M Options History — October 2011

In October 2011, M traded between $25.37 and $31.92. ATM implied volatility averaged 43.7%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 0.7% (HV 20d: 42.9%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-10-18: Highest Volume — 19,275 contracts
  • 2011-10-06: Largest IV drop — 9.7% change
  • 2011-10-03: Highest IV Rank — 57.4%
  • 2011-10-03: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.88$25.37$31.92$25.37$30.53
Max Pain$25.90$25.00$27.00$26.00$27.00
ATM IV43.7%38.5%60.9%60.9%43.3%
Expected Move12.8%11.0%17.5%17.5%12.4%
HV 20d42.9%34.6%51.9%51.4%34.6%
HV 60d50.8%49.7%52.1%50.0%50.1%
IV Rank29.7%21.3%57.4%57.4%29.1%
IV Percentile78.2%67.9%98.8%98.8%80.6%
Term Structure-0.2%-2.9%3.5%0.1%-2.9%
VWIV45.9%39.5%59.7%58.3%44.4%
Skew 25d9.7%7.0%12.0%11.3%8.2%
Skew 10d21.8%16.9%27.1%24.7%16.9%
Call IV 25d40.1%34.2%55.3%55.3%41.0%
Put IV 25d49.8%42.7%66.6%66.6%49.2%
Bid-Ask Spread %5.794.827.206.356.69
Gamma HHI0.110.090.150.110.11
Net GEX1.3M-521.0K2.1M-521.0K1.8M
Net DEX-90.0M-155.8M14.9M14.9M-118.3M
Net VEX-665.7K-737.3K-630.3K-656.3K-638.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.142.040.641.07
Total Volume8,674.4293,33119,2759,0333,602
Total OI195,200.857175,027226,293176,054189,631

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$25.37$26.0060.9%17.5%51.4%57.4%58.3%11.3%0.1%-521.0K14.9M-656.3K0.646.35N/AN/A5,5203,51377,94198,113
2011-10-04$26.17$26.0055.9%16.0%51.9%49.4%59.7%9.0%2.0%-252.5K-5.2M-661.7K0.695.97N/AN/A3,6372,49878,38098,585
2011-10-05$26.17$26.0053.2%15.2%48.1%44.9%53.2%9.1%1.6%-288.3K-5.0M-646.0K1.567.20N/AN/A3,5085,47276,81398,214
2011-10-06$26.44$26.0048.0%13.8%47.8%36.6%48.0%9.2%3.5%-317.8K-10.7M-645.6K1.755.34N/AN/A4,1407,24878,086101,074
2011-10-07$26.95$25.0044.3%14.1%47.2%30.7%49.4%11.9%-0.9%-67.0K-27.2M-659.0K0.594.89N/AN/A3,5162,08080,041105,560
2011-10-10$27.70$25.0042.1%13.3%47.6%27.2%48.4%12.0%-0.8%466.7K-49.7M-630.3K0.865.75N/AN/A5,5904,80079,410103,731
2011-10-11$27.94$25.0038.9%12.6%47.2%21.9%46.4%11.2%-0.6%887.6K-61.5M-637.9K0.565.80N/AN/A12,3316,93682,813106,989
2011-10-12$28.42$26.0039.4%12.2%46.3%22.8%46.6%11.0%-0.5%1.4M-82.3M-676.6K0.476.29N/AN/A9,1864,34389,632110,518
2011-10-13$28.35$26.0042.0%12.0%43.3%26.9%45.4%10.3%-0.1%1.9M-87.5M-701.3K1.395.59N/AN/A1,3911,94095,824112,953
2011-10-14$29.26$26.0039.0%11.2%44.5%22.2%40.7%9.7%0.0%2.1M-119.0M-667.4K1.125.62N/AN/A3,3273,71894,494112,347
2011-10-17$28.85$26.0041.2%11.8%44.8%25.7%45.0%10.6%-0.7%1.7M-105.3M-667.0K0.145.10N/AN/A3,23945995,916114,950
2011-10-18$29.96$26.0042.0%12.0%46.3%27.0%42.5%9.5%-1.0%1.9M-146.6M-656.3K0.716.45N/AN/A11,2638,01298,236114,151
2011-10-19$29.42$26.0044.2%12.7%43.3%30.5%46.9%10.1%-1.5%2.1M-128.7M-712.4K0.165.05N/AN/A9,2601,455103,853119,025
2011-10-20$29.54$26.0042.4%12.2%39.0%27.7%46.1%9.4%-0.2%2.1M-133.6M-737.3K2.046.68N/AN/A1,7713,605106,465119,828
2011-10-21$29.84$26.0041.0%11.8%38.6%25.4%42.8%9.5%0.2%1.8M-143.3M-702.1K1.255.67N/AN/A2,6433,306104,268118,755
2011-10-24$31.12$26.0039.7%11.4%34.9%23.3%40.3%8.2%0.3%1.8M-135.3M-665.9K0.645.88N/AN/A6,6664,23886,90795,764
2011-10-25$30.56$26.0040.1%11.5%35.7%23.9%40.5%9.0%0.2%1.8M-123.1M-673.1K0.504.82N/AN/A2,2821,13689,61697,186
2011-10-26$30.56$26.0040.3%11.6%35.7%24.3%40.5%9.3%-0.2%1.8M-121.0M-670.1K0.924.94N/AN/A2,2052,03489,50397,181
2011-10-27$31.92$26.0038.5%11.0%38.1%21.3%39.5%7.0%-0.5%2.1M-155.8M-639.3K1.405.70N/AN/A4,3456,06689,54698,433
2011-10-28$31.46$26.0040.4%11.6%35.7%24.4%40.2%7.9%-1.4%2.1M-145.3M-636.1K1.675.92N/AN/A3,7006,18290,63497,852
2011-10-31$30.53$27.0043.3%12.4%34.6%29.1%44.4%8.2%-2.9%1.8M-118.3M-638.4K1.076.69N/AN/A1,7371,86591,19898,433