M Options History — September 2011

In September 2011, M traded between $24.84 and $27.74. ATM implied volatility averaged 47.5%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 3.1% (HV 20d: 50.6%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2011-09-01: Highest Volume — 17,154 contracts
  • 2011-09-22: Largest IV spike — 16.1% change
  • 2011-09-30: Highest IV Rank — 46.9%
  • 2011-09-30: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.34$24.84$27.74$26.49$26.32
Max Pain$25.29$24.00$26.00$25.00$26.00
ATM IV47.5%40.5%54.4%43.5%54.4%
Expected Move13.5%11.6%15.6%12.5%15.6%
HV 20d50.6%44.9%61.2%59.5%52.1%
HV 60d47.7%44.6%50.8%44.6%49.5%
IV Rank35.8%24.5%46.9%29.3%46.9%
IV Percentile90.3%78.2%96.0%88.5%96.0%
Term Structure1.3%-0.9%2.8%-0.4%1.2%
VWIV47.5%40.9%53.8%43.0%52.8%
Skew 25d10.1%8.4%11.7%8.9%10.4%
Skew 10d21.3%16.3%24.8%16.3%23.6%
Call IV 25d42.5%37.4%48.9%38.9%48.9%
Put IV 25d52.6%46.0%59.2%47.9%59.2%
Bid-Ask Spread %5.824.468.328.175.98
Gamma HHI0.110.090.140.140.10
Net GEX433.9K-304.3K1.6M1.3M-304.3K
Net DEX-21.0M-85.7M16.8M-37.6M-7.4M
Net VEX-670.4K-719.4K-633.9K-719.4K-677.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.193.800.280.35
Total Volume7,603.5712,68617,15417,1546,517
Total OI176,957.381153,251195,363185,276173,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$26.49$25.0043.5%12.5%59.5%29.3%43.0%8.9%-0.4%1.3M-37.6M-719.4K0.288.17N/AN/A13,4433,71192,29792,979
2011-09-02$25.36$25.0046.9%13.5%61.2%34.9%46.8%9.0%-0.9%408.9K1.8M-707.4K1.777.46N/AN/A1,9483,45092,79094,002
2011-09-06$24.84$24.0054.3%13.9%51.1%46.7%50.3%11.6%0.2%105.5K16.8M-677.0K2.035.98N/AN/A2,4655,00193,01994,628
2011-09-07$26.24$24.0046.2%12.7%51.3%33.7%45.9%10.3%1.1%599.6K-21.0M-710.2K0.824.46N/AN/A2,9102,38493,46497,967
2011-09-08$25.79$24.0045.6%12.8%49.8%32.8%49.4%10.5%0.7%478.2K-8.4M-687.9K1.124.98N/AN/A3,3433,73493,32896,145
2011-09-09$25.17$25.0051.7%14.4%48.8%42.6%51.8%11.7%0.4%175.2K9.1M-678.4K1.625.37N/AN/A3,3275,38793,41496,979
2011-09-12$25.69$25.0050.1%14.1%49.4%40.1%52.2%11.5%0.5%430.7K-6.0M-674.2K0.964.79N/AN/A4,7464,55894,08298,434
2011-09-13$25.35$25.0049.5%14.1%49.5%39.0%46.7%11.3%0.7%272.1K6.7M-660.5K1.294.87N/AN/A1,9072,45592,46098,160
2011-09-14$26.18$25.0043.0%13.3%50.2%28.6%44.5%10.5%1.4%1.0M-25.9M-663.1K0.196.01N/AN/A5,3871,01892,87397,850
2011-09-15$27.48$25.0043.1%12.4%51.8%28.8%41.7%9.3%2.5%1.6M-71.5M-649.5K0.205.56N/AN/A9,7241,97093,19397,668
2011-09-16$27.74$25.0040.5%11.6%44.9%24.5%41.1%8.6%2.8%1.2M-85.7M-647.3K0.434.99N/AN/A5,7782,47096,52198,842
2011-09-19$27.56$25.0041.9%12.0%45.2%26.7%42.7%9.2%2.4%643.2K-44.4M-643.5K1.285.13N/AN/A3,3044,23470,83082,421
2011-09-20$27.34$26.0042.7%12.2%45.6%28.1%40.9%8.4%2.5%460.5K-37.3M-657.3K0.475.38N/AN/A3,3191,56571,42186,730
2011-09-21$26.12$26.0045.2%13.0%47.9%32.2%45.4%9.4%2.7%25.8K-9.6M-648.8K1.125.68N/AN/A1,4491,61771,05586,619
2011-09-22$24.99$26.0052.5%15.1%49.2%43.9%52.8%11.7%1.0%-301.0K14.4M-633.9K1.875.31N/AN/A3,6186,78171,35786,854
2011-09-23$25.62$26.0050.4%14.4%48.7%40.5%51.8%10.9%1.6%-151.4K1.4M-654.7K1.685.41N/AN/A1,4832,48471,79287,705
2011-09-26$27.32$26.0048.4%13.9%53.2%37.2%50.2%9.5%1.3%405.7K-37.3M-659.6K1.045.80N/AN/A5,7555,95772,41888,165
2011-09-27$27.18$26.0047.6%13.7%51.2%36.0%45.3%9.8%1.6%387.0K-34.6M-667.8K0.446.17N/AN/A4,9972,20874,77589,662
2011-09-28$27.18$26.0050.1%14.4%51.1%40.1%53.8%10.3%0.9%414.1K-34.6M-676.4K3.806.39N/AN/A2,2038,38276,48490,861
2011-09-29$27.26$26.0049.5%14.2%50.9%39.1%49.1%9.7%2.1%2.7K-30.6M-684.4K1.108.32N/AN/A1,2811,40575,48396,951
2011-09-30$26.32$26.0054.4%15.6%52.1%46.9%52.8%10.4%1.2%-304.3K-7.4M-677.9K0.355.98N/AN/A4,8251,69275,98397,444