0M	-717.0K	0.92	8.56	N/A	N/A	8,713	8,028	106,330	126,405
2011-08-11	$25.48	$28.00	55.9%	16.0%	55.6%	49.3%	53.5%	13.2%	-5.5%	-774.8K	41.6M	-719.6K	2.86	7.67	N/A	N/A	3,750	10,723	103,266	127,681
2011-08-12	$25.55	$28.00	49.5%	14.2%	55.7%	39.0%	49.9%	12.1%	-3.2%	-1.1M	46.9M	-694.7K	0.53	6.98	N/A	N/A	3,673	1,951	103,676	128,070
2011-08-15	$25.74	$28.00	45.2%	13.0%	56.0%	32.1%	47.2%	10.5%	-1.1%	-747.4K	42.4M	-667.0K	1.04	7.80	N/A	N/A	2,396	2,496	103,668	124,963
2011-08-16	$25.19	$28.00	47.4%	13.6%	55.5%	35.6%	48.6%	10.4%	-2.3%	-781.8K	62.4M	-646.7K	0.47	7.80	N/A	N/A	3,188	1,509	103,652	126,912
2011-08-17	$24.58	$26.00	45.7%	13.1%	55.7%	32.9%	45.9%	9.6%	-2.0%	-972.2K	79.9M	-615.2K	0.63	7.27	N/A	N/A	7,566	4,785	104,023	127,475
2011-08-18	$23.07	$25.00	57.3%	16.4%	58.3%	51.5%	56.4%	12.0%	-6.3%	-1.4M	111.1M	-578.1K	0.57	7.79	N/A	N/A	4,935	2,836	108,444	127,460
2011-08-19	$23.18	$25.00	58.0%	16.6%	57.5%	52.6%	55.7%	13.3%	-6.9%	-1.2M	108.4M	-589.7K	0.40	7.04	N/A	N/A	7,371	2,935	109,918	127,976
2011-08-22	$23.42	$24.00	58.5%	16.8%	58.1%	53.6%	55.2%	13.8%	-5.6%	-323.1K	37.2M	-586.1K	0.14	6.71	N/A	N/A	10,364	1,453	69,480	76,573
2011-08-23	$24.31	$24.00	52.3%	15.0%	60.6%	43.5%	49.2%	12.2%	-2.9%	72.5K	19.4M	-631.1K	0.04	7.59	N/A	N/A	9,472	406	76,005	77,305
2011-08-24	$25.19	$24.00	51.8%	14.8%	62.5%	42.7%	51.3%	10.3%	-4.1%	688.5K	-6.2M	-677.5K	0.30	9.14	N/A	N/A	17,813	5,316	82,299	77,500
2011-08-25	$24.45	$25.00	55.9%	16.0%	63.0%	49.3%	57.6%	10.4%	-4.9%	873.5K	7.3M	-695.7K	1.15	7.47	N/A	N/A	4,263	4,906	90,975	82,131
2011-08-26	$24.90	$25.00	50.4%	14.5%	63.7%	40.6%	51.4%	9.7%	-4.1%	869.6K	1.7M	-711.7K	0.89	8.28	N/A	N/A	3,920	3,494	91,397	85,638
2011-08-29	$26.03	$25.00	46.4%	13.3%	65.9%	34.0%	48.1%	9.6%	-3.0%	1.4M	-29.8M	-719.5K	0.98	7.65	N/A	N/A	2,912	2,846	92,751	86,333
2011-08-30	$26.25	$25.00	45.1%	12.9%	63.1%	31.9%	50.0%	9.3%	-1.8%	1.5M	-33.5M	-720.5K	2.43	7.72	N/A	N/A	4,529	11,004	91,781	87,564
2011-08-31	$25.95	$25.00	46.9%	13.4%	63.1%	34.9%	46.5%	10.2%	-2.8%	935.4K	-21.1M	-723.1K	0.41	8.69	N/A	N/A	7,835	3,179	91,950	93,612