M Options History — January 2013

In January 2013, M traded between $36.69 and $39.95. ATM implied volatility averaged 24.0%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.2% (HV 20d: 25.2%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-01-03: Highest Volume — 21,078 contracts
  • 2013-01-03: Largest IV drop — 16.0% change
  • 2013-01-02: Highest IV Rank — 48.4%
  • 2013-01-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.18$36.69$39.95$38.31$39.51
Max Pain$37.81$36.00$38.00$36.00$38.00
ATM IV24.0%20.9%31.0%31.0%22.7%
Expected Move7.0%6.0%8.9%8.9%6.5%
HV 20d25.2%20.8%26.7%24.0%20.8%
HV 60d28.2%26.0%28.9%27.7%26.0%
IV Rank20.6%8.3%48.4%48.4%15.4%
IV Percentile13.7%1.2%68.7%68.7%6.7%
Term Structure2.3%-1.9%3.4%-1.9%2.3%
VWIV24.5%21.4%31.3%31.3%22.9%
Skew 25d3.2%1.7%5.3%5.3%1.9%
Skew 10d7.0%4.1%12.6%12.6%5.1%
Call IV 25d23.0%19.8%28.5%28.5%22.5%
Put IV 25d26.3%22.3%33.9%33.9%24.4%
Bid-Ask Spread %10.645.7015.617.9715.61
Gamma HHI0.180.120.290.180.28
Net GEX1.6M4.8K4.3M4.3M2.1M
Net DEX-12.3M-44.6M22.9M-44.6M-27.2M
Net VEX-241.4K-301.3K-216.5K-301.3K-267.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.126.030.600.95
Total Volume5,873.2861,53621,07811,4331,536
Total OI76,827.66746,27597,07991,54757,840

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$38.31$36.0031.0%8.9%24.0%48.4%31.3%5.3%-1.9%4.3M-44.6M-301.3K0.607.97N/AN/A7,1494,28454,62136,926
2013-01-03$37.47$37.0026.1%7.5%25.2%28.8%25.2%4.2%1.6%2.7M-9.2M-267.5K0.1812.25N/AN/A17,9323,14653,55739,021
2013-01-04$37.94$38.0023.6%7.5%25.0%19.3%25.2%4.3%3.0%4.0M-20.2M-273.9K0.847.67N/AN/A1,5701,32653,20438,824
2013-01-07$37.65$38.0024.9%7.8%25.0%24.0%26.6%4.3%2.2%1.0M855.5K-232.2K0.755.70N/AN/A3,0222,27046,61639,313
2013-01-08$37.05$38.0024.9%7.9%25.0%24.2%27.5%4.0%2.1%340.6K14.6M-226.6K1.035.81N/AN/A2,3162,39348,20239,790
2013-01-09$36.69$38.0023.7%7.5%25.1%19.4%25.0%3.9%2.6%30.7K22.9M-220.9K1.247.20N/AN/A2,8023,46949,04141,261
2013-01-10$37.25$38.0025.9%7.4%25.7%28.0%25.7%3.8%2.5%596.8K7.9M-226.7K0.867.53N/AN/A1,5051,30049,33241,303
2013-01-11$36.89$38.0025.3%7.3%25.8%26.0%25.8%3.6%2.8%4.8K17.8M-220.5K0.206.88N/AN/A4,12782749,59741,717
2013-01-14$37.08$38.0025.7%7.4%25.4%27.5%25.9%3.5%2.4%577.5K7.8M-216.5K0.608.46N/AN/A1,52692051,61641,815
2013-01-15$37.91$38.0024.8%7.1%26.7%23.7%25.3%3.4%2.9%1.1M-14.5M-222.4K0.4310.02N/AN/A4,0981,75951,84042,131
2013-01-16$38.43$38.0024.7%7.1%26.5%23.4%25.1%3.3%3.0%1.3M-22.1M-221.4K0.1911.05N/AN/A9,3241,75350,64642,684
2013-01-17$38.07$37.0024.0%6.9%26.3%20.6%24.4%3.1%2.9%1.6M-21.8M-231.7K0.1211.01N/AN/A7,46191354,52042,559
2013-01-18$38.42$38.0023.2%6.7%26.4%17.6%23.0%2.9%3.4%1.1M-25.8M-220.8K0.6010.81N/AN/A4,0632,43952,40442,337
2013-01-22$38.18$38.0022.3%6.4%25.2%13.9%22.0%3.0%1.6%855.8K-5.4M-222.9K0.5213.37N/AN/A3,5921,87823,27722,998
2013-01-23$38.23$38.0022.3%6.4%24.9%13.7%22.2%2.6%2.2%1.2M-8.1M-237.0K0.5113.64N/AN/A1,9831,01125,58424,068
2013-01-24$39.00$38.0020.9%6.0%25.8%8.3%21.4%2.6%3.0%1.8M-19.9M-246.4K0.6611.99N/AN/A1,10572926,86324,355
2013-01-25$38.74$38.0021.2%6.1%25.6%9.7%22.1%2.6%2.7%1.8M-16.7M-242.3K0.8613.96N/AN/A1,7231,48927,10224,468
2013-01-28$39.39$38.0022.6%6.5%26.1%15.1%22.5%2.3%2.5%2.2M-27.6M-249.9K0.4714.01N/AN/A2,5031,17927,80124,461
2013-01-29$39.95$38.0021.8%6.2%26.3%11.9%21.9%1.7%2.7%2.5M-37.6M-257.3K0.5114.34N/AN/A4,2662,18328,76325,014
2013-01-30$39.54$38.0022.2%6.4%22.0%13.6%22.9%1.8%2.6%2.5M-29.8M-264.7K6.0314.17N/AN/A6363,83229,91125,999
2013-01-31$39.51$38.0022.7%6.5%20.8%15.4%22.9%1.9%2.3%2.1M-27.2M-267.5K0.9515.61N/AN/A78675030,16827,672