M Options History — December 2011

In December 2011, M traded between $30.57 and $33.14. ATM implied volatility averaged 32.9%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.4% (HV 20d: 35.4%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2011-12-13: Highest Volume — 10,549 contracts
  • 2011-12-09: Largest IV drop — 18.6% change
  • 2011-12-13: Highest IV Rank — 18.9%
  • 2011-12-08: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.06$30.57$33.14$32.16$32.18
Max Pain$28.33$27.00$31.00$31.00$29.00
ATM IV32.9%28.9%37.0%35.2%32.4%
Expected Move9.4%8.3%10.3%10.1%9.3%
HV 20d35.4%30.4%39.3%39.1%30.5%
HV 60d38.1%34.6%40.6%40.6%34.6%
IV Rank12.4%5.9%18.9%16.0%11.6%
IV Percentile30.0%2.0%59.9%49.6%25.0%
Term Structure2.5%0.5%3.6%0.5%3.0%
VWIV33.8%29.4%38.8%35.7%33.5%
Skew 25d6.4%5.2%7.6%6.2%6.0%
Skew 10d14.0%10.3%17.9%13.6%12.2%
Call IV 25d30.0%26.5%32.5%32.5%29.6%
Put IV 25d36.5%31.7%39.8%38.8%35.5%
Bid-Ask Spread %5.914.358.534.437.64
Gamma HHI0.130.100.310.130.11
Net GEX1.6M-3.6M2.6M1.3M2.5M
Net DEX-107.9M-147.7M-48.7M-114.0M-111.8M
Net VEX-486.3K-568.0K-405.5K-568.0K-438.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.233.091.340.34
Total Volume5,037.2381,35710,54910,5202,078
Total OI181,164.571170,228189,062179,472180,355

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$32.16$31.0035.2%10.1%39.1%16.0%35.7%6.2%0.5%1.3M-114.0M-568.0K1.344.43N/AN/A4,4916,02978,723100,749
2011-12-02$32.54$31.0032.3%9.3%37.5%11.4%32.9%6.2%1.0%1.5M-126.8M-550.2K0.505.87N/AN/A5,8482,94279,718101,691
2011-12-05$33.14$27.0034.1%9.6%37.9%14.3%36.9%7.2%2.1%2.3M-146.5M-542.7K1.545.96N/AN/A1,3682,11283,199102,115
2011-12-06$32.95$27.0033.0%9.5%36.4%12.5%35.0%7.1%2.2%2.4M-147.7M-495.7K0.804.94N/AN/A1,17994283,547102,229
2011-12-07$32.75$27.0033.9%9.8%36.4%13.9%33.6%7.0%1.9%2.1M-136.3M-542.5K1.015.37N/AN/A2,4782,50483,776102,539
2011-12-08$32.29$27.0036.6%10.3%30.6%18.4%38.8%7.5%2.0%1.7M-119.2M-552.6K1.165.03N/AN/A1,0001,15984,627103,450
2011-12-09$32.79$27.0029.8%9.5%30.8%7.4%33.8%6.8%2.1%2.5M-145.3M-487.2K0.675.65N/AN/A2,2981,54484,774103,421
2011-12-12$32.42$28.0034.3%9.9%31.1%14.5%38.1%7.4%2.4%2.1M-128.1M-509.0K0.776.14N/AN/A5,7734,44885,231103,831
2011-12-13$30.71$28.0037.0%10.0%36.3%18.9%35.8%7.6%2.5%-15.8K-48.7M-515.8K3.094.84N/AN/A2,5797,97079,772105,596
2011-12-14$30.82$28.0036.6%10.1%36.0%18.3%35.6%7.3%2.7%-11.3K-51.7M-529.4K1.374.89N/AN/A2,5733,53379,339108,093
2011-12-15$31.47$28.0035.3%10.1%36.7%16.2%34.7%6.7%2.5%409.9K-78.1M-518.4K1.764.35N/AN/A1,6412,89279,430108,966
2011-12-16$31.03$28.0033.8%9.7%36.9%13.8%34.1%6.3%3.1%-3.6M-63.0M-497.7K2.164.76N/AN/A1,4873,21079,231109,683
2011-12-19$30.57$28.0032.6%9.3%37.3%11.8%31.9%6.3%3.0%946.3K-58.8M-486.8K0.266.01N/AN/A2,60568871,54798,681
2011-12-20$31.84$28.0030.6%8.8%39.3%8.6%30.3%6.2%3.3%2.1M-101.4M-439.0K0.635.71N/AN/A2,0611,29972,11198,969
2011-12-21$32.04$28.0030.2%8.7%38.7%8.0%31.6%5.6%3.4%2.1M-104.4M-450.9K1.556.17N/AN/A2,1633,35973,00999,334
2011-12-22$31.87$29.0029.8%8.5%36.9%7.3%30.2%5.6%3.1%2.3M-104.3M-426.8K1.266.76N/AN/A63680073,47899,114
2011-12-23$32.20$29.0028.9%8.3%36.8%5.9%29.4%5.2%3.6%2.6M-114.8M-406.1K0.237.10N/AN/A1,10725073,63499,167
2011-12-27$32.28$29.0030.3%8.7%33.4%8.2%31.6%5.2%2.7%2.6M-115.9M-405.5K2.187.44N/AN/A1,8674,07174,02899,261
2011-12-28$32.67$29.0031.7%9.1%33.5%10.4%33.1%5.8%2.8%2.6M-127.3M-409.0K0.808.53N/AN/A5,1184,09475,256102,449
2011-12-29$32.49$29.0032.7%9.4%30.4%12.0%32.6%6.2%2.7%2.6M-121.5M-440.0K0.916.46N/AN/A83075677,354102,979
2011-12-30$32.18$29.0032.4%9.3%30.5%11.6%33.5%6.0%3.0%2.5M-111.8M-438.9K0.347.64N/AN/A1,54853077,299103,056