M Options History — March 2012

In March 2012, M traded between $37.28 and $40.47. ATM implied volatility averaged 24.1%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.7% (HV 20d: 23.4%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2012-03-12: Highest Volume — 131,976 contracts
  • 2012-03-15: Largest IV spike — 36.8% change
  • 2012-03-15: Highest IV Rank — 10.1%
  • 2012-03-06: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.50$37.28$40.47$38.85$39.73
Max Pain$37.68$36.00$38.00$36.00$38.00
ATM IV24.1%18.8%30.0%26.5%20.7%
Expected Move7.2%5.9%8.6%7.6%5.9%
HV 20d23.4%20.2%26.4%24.6%20.2%
HV 60d25.8%24.1%28.7%27.6%24.4%
IV Rank4.7%0.0%10.1%2.0%2.9%
IV Percentile2.3%0.0%15.5%1.2%0.4%
Term Structure3.3%1.4%5.6%1.5%5.6%
VWIV25.8%21.2%31.1%28.1%21.2%
Skew 25d4.1%2.4%5.4%4.1%2.4%
Skew 10d8.5%4.7%11.8%11.8%5.3%
Call IV 25d23.5%20.0%27.8%24.6%20.0%
Put IV 25d27.6%22.4%33.0%28.7%22.4%
Bid-Ask Spread %6.474.6610.4110.415.56
Gamma HHI0.240.150.330.180.26
Net GEX6.7M5.3M8.2M6.0M7.4M
Net DEX-133.5M-174.9M-89.2M-144.5M-111.7M
Net VEX-592.3K-635.7K-549.6K-631.3K-570.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.034.670.791.18
Total Volume10,805.545983131,9768,718983
Total OI129,470.818115,345138,398130,957135,863

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$38.85$36.0026.5%7.6%24.6%2.0%28.1%4.1%1.5%6.0M-144.5M-631.3K0.7910.41N/AN/A4,8573,86178,42852,529
2012-03-02$38.31$36.0027.0%7.7%23.1%2.9%27.8%4.3%1.4%6.0M-128.0M-632.6K1.448.00N/AN/A1,7892,58078,94452,320
2012-03-05$38.24$37.0028.0%8.2%21.8%4.5%28.3%4.9%2.1%6.0M-124.3M-635.7K2.376.38N/AN/A7271,72679,46953,657
2012-03-06$37.28$38.0030.0%8.6%23.5%7.7%30.4%5.1%2.0%5.3M-89.2M-621.3K1.235.90N/AN/A1,5121,86579,45153,110
2012-03-07$38.47$37.0028.1%8.5%25.7%4.7%31.1%5.4%2.2%6.2M-131.7M-626.8K0.917.32N/AN/A3,6933,35979,44953,520
2012-03-08$39.30$37.0025.7%8.2%26.4%0.7%28.6%5.0%2.4%6.6M-164.1M-627.6K1.008.74N/AN/A2,9632,97680,95255,731
2012-03-09$39.67$38.0022.0%7.7%26.4%0.0%27.7%4.8%2.8%6.7M-174.9M-610.6K1.017.57N/AN/A1,6031,62580,77656,419
2012-03-12$39.58$38.0023.5%7.6%25.6%2.3%27.6%4.5%2.6%6.8M-171.6M-593.5K0.038.49N/AN/A128,1183,85880,84357,555
2012-03-13$39.57$38.0020.9%7.3%25.7%0.0%26.8%4.7%2.6%6.3M-121.3M-599.0K1.105.84N/AN/A2,4802,71968,17758,761
2012-03-14$39.91$38.0018.8%7.3%25.3%0.0%26.8%4.4%2.9%6.6M-132.4M-592.0K0.965.04N/AN/A92689368,42459,761
2012-03-15$39.77$38.0025.7%7.4%24.1%10.1%26.0%4.6%2.9%6.7M-129.1M-574.5K0.315.46N/AN/A1,43144968,36859,601
2012-03-16$39.73$38.0024.6%7.0%24.3%8.5%25.6%4.3%3.2%6.9M-129.4M-586.1K1.805.66N/AN/A1,4892,68169,37659,786
2012-03-19$39.62$38.0024.3%7.0%23.2%8.0%25.2%4.1%3.3%6.1M-116.2M-569.9K2.354.80N/AN/A9562,25165,83649,509
2012-03-20$39.70$38.0024.0%6.9%23.0%7.7%24.7%4.0%3.5%6.3M-118.3M-570.3K1.286.06N/AN/A70290266,17250,244
2012-03-21$40.47$38.0023.8%6.8%22.2%7.3%23.6%3.5%4.6%6.8M-144.0M-549.6K0.855.58N/AN/A10,9939,34766,38350,619
2012-03-22$40.06$38.0023.5%6.7%21.2%6.9%23.6%3.7%4.9%6.9M-130.6M-592.8K0.564.66N/AN/A4,1122,32171,31355,279
2012-03-23$39.84$38.0023.1%6.6%21.5%6.2%23.1%3.7%4.9%7.1M-123.8M-599.6K1.196.52N/AN/A1,8682,22873,09456,375
2012-03-26$40.44$38.0023.1%6.6%21.8%6.3%23.2%3.6%4.3%7.9M-147.4M-564.8K0.536.09N/AN/A6,0133,18372,88556,694
2012-03-27$40.42$38.0022.6%6.5%21.6%5.6%22.5%3.1%4.4%8.2M-146.7M-561.4K1.126.25N/AN/A1,4131,58573,24157,090
2012-03-28$40.04$38.0022.4%6.4%22.1%5.3%23.0%2.9%4.6%8.0M-133.1M-558.6K4.675.63N/AN/A7613,55473,28556,867
2012-03-29$39.93$38.0022.2%6.4%20.8%5.0%23.1%2.8%4.8%7.6M-124.3M-562.2K1.776.48N/AN/A1,5792,79173,52158,681
2012-03-30$39.73$38.0020.7%5.9%20.2%2.9%21.2%2.4%5.6%7.4M-111.7M-570.5K1.185.56N/AN/A45153274,85361,010