M Options History — June 2012

In June 2012, M traded between $33.14 and $37.38. ATM implied volatility averaged 32.4%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 5.2% (HV 20d: 37.6%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2012-06-29: Highest Volume — 9,569 contracts
  • 2012-06-11: Largest IV spike — 19.9% change
  • 2012-06-04: Highest IV Rank — 30.4%
  • 2012-06-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.69$33.14$37.38$36.85$34.35
Max Pain$36.52$35.00$38.00$38.00$35.00
ATM IV32.4%27.3%39.6%36.4%30.4%
Expected Move9.4%7.8%11.1%10.4%8.7%
HV 20d37.6%35.3%40.4%36.2%40.1%
HV 60d30.3%26.8%34.1%27.2%34.1%
IV Rank19.9%12.5%30.4%25.7%16.9%
IV Percentile41.0%13.5%67.1%61.9%31.7%
Term Structure2.7%0.9%4.3%0.9%4.3%
VWIV33.0%27.9%38.8%35.3%30.7%
Skew 25d6.2%4.7%8.3%6.7%4.7%
Skew 10d12.5%9.5%16.5%12.9%10.4%
Call IV 25d30.3%25.1%34.9%34.0%28.4%
Put IV 25d36.4%30.2%43.1%40.7%33.1%
Bid-Ask Spread %6.174.608.106.968.10
Gamma HHI0.130.080.720.120.08
Net GEX-874.9K-9.1M420.9K340.5K-607.8K
Net DEX14.3M-13.5M41.5M-4.0M25.3M
Net VEX-435.1K-455.6K-390.8K-445.9K-435.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.243.631.763.63
Total Volume4,463.6191,1339,5697,9429,569
Total OI82,709.76270,83195,12279,04386,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$36.85$38.0036.4%10.4%36.2%25.7%35.3%6.7%0.9%340.5K-4.0M-445.9K1.766.96N/AN/A2,8785,06441,53137,512
2012-06-04$36.42$37.0039.6%11.1%36.3%30.4%38.8%8.3%1.0%47.7K6.8M-452.8K2.574.60N/AN/A8492,18642,49141,341
2012-06-05$36.58$37.0035.1%10.3%36.0%23.8%36.3%7.8%2.0%-252.2K7.1M-450.5K0.524.81N/AN/A74438941,26042,242
2012-06-06$37.38$37.0032.6%9.9%36.8%20.2%35.9%7.4%1.7%193.9K-7.0M-455.6K1.405.14N/AN/A9071,26741,55242,283
2012-06-07$36.49$37.0033.2%9.7%35.3%21.0%34.7%6.9%2.0%-658.1K11.6M-434.3K1.805.18N/AN/A1,6612,99341,85342,347
2012-06-08$37.21$37.0029.3%9.4%36.1%15.4%33.9%6.7%2.0%-420.7K-846.1K-454.3K1.215.77N/AN/A1,7812,16042,49044,418
2012-06-11$36.36$37.0035.2%10.0%36.9%23.9%33.6%6.7%1.8%-1.4M18.7M-437.4K1.045.48N/AN/A87290343,13145,709
2012-06-12$36.92$37.0029.9%9.5%35.3%16.2%35.6%6.7%2.0%-998.8K6.4M-439.9K1.206.33N/AN/A1,3701,64443,48344,713
2012-06-13$35.06$37.0035.0%10.4%39.6%23.6%35.6%7.6%1.7%-1.4M38.6M-426.0K0.966.25N/AN/A3,4433,29943,60446,033
2012-06-14$35.82$37.0035.3%10.1%40.4%24.1%35.3%6.9%2.0%-1.9M26.2M-448.9K0.826.33N/AN/A3,7393,04845,14347,990
2012-06-15$36.06$37.0033.7%9.7%36.0%21.8%32.9%6.2%2.1%-9.1M18.1M-447.3K0.656.56N/AN/A1,27583446,22948,893
2012-06-18$36.61$37.0028.9%8.3%36.3%14.8%30.3%5.7%3.3%244.7K-6.0M-438.8K2.035.48N/AN/A1,4853,01533,36137,470
2012-06-19$37.17$36.0028.0%8.0%35.3%13.5%27.9%5.2%3.9%397.9K-13.5M-445.9K0.946.30N/AN/A2,4902,34333,95838,609
2012-06-20$36.99$36.0027.3%7.8%35.3%12.5%27.9%5.1%3.9%420.9K-12.2M-450.9K0.246.77N/AN/A1,58238235,16039,519
2012-06-21$34.92$36.0031.0%8.9%40.4%17.8%30.1%5.8%3.6%-208.6K17.3M-427.9K0.556.95N/AN/A3,3611,83535,73339,542
2012-06-22$33.78$36.0031.0%8.9%40.2%17.8%31.1%5.6%3.4%-569.8K32.6M-405.6K0.936.36N/AN/A2,8842,67336,49340,430
2012-06-25$33.82$36.0032.0%9.2%40.3%19.3%31.6%5.2%3.3%-610.8K32.1M-412.8K0.596.45N/AN/A2,1521,27437,69542,005
2012-06-26$34.20$36.0032.0%9.2%38.3%19.2%32.6%4.8%3.6%-500.4K26.1M-426.1K0.496.09N/AN/A1,49672838,18342,224
2012-06-27$33.14$36.0031.9%9.2%39.2%19.2%31.3%5.1%3.9%-773.0K41.5M-390.8K0.586.93N/AN/A3,2081,86238,71542,570
2012-06-28$33.45$35.0032.5%9.3%39.6%20.0%32.2%5.0%3.8%-601.5K35.2M-409.7K0.806.78N/AN/A4,5023,58939,95342,997
2012-06-29$34.35$35.0030.4%8.7%40.1%16.9%30.7%4.7%4.3%-607.8K25.3M-435.1K3.638.10N/AN/A2,0657,50440,15545,885