M Options History — May 2012

In May 2012, M traded between $35.24 and $41.55. ATM implied volatility averaged 34.1%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.4% (HV 20d: 28.8%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2012-05-08: Highest Volume — 18,137 contracts
  • 2012-05-09: Largest IV drop — 20.4% change
  • 2012-05-08: Highest IV Rank — 30.7%
  • 2012-05-18: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.25$35.24$41.55$41.44$38.05
Max Pain$38.32$37.00$40.00$38.00$38.00
ATM IV34.1%30.0%39.8%33.2%34.6%
Expected Move9.6%8.6%10.9%9.5%9.9%
HV 20d28.8%22.6%35.1%25.6%35.1%
HV 60d25.0%22.2%27.6%22.4%27.2%
IV Rank22.4%16.4%30.7%21.1%23.1%
IV Percentile51.4%27.0%67.5%48.4%56.0%
Term Structure-0.2%-4.0%1.3%-3.2%0.7%
VWIV33.6%30.2%39.0%33.4%33.6%
Skew 25d5.5%3.1%7.6%3.7%6.2%
Skew 10d10.8%5.7%14.2%6.9%12.4%
Call IV 25d30.9%28.3%34.3%31.4%32.2%
Put IV 25d36.4%33.0%41.9%35.0%38.4%
Bid-Ask Spread %6.354.738.047.586.93
Gamma HHI0.160.070.260.140.16
Net GEX115.7K-1.7M1.4M1.2M1.1M
Net DEX-24.4M-106.7M55.1M-105.5M-26.4M
Net VEX-374.4K-456.9K-298.7K-416.1K-456.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.342.751.210.51
Total Volume6,552.40972918,1373,4141,832
Total OI95,543.40948,107119,491111,01378,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$41.44$38.0033.2%9.5%25.6%21.1%33.4%3.7%-3.2%1.2M-105.5M-416.1K1.217.58N/AN/A1,5461,86849,40761,606
2012-05-02$41.27$39.0034.9%10.0%25.1%23.5%34.6%3.1%-4.0%1.0M-99.9M-417.8K0.938.04N/AN/A2,2862,13249,84262,560
2012-05-03$41.55$39.0033.5%9.6%25.2%21.5%34.4%3.4%-3.7%1.2M-106.7M-413.8K0.437.38N/AN/A2,8851,24250,26962,917
2012-05-04$41.11$40.0035.2%8.9%25.5%23.9%31.5%4.7%-0.4%1.2M-97.1M-419.8K2.756.43N/AN/A1,4614,01251,19063,197
2012-05-07$40.29$40.0037.8%9.3%25.3%27.7%31.8%5.5%-1.3%690.2K-73.1M-417.9K1.685.83N/AN/A1,7953,02151,11264,273
2012-05-08$39.51$40.0039.8%9.5%22.6%30.7%34.3%5.7%-1.0%48.6K-49.6M-414.0K1.926.87N/AN/A6,21211,92550,70264,157
2012-05-09$38.05$40.0031.7%9.0%25.2%18.9%31.9%5.1%0.4%-700.5K-7.8M-373.6K1.245.31N/AN/A6,3567,86053,15759,820
2012-05-10$37.83$39.0030.0%8.6%23.4%16.4%31.9%4.7%1.3%-937.1K-2.2M-369.3K2.455.61N/AN/A1,6313,99554,60560,961
2012-05-11$37.98$39.0030.5%8.7%23.4%17.1%30.2%4.8%1.1%-1.1M-4.6M-371.3K0.345.69N/AN/A1,92164654,66562,533
2012-05-14$36.68$39.0033.2%9.5%26.0%21.0%33.5%5.5%0.2%-1.7M32.3M-338.1K0.425.47N/AN/A3,1751,32554,97462,659
2012-05-15$37.01$38.0033.7%9.6%26.3%21.7%33.5%5.9%0.7%-1.5M18.4M-341.3K2.686.69N/AN/A2,9347,85556,76362,728
2012-05-16$37.29$38.0034.1%9.8%26.6%22.3%35.3%5.9%1.2%-1.4M11.3M-333.2K1.205.71N/AN/A1,1891,43157,32861,369
2012-05-17$35.43$38.0037.5%10.8%31.4%27.3%35.8%6.3%-0.1%-809.2K55.1M-310.3K0.544.73N/AN/A2,9531,59457,56061,526
2012-05-18$35.24$38.0037.9%10.9%31.3%27.9%39.0%7.6%0.2%219.3K54.7M-298.7K2.394.79N/AN/A1,3203,15857,44461,408
2012-05-21$36.28$38.0034.5%9.9%33.5%22.9%33.5%6.9%0.1%89.6K-1.9M-304.4K0.566.07N/AN/A1,8921,05724,82723,280
2012-05-22$36.47$37.0033.3%9.5%33.6%21.1%33.2%6.0%0.3%186.7K-3.8M-310.0K0.745.89N/AN/A4,0582,99725,54323,688
2012-05-23$37.05$37.0032.2%9.2%32.3%19.6%33.1%6.4%0.9%357.4K-10.7M-330.5K0.876.17N/AN/A2,8672,48227,17824,802
2012-05-24$38.02$37.0032.5%9.3%33.1%20.0%33.6%5.7%0.8%599.9K-25.1M-362.6K0.897.21N/AN/A5,0794,49829,41926,556
2012-05-25$37.76$37.0031.8%9.1%32.6%19.0%32.9%5.7%1.2%564.7K-22.1M-409.4K1.506.61N/AN/A29243732,79930,328
2012-05-29$38.99$37.0032.8%9.4%35.1%20.5%32.1%5.5%0.1%856.8K-38.2M-400.8K0.436.76N/AN/A6,8752,93632,86530,472
2012-05-30$38.30$37.0036.4%10.4%35.1%25.6%34.9%6.1%-0.7%1.4M-33.7M-426.9K0.567.93N/AN/A10,9436,18038,33432,452
2012-05-31$38.05$38.0034.6%9.9%35.1%23.1%33.6%6.2%0.7%1.1M-26.4M-456.9K0.516.93N/AN/A1,21262041,49837,182