M Options History — October 2012

In October 2012, M traded between $38.07 and $40.84. ATM implied volatility averaged 27.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.5% (HV 20d: 17.7%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2012-10-17: Highest Volume — 18,375 contracts
  • 2012-10-11: Largest IV spike — 10.1% change
  • 2012-10-31: Highest IV Rank — 50.1%
  • 2012-10-31: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.42$38.07$40.84$38.58$38.07
Max Pain$38.81$38.00$39.00$39.00$39.00
ATM IV27.2%23.0%34.2%24.9%34.2%
Expected Move8.0%6.8%9.8%7.1%9.8%
HV 20d17.7%16.6%18.7%17.0%16.7%
HV 60d20.7%16.8%23.7%23.4%16.8%
IV Rank26.7%13.6%50.1%14.6%50.1%
IV Percentile29.1%4.4%75.0%13.1%75.0%
Term Structure-0.4%-4.6%2.9%2.4%-4.6%
VWIV27.8%24.1%34.3%25.1%34.3%
Skew 25d4.0%1.8%4.7%2.9%4.6%
Skew 10d8.7%5.7%10.5%6.0%9.0%
Call IV 25d26.0%23.6%32.2%24.3%32.2%
Put IV 25d30.0%25.4%36.8%27.2%36.8%
Bid-Ask Spread %8.603.5312.0410.0312.04
Gamma HHI0.230.150.650.150.15
Net GEX4.0M1.7M16.5M1.7M2.3M
Net DEX-53.6M-99.5M-24.3M-28.7M-24.3M
Net VEX-371.2K-413.2K-336.4K-338.7K-385.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.081.410.230.32
Total Volume4,581.09579418,3755,1524,653
Total OI83,219.47669,18198,26569,18195,916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$38.58$39.0024.9%7.1%17.0%14.6%25.1%2.9%2.4%1.7M-28.7M-338.7K0.2310.03N/AN/A4,20494835,92833,253
2012-10-02$38.68$39.0025.0%7.2%17.1%14.7%25.2%2.2%2.6%1.9M-32.0M-350.1K0.1710.18N/AN/A4,13970837,44933,778
2012-10-03$39.49$38.0025.2%7.2%18.7%17.3%25.5%2.0%2.9%2.9M-48.8M-354.8K0.488.77N/AN/A4,5432,17238,57433,897
2012-10-04$39.67$39.0023.8%6.8%18.2%14.5%24.1%1.8%2.6%3.1M-53.2M-365.0K0.558.40N/AN/A5,0272,75439,82835,053
2012-10-05$39.61$38.0023.0%7.5%18.1%13.6%26.8%4.3%0.8%2.9M-50.5M-356.1K0.157.06N/AN/A1,48422538,98736,087
2012-10-08$39.31$38.0024.9%7.8%17.9%20.0%27.3%4.5%0.3%2.6M-41.8M-342.5K0.613.53N/AN/A49230238,79636,383
2012-10-09$39.63$38.0025.2%8.0%16.9%20.9%28.8%4.4%-0.6%2.8M-48.5M-347.7K0.707.54N/AN/A2,0541,44438,80536,516
2012-10-10$39.00$39.0025.4%8.2%17.9%21.6%28.7%4.5%-0.7%2.2M-33.9M-349.8K0.866.99N/AN/A54146339,78237,671
2012-10-11$39.23$39.0028.0%8.0%18.0%30.0%27.2%4.5%-0.8%2.6M-39.6M-336.4K0.087.81N/AN/A4,83839539,77237,704
2012-10-12$39.41$39.0027.8%8.0%18.1%29.3%27.3%4.5%-0.7%3.5M-53.2M-364.7K1.418.41N/AN/A33447243,79337,860
2012-10-15$39.91$39.0026.8%7.7%17.3%26.2%27.8%4.3%-0.9%4.5M-64.7M-345.6K0.267.85N/AN/A4,1791,07543,98838,086
2012-10-16$40.47$39.0026.8%7.7%17.8%26.1%25.5%4.3%-0.8%6.1M-87.4M-356.7K0.218.45N/AN/A3,83780047,03438,735
2012-10-17$40.84$39.0026.0%7.5%17.4%23.5%25.3%4.3%-0.4%6.4M-99.5M-353.6K0.099.26N/AN/A16,7971,57847,88339,008
2012-10-18$40.46$39.0027.1%7.8%17.4%27.2%26.7%4.4%-0.9%6.8M-98.1M-408.4K0.979.01N/AN/A1,1011,06858,54139,512
2012-10-19$39.99$39.0027.4%7.8%17.8%27.9%29.6%4.2%-1.1%16.5M-81.3M-406.3K0.689.14N/AN/A3,5252,40858,50539,760
2012-10-22$39.99$39.0027.8%8.0%16.6%29.3%28.2%4.5%-1.1%3.9M-66.5M-407.5K0.558.52N/AN/A2,4611,35752,35134,700
2012-10-23$39.46$39.0029.2%8.4%17.5%34.0%28.7%4.6%-1.3%3.6M-56.3M-409.2K1.019.17N/AN/A83684153,47335,237
2012-10-24$38.88$39.0029.2%8.4%18.5%33.9%28.8%4.7%-1.4%3.0M-42.6M-400.3K0.879.70N/AN/A1,3291,16253,55435,792
2012-10-25$38.68$39.0031.5%9.0%18.5%41.3%31.2%4.7%-2.8%2.8M-39.0M-404.0K0.499.42N/AN/A5,0242,48253,94836,594
2012-10-26$38.48$39.0032.5%9.3%18.6%44.6%31.9%4.4%-2.9%2.8M-36.8M-413.2K0.909.26N/AN/A1,1341,01757,52137,555
2012-10-31$38.07$39.0034.2%9.8%16.7%50.1%34.3%4.6%-4.6%2.3M-24.3M-385.3K0.3212.04N/AN/A3,5321,12157,62738,289