M Options History — July 2012

In July 2012, M traded between $32.83 and $36.66. ATM implied volatility averaged 33.6%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.1% (HV 20d: 35.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2012-07-27: Highest Volume — 10,196 contracts
  • 2012-07-05: Largest IV drop — 17.8% change
  • 2012-07-31: Highest IV Rank — 31.9%
  • 2012-07-31: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.60$32.83$36.66$33.89$35.84
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV33.6%28.8%40.7%31.6%40.7%
Expected Move9.9%8.3%11.7%9.1%11.7%
HV 20d35.6%29.7%40.8%40.1%30.5%
HV 60d34.5%33.1%35.7%34.2%35.7%
IV Rank21.6%14.6%31.9%18.8%31.9%
IV Percentile46.6%19.8%71.4%37.7%71.4%
Term Structure-0.4%-5.4%4.4%3.8%-5.4%
VWIV35.5%30.5%41.2%32.5%41.2%
Skew 25d6.5%3.8%7.9%5.4%6.1%
Skew 10d14.0%7.8%16.6%10.8%13.6%
Call IV 25d31.9%27.4%38.5%29.7%38.5%
Put IV 25d38.4%31.3%44.6%35.1%44.6%
Bid-Ask Spread %7.556.0310.688.6310.23
Gamma HHI0.090.070.170.080.08
Net GEX-413.9K-1.3M680.7K-462.4K412.1K
Net DEX14.7M-25.7M51.5M26.4M-10.8M
Net VEX-403.8K-427.4K-384.7K-417.8K-398.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.117.731.030.73
Total Volume4,394.7141,41210,1961,4126,007
Total OI90,27080,00197,41687,78285,511

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$33.89$35.0031.6%9.1%40.1%18.8%32.5%5.4%3.8%-462.4K26.4M-417.8K1.038.63N/AN/A69571743,53444,248
2012-07-03$33.36$35.0035.4%10.1%40.2%24.2%35.2%6.8%0.8%-617.0K35.5M-403.0K4.5810.68N/AN/A1,3116,00243,72544,480
2012-07-05$34.27$35.0029.1%8.3%40.7%15.0%30.5%3.8%4.4%-1.2M23.6M-427.4K3.379.17N/AN/A2,2787,68444,27749,326
2012-07-06$34.03$35.0028.8%9.7%40.1%14.6%35.5%6.7%0.0%-635.5K26.3M-412.4K0.587.23N/AN/A1,60893444,79145,947
2012-07-09$34.20$35.0030.5%9.9%39.3%17.1%33.7%6.7%-0.4%-667.6K23.8M-406.8K1.536.24N/AN/A1,1211,71844,91546,453
2012-07-10$34.59$35.0029.6%9.8%39.0%15.8%38.7%6.8%-0.3%-337.9K15.3M-416.3K7.737.70N/AN/A1,1508,89445,14046,334
2012-07-11$33.15$35.0032.6%10.6%40.8%20.2%38.1%7.9%-1.4%-1.1M45.2M-398.2K1.766.14N/AN/A2,7654,85345,34749,440
2012-07-12$32.83$35.0037.0%10.6%37.1%26.6%36.7%7.2%-1.6%-1.3M51.5M-396.6K2.266.47N/AN/A8151,83946,14750,830
2012-07-13$33.64$35.0035.0%10.0%37.3%23.6%33.6%7.4%-1.0%-1.0M36.0M-411.7K0.247.45N/AN/A1,52035846,28950,625
2012-07-16$33.92$35.0035.8%10.3%37.4%24.8%36.0%7.1%-1.3%-919.9K31.5M-406.2K0.617.24N/AN/A90355346,42950,565
2012-07-17$34.19$35.0035.0%10.0%37.0%23.6%34.0%6.8%-0.9%-767.9K23.9M-404.4K0.696.46N/AN/A85258746,58750,572
2012-07-18$34.81$35.0032.8%9.4%37.2%20.4%36.4%6.5%-0.2%-484.7K11.0M-407.2K1.366.03N/AN/A9931,34946,80350,613
2012-07-19$35.49$35.0033.4%9.6%38.1%21.4%34.1%6.1%-0.3%-244.4K-5.3M-407.4K0.436.06N/AN/A1,73174346,90650,008
2012-07-20$35.60$35.0032.0%9.2%31.9%19.2%33.0%6.4%-0.1%-156.7K-6.7M-407.5K0.367.89N/AN/A2,00771546,73050,161
2012-07-23$35.03$35.0034.5%9.9%30.0%22.9%37.8%6.7%-0.6%-143.5K6.4M-393.9K1.207.43N/AN/A9621,15737,90442,097
2012-07-24$34.43$35.0037.0%10.6%30.8%26.5%36.9%7.2%-1.2%-339.4K16.2M-384.9K0.696.98N/AN/A1,35192837,99742,787
2012-07-25$34.54$35.0035.1%10.1%30.6%23.8%35.6%6.8%-0.4%-290.7K13.6M-384.7K0.116.77N/AN/A2,03722438,41543,028
2012-07-26$35.58$35.0031.7%9.1%29.8%18.9%33.1%6.0%0.2%264.4K-5.8M-397.9K0.147.77N/AN/A5,38777739,92743,075
2012-07-27$36.54$35.0031.7%9.1%30.8%18.8%35.9%5.9%0.1%595.6K-22.6M-399.6K3.128.65N/AN/A2,4727,72440,02843,350
2012-07-30$36.66$35.0036.2%10.4%29.7%25.3%36.5%5.7%-3.3%680.7K-25.7M-396.8K1.327.21N/AN/A2,8323,73640,68543,644
2012-07-31$35.84$35.0040.7%11.7%30.5%31.9%41.2%6.1%-5.4%412.1K-10.8M-398.2K0.7310.23N/AN/A3,4652,54241,80543,706