M Options History — December 2012

In December 2012, M traded between $37.08 and $39.41. ATM implied volatility averaged 28.1%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.0% (HV 20d: 28.1%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-12-28: Highest Volume — 18,294 contracts
  • 2012-12-28: Largest IV spike — 16.1% change
  • 2012-12-28: Highest IV Rank — 70.0%
  • 2012-12-28: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.35$37.08$39.41$38.10$39.02
Max Pain$37.75$36.00$39.00$39.00$36.00
ATM IV28.1%25.9%36.5%28.9%33.0%
Expected Move8.1%7.5%10.5%8.3%9.5%
HV 20d28.1%17.5%32.5%32.4%23.7%
HV 60d26.5%26.3%27.8%26.4%27.8%
IV Rank37.0%28.2%70.0%39.9%56.3%
IV Percentile40.8%23.8%94.4%45.6%79.0%
Term Structure0.2%-3.3%1.1%-0.2%-2.0%
VWIV29.3%25.9%37.7%29.2%35.7%
Skew 25d4.0%1.9%7.2%2.6%6.7%
Skew 10d8.7%3.6%16.1%4.9%15.0%
Call IV 25d26.7%24.6%32.8%28.0%30.4%
Put IV 25d30.8%28.1%40.0%30.6%37.1%
Bid-Ask Spread %9.753.9418.0912.948.99
Gamma HHI0.210.160.350.180.16
Net GEX2.4M633.5K4.5M1.8M4.5M
Net DEX-17.1M-72.6M21.2M-10.4M-72.6M
Net VEX-318.2K-385.2K-251.8K-367.8K-326.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.131.950.800.40
Total Volume6,097.751,18218,2944,09810,275
Total OI92,010.1571,99897,63394,13791,841

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$38.10$39.0028.9%8.3%32.4%39.9%29.2%2.6%-0.2%1.8M-10.4M-367.8K0.8012.94N/AN/A2,2731,82554,33739,800
2012-12-04$38.27$39.0027.8%8.0%32.0%35.8%28.3%2.2%0.6%2.1M-14.5M-366.3K1.3315.80N/AN/A2,8093,73655,42240,554
2012-12-05$38.87$39.0027.7%7.9%32.5%35.2%27.9%1.9%0.1%2.8M-29.4M-385.2K0.1717.49N/AN/A10,7091,78456,07941,554
2012-12-06$38.92$39.0027.2%7.8%31.7%33.4%27.4%2.0%0.6%3.0M-32.8M-373.2K0.4818.09N/AN/A1,68080456,67240,727
2012-12-07$39.41$37.0026.2%7.8%29.4%29.5%28.1%4.1%0.7%3.7M-43.4M-377.4K0.1311.57N/AN/A4,67658956,44940,649
2012-12-10$39.35$37.0027.4%7.9%29.4%33.9%28.8%3.6%0.6%3.7M-41.9M-357.8K0.4410.15N/AN/A1,31357555,77640,669
2012-12-11$38.86$37.0025.9%7.7%29.6%28.2%37.7%3.8%0.9%2.8M-26.6M-338.2K0.165.83N/AN/A7,9221,27155,65640,728
2012-12-12$38.86$38.0026.3%7.7%29.4%29.9%27.0%3.8%0.9%3.1M-23.5M-335.0K0.218.44N/AN/A3,13665153,79141,045
2012-12-13$38.22$38.0027.5%7.9%30.0%34.5%27.6%3.6%0.9%2.0M-4.2M-318.5K0.989.09N/AN/A2,1922,15755,24941,111
2012-12-14$38.07$38.0027.3%7.8%29.6%33.7%26.7%3.6%1.0%1.7M-810.7K-306.4K0.318.45N/AN/A89928353,83941,380
2012-12-17$38.71$38.0026.5%7.6%29.2%30.5%26.9%3.4%0.8%2.8M-17.0M-298.1K0.878.30N/AN/A1,9101,66253,82441,339
2012-12-18$39.11$38.0026.1%7.5%28.6%29.1%27.0%3.4%1.0%4.0M-28.8M-305.3K1.676.98N/AN/A1,2052,01453,90041,855
2012-12-19$38.77$38.0026.1%7.5%28.7%28.8%25.9%3.7%1.1%2.0M-13.8M-294.3K0.598.10N/AN/A1,09564953,74342,590
2012-12-20$37.91$38.0027.4%7.9%29.3%34.2%27.6%3.9%0.6%633.5K12.6M-269.9K0.939.51N/AN/A3,1122,88453,07842,068
2012-12-21$37.51$38.0026.8%7.7%28.3%31.8%27.3%4.0%0.8%1.2M21.2M-265.0K1.958.41N/AN/A1,7363,38453,92642,791
2012-12-24$37.52$38.0026.4%7.6%23.9%30.0%26.9%4.2%1.0%1.3M1.4M-254.0K1.043.94N/AN/A1,1161,16039,59632,402
2012-12-26$37.13$38.0030.2%8.7%24.1%45.2%30.9%6.0%-0.5%916.1K6.9M-251.8K0.199.03N/AN/A11,1562,13040,10732,997
2012-12-27$37.08$36.0031.4%9.0%22.7%50.0%33.5%6.8%-1.3%1.9M-6.8M-277.0K0.768.56N/AN/A3,9172,97246,34533,649
2012-12-28$37.36$36.0036.5%10.5%17.5%70.0%35.1%7.2%-3.3%2.2M-17.8M-296.9K0.135.43N/AN/A16,2312,06347,85434,811
2012-12-31$39.02$36.0033.0%9.5%23.7%56.3%35.7%6.7%-2.0%4.5M-72.6M-326.1K0.408.99N/AN/A7,3222,95356,16135,680