M Options History — January 2012

In January 2012, M traded between $32.65 and $35.82. ATM implied volatility averaged 29.5%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.4% (HV 20d: 27.1%). Max pain ranged from $29.00 to $35.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2012-01-05: Highest Volume — 23,908 contracts
  • 2012-01-05: Largest IV drop — 19.4% change
  • 2012-01-04: Highest IV Rank — 14.2%
  • 2012-01-04: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.42$32.65$35.82$32.68$33.69
Max Pain$32.25$29.00$35.00$29.00$34.00
ATM IV29.5%25.8%34.0%33.4%30.1%
Expected Move8.7%7.9%9.8%9.6%8.6%
HV 20d27.1%20.6%33.3%30.7%27.9%
HV 60d33.7%32.1%35.1%34.7%32.3%
IV Rank6.9%0.9%14.2%13.1%7.8%
IV Percentile10.0%0.4%42.5%37.3%9.9%
Term Structure3.1%0.9%4.6%1.5%2.7%
VWIV31.2%28.2%34.7%33.8%32.0%
Skew 25d4.6%3.6%5.5%5.4%3.6%
Skew 10d9.6%7.2%11.1%10.9%7.2%
Call IV 25d28.5%26.2%32.7%31.5%29.2%
Put IV 25d33.1%30.4%36.9%36.9%32.8%
Bid-Ask Spread %6.454.559.838.379.59
Gamma HHI0.210.120.320.120.24
Net GEX1.5M-2.2M4.3M2.8M-2.2M
Net DEX-133.4M-240.6M12.8M-129.2M-290.6K
Net VEX-405.9K-470.8K-351.0K-406.2K-470.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.364.450.930.53
Total Volume9,254.952,88823,90812,1735,567
Total OI170,742.489,001227,560180,828118,123

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$32.68$29.0033.4%9.6%30.7%13.1%33.8%5.4%1.5%2.8M-129.2M-406.2K0.938.37N/AN/A6,3105,86377,596103,232
2012-01-04$32.65$29.0034.0%9.8%30.0%14.2%34.7%4.2%0.9%2.8M-131.0M-395.4K0.728.83N/AN/A4,2083,03279,475105,477
2012-01-05$33.92$29.0027.4%7.9%32.9%3.6%30.0%4.2%4.3%3.5M-174.0M-351.0K0.759.83N/AN/A13,68210,22679,698106,343
2012-01-06$34.56$30.0028.3%9.1%33.3%4.9%32.8%4.7%2.8%3.6M-199.9M-366.6K0.367.64N/AN/A15,7055,67084,732109,170
2012-01-09$34.46$30.0028.6%9.3%32.8%5.5%32.7%4.8%2.8%4.3M-202.4M-370.0K4.455.51N/AN/A9314,14089,891110,301
2012-01-10$34.87$32.0026.7%8.9%32.7%2.3%32.7%4.7%2.9%3.6M-214.0M-359.9K1.485.57N/AN/A2,1943,24889,496113,739
2012-01-11$34.84$32.0025.8%8.8%32.3%0.9%31.5%4.8%3.2%3.5M-214.7M-363.0K0.496.21N/AN/A1,93895090,069115,867
2012-01-12$35.04$32.0030.5%8.7%24.0%8.5%31.7%4.6%3.4%3.8M-217.1M-367.1K0.505.47N/AN/A3,8361,91690,306116,123
2012-01-13$34.42$32.0031.4%9.0%25.5%9.9%30.8%5.0%4.2%3.6M-203.3M-393.0K1.174.68N/AN/A6,7727,89892,910116,652
2012-01-17$34.68$32.0030.4%8.7%24.8%8.3%31.9%5.1%3.8%3.4M-200.6M-389.5K2.925.98N/AN/A1,2503,65193,713121,071
2012-01-18$35.37$32.0029.6%8.5%24.3%7.0%29.4%4.3%4.6%3.2M-226.3M-388.7K1.244.90N/AN/A1,5281,89794,004123,425
2012-01-19$35.82$33.0030.8%8.8%23.0%9.0%32.1%5.5%3.0%3.3M-240.6M-384.0K3.554.55N/AN/A3,32111,78193,883123,713
2012-01-20$35.38$34.0029.7%8.5%20.6%7.2%29.6%5.0%3.5%888.8K-218.5M-414.3K0.874.62N/AN/A3,4423,00894,982132,578
2012-01-23$35.09$34.0028.7%8.2%21.1%5.7%31.5%4.5%3.1%-531.6K-39.4M-418.5K4.234.55N/AN/A4,36818,47539,32549,676
2012-01-24$35.28$34.0028.6%8.2%20.8%5.4%29.6%4.8%3.2%-1.1M-40.3M-446.8K0.755.79N/AN/A2,2151,66041,77267,001
2012-01-25$34.19$35.0028.9%8.3%24.4%6.0%28.2%4.9%3.1%-2.1M-7.7M-461.7K1.966.03N/AN/A2,0494,02141,51667,961
2012-01-26$33.27$34.0029.2%8.4%26.6%6.4%29.6%3.7%3.2%-2.2M12.8M-436.0K1.195.79N/AN/A3,5594,24442,07368,685
2012-01-27$33.82$34.0028.0%8.0%26.9%4.5%28.7%3.7%3.2%-2.1M-4.0M-464.8K1.137.29N/AN/A2,8003,17044,19969,847
2012-01-30$34.32$34.0029.7%8.5%27.1%7.2%30.0%3.7%2.8%-2.1M-16.8M-470.8K1.217.88N/AN/A2,0672,50744,78171,443
2012-01-31$33.69$34.0030.1%8.6%27.9%7.8%32.0%3.6%2.7%-2.2M-290.6K-470.7K0.539.59N/AN/A3,6311,93645,39872,725