M Options History — February 2013

In February 2013, M traded between $38.52 and $41.10. ATM implied volatility averaged 26.8%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.0% (HV 20d: 22.8%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2013-02-26: Highest Volume — 18,030 contracts
  • 2013-02-26: Largest IV drop — 18.7% change
  • 2013-02-25: Highest IV Rank — 52.3%
  • 2013-02-25: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.73$38.52$41.10$39.51$41.10
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV26.8%21.8%32.0%21.8%25.0%
Expected Move7.8%6.8%9.2%7.1%7.0%
HV 20d22.8%18.9%26.9%18.9%26.9%
HV 60d25.4%23.8%26.4%25.8%23.9%
IV Rank31.6%11.8%52.3%11.8%24.7%
IV Percentile40.0%3.2%78.2%3.2%24.2%
Term Structure-1.1%-3.7%1.1%0.3%0.2%
VWIV27.4%24.8%32.5%25.1%25.0%
Skew 25d4.2%3.6%5.1%3.8%4.0%
Skew 10d8.4%6.8%12.1%7.3%12.1%
Call IV 25d25.1%22.2%29.8%23.3%22.2%
Put IV 25d29.3%26.2%34.9%27.1%26.2%
Bid-Ask Spread %6.663.9114.097.2211.22
Gamma HHI0.270.150.400.300.16
Net GEX2.6M1.4M3.7M2.2M2.9M
Net DEX-34.5M-56.0M-9.5M-27.0M-53.9M
Net VEX-350.4K-483.1K-259.5K-269.8K-478.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.203.440.630.48
Total Volume6,909.7891,76918,0301,7696,836
Total OI68,568.31651,93785,55758,56485,557

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$39.51$39.0021.8%7.1%18.9%11.8%25.1%3.8%0.3%2.2M-27.0M-269.8K0.637.22N/AN/A1,08268730,39228,172
2013-02-04$38.72$39.0024.7%7.7%20.2%23.5%27.1%3.6%-0.8%1.4M-10.8M-259.5K0.826.63N/AN/A3,5392,88830,43828,620
2013-02-05$39.85$39.0026.3%7.8%22.1%29.7%27.7%4.2%-1.3%2.7M-38.2M-278.2K0.414.73N/AN/A10,2094,21532,67429,457
2013-02-06$39.48$39.0027.7%8.3%21.5%35.2%29.9%4.2%-1.8%2.8M-36.2M-338.8K1.906.86N/AN/A1,8123,43639,58731,756
2013-02-07$40.27$39.0027.7%7.9%21.7%35.1%28.1%4.2%-1.0%3.3M-55.4M-336.1K0.874.85N/AN/A3,4372,97838,78232,323
2013-02-08$39.92$39.0026.3%7.5%21.8%29.8%26.6%4.1%-0.3%3.2M-45.7M-332.4K0.894.75N/AN/A2,2121,96539,01332,620
2013-02-11$40.24$39.0026.8%7.7%21.3%31.8%28.5%3.9%-0.8%3.7M-56.0M-324.2K1.424.62N/AN/A2,0812,95738,99732,449
2013-02-12$40.11$39.0026.3%7.5%21.5%29.6%25.9%3.6%-0.5%3.4M-51.9M-321.8K0.463.91N/AN/A3,2381,48738,73433,840
2013-02-13$39.96$39.0025.9%7.4%20.5%28.3%25.9%3.8%-0.4%3.6M-49.3M-324.9K2.614.29N/AN/A1,1142,91239,80434,576
2013-02-14$39.54$39.0025.9%7.4%20.6%28.2%26.6%3.7%-0.2%2.9M-34.0M-329.7K0.774.21N/AN/A1,24094939,16635,689
2013-02-15$39.12$39.0026.8%7.7%20.7%31.6%24.8%4.0%-0.7%1.7M-21.2M-331.0K0.215.10N/AN/A5,4131,16439,36836,093
2013-02-19$40.43$39.0027.3%7.8%23.4%33.7%26.2%4.4%-2.3%2.2M-33.8M-338.8K0.204.48N/AN/A8,3201,65929,62022,317
2013-02-20$39.51$39.0028.8%8.3%24.9%39.6%29.4%4.3%-2.8%2.5M-24.6M-352.4K0.607.01N/AN/A2,5251,52134,56523,339
2013-02-21$39.33$39.0030.0%8.6%25.0%44.3%29.7%4.8%-3.0%2.4M-21.8M-357.9K0.496.96N/AN/A4,8972,40935,60524,205
2013-02-22$39.08$39.0029.7%8.5%24.2%43.1%29.8%5.1%-2.3%2.2M-17.7M-397.9K0.304.02N/AN/A1,68150537,62826,342
2013-02-25$38.52$39.0032.0%9.2%24.6%52.3%32.5%5.1%-3.7%1.8M-9.5M-380.8K0.6813.61N/AN/A9,0586,11838,04926,472
2013-02-26$39.59$39.0026.0%7.5%25.9%28.7%26.1%4.5%0.3%2.9M-28.8M-421.4K3.4414.09N/AN/A4,06013,97041,78730,481
2013-02-27$40.58$39.0023.8%6.8%26.9%20.0%25.1%4.5%1.1%2.6M-40.5M-483.1K1.017.93N/AN/A3,3343,37841,62842,653
2013-02-28$41.10$39.0025.0%7.0%26.9%24.7%25.0%4.0%0.2%2.9M-53.9M-478.8K0.4811.22N/AN/A4,6332,20341,71243,845