M Options History — November 2011

In November 2011, M traded between $29.45 and $32.35. ATM implied volatility averaged 42.7%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 4.6% (HV 20d: 38.0%). Max pain ranged from $27.00 to $32.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2011-11-08: Highest Volume — 35,869 contracts
  • 2011-11-10: Largest IV drop — 14.2% change
  • 2011-11-01: Highest IV Rank — 39.0%
  • 2011-11-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.85$29.45$32.35$30.06$32.33
Max Pain$30.52$27.00$32.00$27.00$31.00
ATM IV42.7%38.8%49.5%49.5%38.8%
Expected Move12.1%11.1%14.2%14.2%11.1%
HV 20d38.0%34.5%42.3%34.6%39.1%
HV 60d43.3%41.3%45.9%45.9%41.9%
IV Rank28.1%21.8%39.0%39.0%21.8%
IV Percentile77.1%65.1%90.1%90.1%65.1%
Term Structure-1.3%-4.0%-0.1%-4.0%-1.9%
VWIV41.9%38.4%47.3%47.0%38.4%
Skew 25d8.5%6.5%10.8%8.9%6.5%
Skew 10d18.6%12.9%23.5%19.8%12.9%
Call IV 25d38.2%35.3%45.8%45.8%35.3%
Put IV 25d46.7%41.8%54.7%54.7%41.8%
Bid-Ask Spread %6.135.118.837.907.35
Gamma HHI0.150.110.210.110.11
Net GEX1.6M-322.1K3.7M1.4M1.3M
Net DEX-107.7M-185.1M-30.2M-100.0M-115.7M
Net VEX-629.8K-714.7K-547.6K-664.3K-547.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.2817.480.280.70
Total Volume11,038.813,06235,86919,07913,432
Total OI203,565.476170,343261,272192,458173,668

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$30.06$27.0049.5%14.2%34.6%39.0%47.0%8.9%-4.0%1.4M-100.0M-664.3K0.287.90N/AN/A14,9494,13092,110100,348
2011-11-02$30.42$27.0047.8%13.7%34.6%36.3%47.3%7.8%-3.1%1.8M-114.9M-669.2K0.525.86N/AN/A4,4652,31494,814100,605
2011-11-03$31.47$28.0043.2%12.4%35.8%28.9%44.1%6.9%-2.1%2.4M-149.1M-635.1K1.145.81N/AN/A10,82712,33395,989101,342
2011-11-04$31.36$31.0043.0%11.9%35.9%28.6%44.1%9.6%-0.8%3.0M-151.4M-651.5K1.236.58N/AN/A1,4451,782103,300106,860
2011-11-07$32.35$31.0043.8%11.6%36.1%29.9%39.1%8.9%-1.0%3.7M-185.1M-618.5K2.766.57N/AN/A4,26411,773102,479106,325
2011-11-08$32.16$31.0045.0%11.6%36.5%31.8%40.3%8.9%-1.9%3.4M-182.4M-586.1K0.618.83N/AN/A22,23413,635103,804107,314
2011-11-09$30.45$32.0047.9%12.7%42.3%36.4%44.2%10.8%-1.5%2.5M-110.6M-666.3K1.346.70N/AN/A9,70213,017114,657114,129
2011-11-10$30.77$31.0041.1%11.8%42.3%25.5%43.5%10.0%-0.6%2.5M-124.0M-659.2K0.696.14N/AN/A2,0261,397110,036114,415
2011-11-11$31.14$31.0039.8%11.4%41.1%23.5%38.5%9.7%-0.2%2.8M-139.3M-636.9K0.575.92N/AN/A3,6252,081109,600113,851
2011-11-14$30.55$31.0040.7%11.7%41.5%24.9%41.2%9.5%-0.9%2.1M-115.5M-606.0K0.755.43N/AN/A4,5123,372109,494113,424
2011-11-15$30.94$31.0040.1%11.5%39.6%23.9%40.7%9.5%-0.7%2.2M-130.8M-597.5K0.815.15N/AN/A4,3083,502109,213114,109
2011-11-16$30.72$31.0040.8%11.7%39.0%25.1%40.4%9.0%-0.9%2.4M-126.8M-599.2K17.485.46N/AN/A1,20521,067110,622115,107
2011-11-17$30.42$31.0043.3%12.4%39.3%29.0%43.4%8.8%-1.1%1.3M-98.4M-653.1K0.876.80N/AN/A2,1431,870109,758133,107
2011-11-18$30.36$31.0040.9%11.7%39.1%25.2%40.2%8.1%-0.1%256.4K-86.3M-714.7K0.725.72N/AN/A3,1432,274109,672151,600
2011-11-21$31.01$31.0040.2%11.5%36.9%24.1%39.5%7.6%-0.4%176.9K-71.4M-630.3K2.345.11N/AN/A2,5525,97571,79099,885
2011-11-22$30.48$31.0041.0%11.7%36.8%25.3%39.9%7.8%-0.2%-206.9K-51.3M-648.9K1.615.35N/AN/A2,7514,43072,075101,940
2011-11-23$29.56$31.0042.3%12.1%38.4%27.5%42.6%7.7%-0.9%-249.4K-33.2M-633.1K1.155.47N/AN/A2,2192,54872,73697,607
2011-11-25$29.45$31.0045.0%12.9%34.5%31.9%44.4%8.3%-1.9%-322.1K-30.2M-628.6K0.505.30N/AN/A2,0451,01773,43098,581
2011-11-28$30.84$31.0041.5%11.9%38.5%26.1%41.1%7.5%-1.6%288.0K-69.5M-593.9K0.555.89N/AN/A4,6192,52874,10698,458
2011-11-29$31.03$31.0040.5%11.6%37.0%24.6%40.1%7.2%-1.4%520.5K-76.0M-586.3K0.425.37N/AN/A3,0341,27074,63097,885
2011-11-30$32.33$31.0038.8%11.1%39.1%21.8%38.4%6.5%-1.9%1.3M-115.7M-547.6K0.707.35N/AN/A7,8905,54275,58598,083