M Options History — August 2012 In August 2012, M traded between $35.06 and $40.47. ATM implied volatility averaged 28.4%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.4% (HV 20d: 26.9%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.23.
Notable Days 2012-08-07 : Highest Volume — 28,263 contracts2012-08-08 : Largest IV drop — 37.0% change2012-08-07 : Highest IV Rank — 36.9%2012-08-01 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $38.53 $35.06 $40.47 $35.06 $40.31 Max Pain $35.96 $34.00 $37.00 $36.00 $37.00 ATM IV 28.4% 21.0% 44.1% 40.0% 27.1% Expected Move 8.2% 6.8% 11.5% 11.5% 7.8% HV 20d 26.9% 15.9% 33.4% 31.1% 15.9% HV 60d 33.9% 31.3% 36.5% 35.8% 31.3% IV Rank 18.2% 5.2% 36.9% 30.9% 19.8% IV Percentile 22.9% 1.6% 82.5% 68.7% 17.5% Term Structure 1.8% -4.5% 4.8% -4.5% 2.1% VWIV 29.3% 24.3% 39.9% 37.8% 30.5% Skew 25d 5.0% 3.5% 7.7% 7.1% 4.3% Skew 10d 10.1% 6.0% 16.4% 14.7% 8.0% Call IV 25d 26.1% 21.9% 36.6% 36.6% 25.2% Put IV 25d 31.2% 25.5% 43.7% 43.7% 29.5% Bid-Ask Spread % 8.27 3.47 14.85 14.45 10.36 Gamma HHI 0.21 0.07 0.71 0.07 0.18 Net GEX 2.7M -184.6K 9.0M -184.6K 2.5M Net DEX -57.0M -105.1M 8.8M 8.8M -67.8M Net VEX -374.2K -401.5K -335.8K -396.0K -389.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.11 6.11 2.41 6.11 Total Volume 5,360.087 2,065 28,263 4,124 3,354 Total OI 86,159.217 58,442 109,369 88,971 75,018
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-08-01 $35.06 $36.00 40.0% 11.5% 31.1% 30.9% 37.8% 7.1% -4.5% -184.6K 8.8M -396.0K 2.41 14.45 N/A N/A 1,211 2,913 42,746 46,225 2012-08-02 $36.40 $35.00 38.8% 11.1% 32.4% 29.2% 39.9% 6.7% -4.2% 541.5K -19.4M -401.5K 1.57 14.85 N/A N/A 1,927 3,021 42,835 44,868 2012-08-03 $37.26 $35.00 36.1% 10.4% 33.0% 25.3% 39.0% 7.0% -3.2% 987.6K -36.9M -399.9K 1.17 12.77 N/A N/A 1,867 2,177 43,391 44,794 2012-08-06 $36.84 $34.00 38.1% 9.3% 33.4% 28.1% 33.8% 7.1% 1.0% 801.9K -28.0M -386.5K 1.89 7.87 N/A N/A 873 1,652 43,639 45,142 2012-08-07 $37.00 $35.00 44.1% 9.7% 33.3% 36.9% 32.2% 7.7% 0.1% 816.5K -31.3M -388.4K 0.63 14.66 N/A N/A 17,323 10,940 44,019 46,085 2012-08-08 $38.01 $35.00 27.8% 8.4% 29.5% 15.4% 30.2% 5.9% 2.4% 4.2M -76.9M -398.8K 1.08 5.74 N/A N/A 4,858 5,229 55,900 50,373 2012-08-09 $38.12 $36.00 27.2% 8.3% 28.9% 15.8% 30.6% 5.6% 2.5% 4.3M -75.9M -395.7K 0.93 7.16 N/A N/A 1,589 1,482 55,585 50,137 2012-08-10 $38.00 $36.00 24.8% 8.1% 28.5% 14.4% 32.9% 5.3% 3.0% 4.4M -71.9M -389.4K 1.69 6.27 N/A N/A 1,368 2,313 55,449 50,651 2012-08-13 $37.87 $36.00 25.6% 8.1% 28.6% 16.3% 28.4% 5.1% 3.1% 5.0M -73.6M -366.1K 2.48 5.90 N/A N/A 843 2,088 55,202 52,135 2012-08-14 $38.24 $36.00 24.6% 8.1% 28.7% 13.9% 26.6% 5.4% 3.2% 5.2M -84.9M -357.7K 0.84 5.87 N/A N/A 3,083 2,580 55,301 52,846 2012-08-15 $38.54 $36.00 21.0% 7.6% 28.3% 5.2% 29.0% 4.9% 4.1% 5.7M -97.8M -350.0K 0.72 6.30 N/A N/A 2,581 1,857 55,939 52,172 2012-08-16 $38.74 $36.00 26.4% 7.6% 27.8% 18.0% 28.5% 4.9% 4.1% 4.9M -105.1M -347.2K 0.18 7.27 N/A N/A 7,919 1,446 56,036 53,333 2012-08-17 $38.95 $36.00 25.3% 7.2% 27.8% 15.4% 25.4% 4.7% 4.8% 9.0M -103.6M -340.0K 0.61 6.93 N/A N/A 1,830 1,117 54,075 54,071 2012-08-20 $38.84 $36.00 24.4% 7.0% 26.9% 13.4% 25.6% 4.3% 2.6% 839.6K -32.6M -337.1K 2.49 6.05 N/A N/A 671 1,672 27,679 30,763 2012-08-21 $39.28 $36.00 24.0% 6.9% 25.6% 12.3% 24.6% 3.6% 2.8% 961.6K -37.6M -335.8K 1.15 7.69 N/A N/A 2,425 2,777 28,059 31,903 2012-08-22 $39.33 $37.00 23.9% 6.8% 25.6% 12.1% 24.3% 3.5% 2.8% 836.7K -38.0M -351.3K 0.56 8.37 N/A N/A 1,328 737 29,425 33,859 2012-08-23 $38.92 $37.00 24.2% 6.9% 24.8% 12.9% 24.6% 3.6% 3.0% 762.6K -33.3M -361.0K 0.39 7.94 N/A N/A 1,510 587 30,156 34,201 2012-08-24 $39.75 $37.00 24.3% 7.0% 24.2% 13.0% 25.2% 3.8% 2.7% 1.1M -45.3M -371.1K 0.11 6.82 N/A N/A 6,086 644 31,248 34,510 2012-08-27 $39.63 $36.00 25.1% 7.2% 24.3% 15.0% 26.3% 4.0% 2.5% 1.9M -52.9M -384.7K 0.39 7.60 N/A N/A 1,894 742 36,064 34,898 2012-08-28 $40.42 $36.00 26.0% 7.4% 22.8% 17.1% 27.4% 4.2% 1.9% 2.3M -67.4M -381.6K 0.53 8.60 N/A N/A 2,834 1,514 36,844 35,237 2012-08-29 $40.47 $36.00 27.1% 7.8% 20.4% 19.7% 26.0% 3.6% 1.7% 2.3M -69.9M -384.8K 0.25 7.35 N/A N/A 3,531 877 37,611 35,571 2012-08-30 $40.30 $37.00 26.8% 7.7% 17.3% 19.0% 25.4% 3.8% 2.3% 2.7M -69.3M -393.0K 0.18 3.47 N/A N/A 3,400 612 39,678 35,989 2012-08-31 $40.31 $37.00 27.1% 7.8% 15.9% 19.8% 30.5% 4.3% 2.1% 2.5M -67.8M -389.5K 6.11 10.36 N/A N/A 472 2,882 38,852 36,166
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