M Options History — February 2012

In February 2012, M traded between $33.99 and $37.97. ATM implied volatility averaged 30.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.9% (HV 20d: 27.7%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-02-27: Highest Volume — 36,171 contracts
  • 2012-02-21: Largest IV drop — 20.6% change
  • 2012-02-15: Highest IV Rank — 17.0%
  • 2012-02-15: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.21$33.99$37.97$33.99$37.97
Max Pain$34.95$34.00$36.00$34.00$36.00
ATM IV30.6%26.9%35.8%31.4%27.7%
Expected Move9.0%7.7%10.3%9.0%8.0%
HV 20d27.7%23.9%30.0%27.5%23.9%
HV 60d29.9%27.4%32.4%31.7%27.4%
IV Rank8.6%2.7%17.0%10.0%4.0%
IV Percentile20.1%2.4%55.2%22.6%4.4%
Term Structure0.1%-1.4%2.7%2.7%0.1%
VWIV31.8%28.1%35.9%32.1%28.6%
Skew 25d4.9%3.0%6.0%3.5%4.5%
Skew 10d9.7%7.4%11.9%7.4%7.9%
Call IV 25d29.0%25.4%33.0%30.0%25.5%
Put IV 25d33.9%29.3%39.0%33.6%30.0%
Bid-Ask Spread %6.164.1112.8712.308.58
Gamma HHI0.170.130.320.210.16
Net GEX1.2M-2.0M5.6M-2.0M5.6M
Net DEX-76.0M-116.5M-10.3M-10.3M-116.5M
Net VEX-483.8K-637.9K-422.7K-477.5K-632.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.101.201.180.66
Total Volume9,266.12,14736,1719,6537,380
Total OI121,692.9575,995137,807120,862128,885

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$33.99$34.0031.4%9.0%27.5%10.0%32.1%3.5%2.7%-2.0M-10.3M-477.5K1.1812.30N/AN/A4,4355,21847,29673,566
2012-02-02$35.23$34.0030.7%8.8%30.0%8.8%31.0%3.0%2.7%-1.3M-47.4M-475.3K0.2212.87N/AN/A16,9203,65948,19075,394
2012-02-03$36.12$34.0028.2%9.1%28.3%4.8%31.7%5.3%0.1%635.4K-87.1M-459.7K0.474.38N/AN/A4,4112,06853,79175,467
2012-02-06$35.72$34.0029.5%9.2%28.1%6.9%33.4%5.4%-0.3%208.0K-75.6M-467.8K1.204.70N/AN/A1,1681,40254,37176,478
2012-02-07$35.87$34.0028.4%9.2%28.1%5.1%33.4%5.4%-0.0%294.6K-79.4M-466.8K1.024.94N/AN/A1,5091,54054,34277,318
2012-02-08$35.86$34.0028.3%9.6%27.9%5.0%33.4%5.4%-1.1%299.1K-80.6M-459.4K0.884.17N/AN/A3,1252,75854,43877,331
2012-02-09$36.21$35.0033.3%9.5%28.0%12.9%33.3%5.4%-0.7%778.6K-94.1M-463.8K0.594.11N/AN/A1,35279556,48079,415
2012-02-10$35.68$35.0034.2%9.8%28.6%14.4%33.5%5.8%-0.7%231.4K-74.9M-477.4K0.974.78N/AN/A1,9431,88656,84179,735
2012-02-13$35.80$35.0034.2%9.8%27.7%14.4%35.3%5.8%-1.4%435.0K-81.8M-448.2K1.014.60N/AN/A1,1481,15457,01680,180
2012-02-14$35.56$35.0033.6%9.6%27.8%13.5%33.7%5.9%-0.4%145.4K-74.2M-452.3K0.105.67N/AN/A5,19850557,06280,213
2012-02-15$34.97$35.0035.8%10.3%27.6%17.0%35.9%6.0%-1.2%-1.4M-49.5M-451.4K0.495.23N/AN/A2,3551,15657,19880,259
2012-02-16$35.30$35.0034.6%9.9%27.4%15.0%33.9%5.9%-0.4%-817.4K-67.2M-443.4K0.325.15N/AN/A1,85259457,56680,241
2012-02-17$36.25$35.0034.8%10.0%28.7%15.4%35.1%5.3%-1.4%2.4M-109.6M-422.7K0.666.62N/AN/A11,3157,50057,44980,262
2012-02-21$36.69$35.0027.6%7.9%28.7%3.9%28.5%4.0%0.9%2.0M-60.2M-423.9K0.385.89N/AN/A20,7017,94240,64435,351
2012-02-22$37.68$35.0026.9%7.7%29.9%2.7%28.3%3.9%1.2%2.9M-87.6M-501.4K0.425.33N/AN/A8,1293,39550,82239,131
2012-02-23$36.99$36.0028.1%8.1%28.3%4.7%28.5%4.1%0.5%2.8M-68.9M-495.7K1.016.10N/AN/A4,8334,88751,15639,975
2012-02-24$37.06$36.0027.3%7.8%25.8%3.3%28.1%4.0%0.8%2.5M-67.0M-515.7K0.826.34N/AN/A1,2551,03252,52942,837
2012-02-27$37.37$36.0029.3%8.4%25.5%6.6%29.7%4.7%-0.7%2.9M-77.3M-503.9K0.375.27N/AN/A26,3469,82553,55442,452
2012-02-28$37.84$36.0027.6%7.9%25.4%3.7%29.4%4.6%0.7%5.5M-111.3M-637.9K0.926.19N/AN/A1,3691,26277,63950,985
2012-02-29$37.97$36.0027.7%8.0%23.9%4.0%28.6%4.5%0.1%5.6M-116.5M-632.6K0.668.58N/AN/A4,4452,93577,90350,982