M Options History — April 2012

In April 2012, M traded between $38.56 and $41.18. ATM implied volatility averaged 28.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.2% (HV 20d: 21.8%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2012-04-03: Highest Volume — 15,420 contracts
  • 2012-04-09: Largest IV spike — 24.3% change
  • 2012-04-30: Highest IV Rank — 20.2%
  • 2012-04-30: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.03$38.56$41.18$40.24$41.02
Max Pain$37.55$36.00$39.00$38.00$38.00
ATM IV28.0%20.0%32.6%21.2%32.6%
Expected Move8.2%5.7%9.3%6.1%9.3%
HV 20d21.8%13.5%25.8%20.5%25.7%
HV 60d24.1%22.8%25.4%23.4%22.8%
IV Rank13.4%1.8%20.2%3.5%20.2%
IV Percentile21.3%0.4%44.0%1.2%44.0%
Term Structure1.3%-2.7%6.8%5.2%-2.7%
VWIV29.0%20.8%33.3%21.4%33.3%
Skew 25d3.0%2.1%3.8%2.6%3.5%
Skew 10d6.2%4.0%8.9%5.5%6.9%
Call IV 25d27.5%19.2%31.3%19.8%31.3%
Put IV 25d30.5%22.0%34.8%22.4%34.8%
Bid-Ask Spread %6.585.0310.135.796.72
Gamma HHI0.290.140.560.330.14
Net GEX4.8M-6.0M10.2M8.7M1.0M
Net DEX-106.3M-164.8M-30.1M-135.7M-94.9M
Net VEX-489.7K-556.6K-417.5K-524.9K-417.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.365.660.823.07
Total Volume5,624.551,11515,4202,1262,600
Total OI135,023.55102,226157,427133,719109,561

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$40.24$38.0021.2%6.1%20.5%3.5%21.4%2.6%5.2%8.7M-135.7M-524.9K0.825.79N/AN/A1,17095673,66660,053
2012-04-03$40.89$38.0022.7%6.5%18.1%5.7%22.8%2.4%4.7%8.8M-164.8M-525.2K0.909.43N/AN/A8,1067,31474,02860,061
2012-04-04$40.91$38.0023.8%6.8%15.1%7.4%24.5%3.4%4.3%8.2M-162.5M-555.0K1.0410.13N/AN/A6,5506,82277,33363,745
2012-04-05$40.87$38.0020.0%5.7%13.5%1.8%20.8%2.8%6.8%9.8M-162.4M-556.6K1.337.89N/AN/A3,9695,28678,93366,082
2012-04-09$39.98$36.0024.9%8.3%15.7%8.9%29.0%3.6%1.5%8.0M-123.3M-539.9K2.385.03N/AN/A7781,84979,78165,918
2012-04-10$38.56$36.0025.3%8.4%20.4%9.5%29.8%3.8%2.0%4.1M-55.2M-522.4K1.585.69N/AN/A1,8202,87379,67265,848
2012-04-11$39.39$36.0025.3%8.7%21.9%9.5%30.1%3.5%1.6%6.5M-94.1M-529.9K1.166.05N/AN/A3,0733,56579,93765,098
2012-04-12$40.33$37.0030.1%8.6%23.3%16.5%30.0%3.4%1.2%10.2M-141.2M-523.4K0.595.74N/AN/A2,4911,45880,79665,729
2012-04-13$39.98$37.0030.7%8.8%23.5%17.4%30.5%3.5%0.9%8.7M-123.0M-522.2K0.875.21N/AN/A1,4001,21381,18666,364
2012-04-16$40.01$37.0031.2%8.9%23.5%18.1%30.6%3.3%0.5%9.0M-126.4M-483.9K0.365.94N/AN/A95834481,33966,349
2012-04-17$40.18$37.0030.0%8.6%23.5%16.4%31.3%3.3%1.2%10.0M-134.1M-466.0K5.665.41N/AN/A2,03711,53481,34466,466
2012-04-18$40.13$38.0029.8%8.6%23.5%16.1%30.1%3.2%1.2%7.5M-115.6M-484.3K0.766.28N/AN/A63348281,24076,140
2012-04-19$39.65$38.0030.1%8.6%22.8%16.5%31.6%2.9%0.9%8.6K-90.6M-470.4K1.576.17N/AN/A1,1641,82981,21876,209
2012-04-20$39.10$38.0030.0%8.6%23.0%16.4%30.0%2.3%1.3%-6.0M-73.4M-460.4K0.525.40N/AN/A1,43575181,11676,057
2012-04-23$38.76$38.0030.2%8.7%23.2%16.7%30.3%2.1%-0.2%510.0K-40.6M-442.7K5.175.70N/AN/A2,22111,48547,53354,693
2012-04-24$38.82$39.0029.9%8.6%22.4%16.2%29.7%2.2%-0.1%-672.9K-30.1M-464.2K0.506.54N/AN/A1,65383148,25261,866
2012-04-25$39.94$38.0030.5%8.8%24.9%17.2%30.9%2.5%-1.0%602.0K-69.2M-445.3K0.737.61N/AN/A3,4582,51648,57458,947
2012-04-26$40.65$38.0030.6%8.8%25.4%17.2%31.9%2.6%-1.8%945.8K-88.4M-438.5K1.797.17N/AN/A1,0761,92749,62460,072
2012-04-27$41.18$38.0030.7%8.8%25.8%17.4%31.0%3.6%-1.5%1.2M-100.5M-421.9K0.797.67N/AN/A1,5981,26649,36560,276
2012-04-30$41.02$38.0032.6%9.3%25.7%20.2%33.3%3.5%-2.7%1.0M-94.9M-417.5K3.076.72N/AN/A6391,96149,19060,371