M Options History — September 2012

In September 2012, M traded between $37.51 and $40.46. ATM implied volatility averaged 25.7%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 10.3% (HV 20d: 15.4%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-09-11: Highest Volume — 14,032 contracts
  • 2012-09-06: Largest IV drop — 9.8% change
  • 2012-09-04: Highest IV Rank — 22.2%
  • 2012-09-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.92$37.51$40.46$40.22$37.62
Max Pain$38.68$37.00$39.00$37.00$39.00
ATM IV25.7%23.4%28.1%28.1%24.6%
Expected Move7.5%7.0%8.1%8.1%7.1%
HV 20d15.4%13.5%17.4%15.1%13.7%
HV 60d26.8%23.0%31.1%31.1%23.0%
IV Rank16.4%11.1%22.2%22.2%13.9%
IV Percentile14.7%5.2%22.2%22.2%11.5%
Term Structure2.4%1.4%3.0%1.4%2.5%
VWIV26.2%24.4%29.8%29.8%24.4%
Skew 25d4.1%2.6%5.2%4.4%2.6%
Skew 10d9.0%5.6%11.3%9.0%5.6%
Call IV 25d24.6%22.5%26.2%26.2%24.1%
Put IV 25d28.7%26.7%30.7%30.7%26.7%
Bid-Ask Spread %7.405.6410.9010.907.16
Gamma HHI0.160.130.200.170.14
Net GEX853.7K-950.1K2.7M2.3M779.5K
Net DEX-30.0M-67.3M-8.0M-64.7M-10.7M
Net VEX-339.6K-382.9K-311.5K-382.9K-331.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.062.230.950.15
Total Volume4,090.4211,46814,0321,4683,855
Total OI74,447.94762,26182,69776,96267,462

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$40.22$37.0028.1%8.1%15.1%22.2%29.8%4.4%1.4%2.3M-64.7M-382.9K0.9510.90N/AN/A75371538,91138,051
2012-09-05$39.87$37.0027.1%7.8%15.8%19.9%28.2%4.2%1.6%2.3M-58.9M-375.2K1.547.77N/AN/A60192638,79938,172
2012-09-06$40.35$37.0024.5%7.0%13.6%13.6%25.1%4.5%3.0%2.5M-66.1M-369.4K0.429.86N/AN/A3,6311,51338,81638,729
2012-09-07$40.46$39.0023.4%7.6%13.6%11.1%26.7%5.0%2.7%2.7M-67.3M-357.1K0.407.84N/AN/A2,27191638,41938,970
2012-09-10$39.99$39.0024.4%7.5%14.4%13.4%26.6%5.2%2.4%1.9M-55.1M-343.8K1.007.32N/AN/A2,2692,28036,65039,079
2012-09-11$39.27$39.0025.4%7.7%16.1%15.8%26.0%5.2%2.3%820.2K-39.0M-349.3K0.068.45N/AN/A13,19983336,81340,712
2012-09-12$39.22$39.0026.0%7.7%15.9%17.1%25.9%5.1%2.3%418.7K-24.9M-343.3K0.496.72N/AN/A2,4611,20632,44940,926
2012-09-13$39.28$39.0026.7%7.6%15.7%18.7%25.2%4.5%2.1%590.4K-26.7M-336.9K0.697.50N/AN/A3,8492,63833,05041,699
2012-09-14$39.24$39.0026.8%7.7%15.6%18.9%26.8%4.1%2.2%834.8K-28.3M-354.7K1.536.67N/AN/A65299535,66442,915
2012-09-17$38.55$39.0026.5%7.6%16.8%18.4%27.2%4.4%2.3%-309.6K-14.5M-333.0K2.235.88N/AN/A1,0782,40835,80741,933
2012-09-18$38.50$39.0027.0%7.7%16.8%19.5%26.5%4.2%2.5%-950.1K-13.1M-328.1K0.536.73N/AN/A1,71690335,93443,444
2012-09-19$39.04$39.0025.7%7.4%17.0%16.5%25.8%3.6%2.7%864.8K-28.7M-327.8K0.506.62N/AN/A1,82792136,63543,669
2012-09-20$38.65$39.0025.2%7.2%17.4%15.4%25.7%3.9%3.0%-41.6K-20.2M-326.1K1.407.48N/AN/A1,4792,06637,41244,037
2012-09-21$38.39$39.0025.6%7.3%17.1%16.2%25.8%3.2%2.9%-841.8K-11.9M-325.1K1.206.07N/AN/A2,0792,49537,60345,094
2012-09-24$37.81$39.0025.4%7.3%15.8%15.7%25.6%3.4%2.7%447.7K-9.7M-311.5K0.486.72N/AN/A1,98095630,26631,995
2012-09-25$37.75$39.0025.9%7.4%15.8%16.9%25.7%3.9%2.3%435.4K-9.2M-323.3K1.567.18N/AN/A2,8814,48731,19732,571
2012-09-26$37.75$39.0025.6%7.3%13.5%16.3%25.4%3.5%2.3%802.6K-12.2M-321.7K0.365.64N/AN/A1,43151332,82732,296
2012-09-27$37.51$39.0024.4%7.0%13.5%13.4%24.6%3.3%2.7%683.5K-8.0M-312.6K0.538.16N/AN/A1,9171,01833,08732,418
2012-09-28$37.62$39.0024.6%7.1%13.7%13.9%24.4%2.6%2.5%779.5K-10.7M-331.4K0.157.16N/AN/A3,36449134,47832,984