M Options History — November 2012

In November 2012, M traded between $38.62 and $41.73. ATM implied volatility averaged 28.5%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.0% (HV 20d: 31.5%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2012-11-13: Highest Volume — 16,936 contracts
  • 2012-11-07: Largest IV drop — 19.2% change
  • 2012-11-06: Highest IV Rank — 62.4%
  • 2012-11-02: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.99$38.62$41.73$40.52$38.70
Max Pain$39.14$39.00$40.00$39.00$39.00
ATM IV28.5%23.1%36.9%29.8%27.9%
Expected Move7.9%6.6%9.6%8.5%8.0%
HV 20d31.5%27.1%39.5%28.0%32.1%
HV 60d22.7%20.4%26.3%20.9%26.3%
IV Rank35.2%16.6%62.4%35.9%36.0%
IV Percentile38.4%5.6%87.3%46.0%38.1%
Term Structure-0.5%-5.3%1.0%-3.4%0.1%
VWIV28.0%23.6%35.3%29.7%28.3%
Skew 25d3.9%2.4%5.6%4.1%2.6%
Skew 10d8.2%5.6%11.2%10.6%5.6%
Call IV 25d26.1%21.7%32.3%28.7%27.3%
Put IV 25d30.0%25.3%37.4%32.8%29.9%
Bid-Ask Spread %9.716.1113.719.4812.26
Gamma HHI0.180.140.420.180.18
Net GEX3.6M1.5M6.3M5.5M2.3M
Net DEX-59.9M-106.6M-19.2M-89.7M-23.4M
Net VEX-388.7K-426.5K-365.8K-426.5K-381.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.113.360.110.49
Total Volume6,904.3811,43016,93616,4996,167
Total OI94,150.52473,147108,28498,10291,761

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$40.52$39.0029.8%8.5%28.0%35.9%29.7%4.1%-3.4%5.5M-89.7M-426.5K0.119.48N/AN/A14,8021,69759,29438,808
2012-11-02$40.61$39.0033.4%9.6%27.1%47.7%35.3%5.2%-5.3%4.7M-89.3M-419.1K1.2310.16N/AN/A3,4164,19755,98639,100
2012-11-05$41.16$39.0036.9%8.3%27.4%62.3%30.3%5.6%-1.4%4.8M-98.8M-409.5K0.999.08N/AN/A2,9442,92755,64241,300
2012-11-06$41.38$39.0036.9%8.5%27.4%62.4%29.5%5.2%-1.8%5.0M-106.6M-419.9K1.6010.41N/AN/A4,3787,00457,17242,830
2012-11-07$40.45$39.0029.8%8.2%28.6%38.1%28.1%4.4%-0.7%4.7M-79.3M-422.0K0.798.71N/AN/A3,8583,02957,92845,985
2012-11-08$39.01$39.0029.4%8.4%31.5%36.7%29.1%5.0%-0.4%2.3M-36.7M-403.7K1.427.95N/AN/A1,7142,42657,65346,485
2012-11-09$38.93$39.0027.7%8.2%30.9%30.8%30.2%4.5%-0.1%1.9M-32.8M-395.9K0.767.50N/AN/A3,7452,84657,69446,852
2012-11-12$38.70$39.0028.3%8.1%30.9%32.8%29.0%4.4%0.1%1.5M-26.5M-381.7K1.186.62N/AN/A65577558,78748,031
2012-11-13$39.08$39.0028.5%8.2%31.1%37.2%27.8%3.9%0.0%2.4M-38.2M-386.1K0.1210.63N/AN/A15,1441,79258,83548,034
2012-11-14$38.90$39.0029.8%8.3%30.7%42.1%29.0%4.0%-0.3%2.5M-35.2M-375.8K0.809.21N/AN/A1,4161,12960,67347,611
2012-11-15$39.34$39.0028.7%8.2%30.6%37.9%28.7%3.9%-0.2%3.4M-46.2M-376.1K1.287.66N/AN/A1,6142,07060,18547,299
2012-11-16$40.18$39.0027.3%7.8%31.4%32.4%27.6%3.5%0.2%6.3M-78.2M-375.4K0.608.35N/AN/A4,5882,73160,38347,814
2012-11-19$40.93$39.0024.6%7.1%32.0%22.2%25.1%3.8%0.8%3.7M-71.5M-366.9K0.7510.92N/AN/A1,4711,10543,63029,517
2012-11-20$40.77$39.0024.1%6.9%31.7%20.2%24.0%3.3%0.9%3.8M-68.3M-365.8K0.4911.07N/AN/A2,7481,33644,33329,850
2012-11-21$41.01$39.0024.1%6.9%31.7%20.2%23.6%3.3%0.7%4.2M-76.1M-367.1K3.366.11N/AN/A1,2014,03246,12730,565
2012-11-23$41.73$39.0023.1%6.6%31.7%16.6%24.2%3.6%1.0%4.3M-88.9M-377.2K0.919.92N/AN/A1,5281,38646,59233,575
2012-11-26$39.86$39.0026.7%7.6%35.7%30.1%26.7%3.3%-0.1%3.1M-48.6M-369.8K0.6311.40N/AN/A5,3913,37846,82334,297
2012-11-27$39.63$40.0026.8%7.7%35.7%30.5%27.5%3.1%0.1%3.0M-43.0M-380.5K1.4111.02N/AN/A2,4203,42348,49135,965
2012-11-28$40.36$40.0027.1%7.8%36.1%31.8%27.3%2.4%-0.1%3.6M-60.8M-392.6K0.9011.77N/AN/A3,0972,79349,37437,453
2012-11-29$38.62$40.0027.7%7.9%39.5%35.2%27.7%2.6%0.1%2.0M-19.2M-369.4K0.6713.71N/AN/A7,5785,04150,32038,107
2012-11-30$38.70$39.0027.9%8.0%32.1%36.0%28.3%2.6%0.1%2.3M-23.4M-381.6K0.4912.26N/AN/A4,1312,03652,62039,141