M Options History — March 2013

In March 2013, M traded between $40.68 and $42.66. ATM implied volatility averaged 21.4%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.3% (HV 20d: 22.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 5.09.

Notable Days

  • 2013-03-12: Highest Volume — 19,489 contracts
  • 2013-03-04: Largest IV spike — 16.3% change
  • 2013-03-04: Highest IV Rank — 40.0%
  • 2013-03-04: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.81$40.68$42.66$40.68$41.84
Max Pain$40.00$39.00$41.00$39.00$41.00
ATM IV21.4%18.0%28.9%24.8%19.9%
Expected Move6.2%5.7%7.1%6.7%5.7%
HV 20d22.8%15.8%28.0%27.2%15.8%
HV 60d23.6%21.7%24.2%23.8%21.7%
IV Rank12.6%0.0%40.0%24.0%7.4%
IV Percentile9.0%0.0%60.3%21.8%1.2%
Term Structure2.8%1.3%3.4%1.5%3.4%
VWIV22.6%20.6%26.1%24.3%22.0%
Skew 25d2.9%2.1%4.1%4.1%2.4%
Skew 10d6.0%3.5%8.9%8.9%6.2%
Call IV 25d20.7%19.1%23.7%22.2%19.1%
Put IV 25d23.6%21.6%27.1%26.3%21.6%
Bid-Ask Spread %6.654.6410.549.687.59
Gamma HHI0.170.110.330.140.11
Net GEX3.4M900.5K6.5M2.6M1.3M
Net DEX-56.7M-84.7M-39.1M-41.3M-45.3M
Net VEX-472.6K-562.8K-422.1K-496.6K-562.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.090.1575.361.586.55
Total Volume6,218.91,47819,4896,9473,676
Total OI85,584.2569,97093,81787,72592,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$40.68$39.0024.8%6.7%27.2%24.0%24.3%4.1%1.5%2.6M-41.3M-496.6K1.589.68N/AN/A2,6944,25343,11944,606
2013-03-04$41.54$40.0028.9%7.1%28.0%40.0%26.1%3.4%1.3%3.3M-65.9M-523.9K0.295.97N/AN/A5,0781,48144,94847,534
2013-03-05$41.72$40.0027.1%6.7%26.7%32.9%23.4%3.4%2.4%3.9M-73.1M-476.5K0.596.92N/AN/A2,1251,24844,41346,724
2013-03-06$41.08$40.0022.9%6.8%25.8%16.1%24.4%3.4%2.2%3.8M-53.8M-481.4K0.418.81N/AN/A3,2271,33545,57746,963
2013-03-07$41.23$40.0021.1%6.5%25.5%9.4%24.4%3.0%2.9%4.7M-59.9M-472.7K5.504.81N/AN/A6583,61646,54847,269
2013-03-08$41.67$40.0018.1%6.2%24.9%0.0%23.1%2.8%3.0%5.1M-72.1M-453.5K1.535.04N/AN/A8251,26645,33548,150
2013-03-11$41.71$40.0020.5%6.2%24.6%9.1%24.8%2.8%2.8%5.6M-74.7M-434.6K1.048.71N/AN/A1,9171,99544,97047,226
2013-03-12$41.97$40.0018.4%6.1%24.5%1.1%22.2%2.8%2.6%6.5M-84.7M-422.1K0.1510.54N/AN/A17,0072,48245,39246,815
2013-03-13$42.11$40.0018.0%6.2%24.4%0.0%22.7%2.7%2.9%6.1M-59.1M-431.4K1.475.52N/AN/A3,3404,90137,61247,480
2013-03-14$42.15$40.0020.9%6.0%24.3%11.2%21.4%2.7%3.1%5.5M-59.4M-439.2K0.796.55N/AN/A1,4451,13738,73249,514
2013-03-15$41.78$40.0020.8%6.0%24.2%10.7%21.4%3.1%3.0%5.3M-40.7M-433.3K1.686.21N/AN/A2,7374,61038,73949,556
2013-03-18$41.58$40.0020.3%5.8%23.9%9.1%20.8%3.1%3.1%900.5K-39.1M-433.2K1.756.53N/AN/A2,0093,52332,79037,180
2013-03-19$41.67$40.0020.4%5.9%21.1%9.5%21.1%3.0%3.4%1.1M-40.5M-447.8K0.635.60N/AN/A2,2591,43033,45038,515
2013-03-20$42.55$40.0021.5%6.2%20.1%13.5%21.7%2.1%2.6%2.0M-57.5M-453.3K0.235.75N/AN/A7,0001,60234,40339,025
2013-03-21$42.17$40.0022.3%6.4%20.4%16.6%22.3%2.1%2.7%2.3M-51.6M-474.6K0.936.16N/AN/A1,3651,26938,69540,259
2013-03-22$42.66$40.0021.2%6.1%20.2%12.3%22.2%2.2%2.9%2.2M-58.7M-474.2K0.444.64N/AN/A1,02944939,15941,003
2013-03-25$42.36$40.0021.0%6.0%19.5%11.7%20.6%3.0%3.0%2.1M-52.3M-463.9K0.274.74N/AN/A10,1252,73638,99539,263
2013-03-26$41.99$40.0020.3%5.8%18.1%8.9%20.6%2.7%3.3%2.2M-54.0M-533.0K0.566.93N/AN/A2,3241,30142,68441,129
2013-03-27$41.73$40.0020.3%5.8%16.4%8.7%23.3%2.7%3.1%2.0M-50.8M-543.6K75.366.34N/AN/A16912,73543,97241,373
2013-03-28$41.84$41.0019.9%5.7%15.8%7.4%22.0%2.4%3.4%1.3M-45.3M-562.8K6.557.59N/AN/A4873,18944,05248,516