M Options History — April 2013

In April 2013, M traded between $41.63 and $45.07. ATM implied volatility averaged 24.2%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.4% (HV 20d: 17.8%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2013-04-12: Highest Volume — 28,624 contracts
  • 2013-04-11: Largest IV spike — 22.8% change
  • 2013-04-15: Highest IV Rank — 34.0%
  • 2013-04-15: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.71$41.63$45.07$41.63$44.60
Max Pain$40.86$40.00$42.00$41.00$42.00
ATM IV24.2%20.3%26.9%24.4%25.0%
Expected Move7.0%5.8%7.7%6.2%7.4%
HV 20d17.8%14.0%20.0%15.5%20.0%
HV 60d21.0%20.5%21.4%21.3%21.2%
IV Rank23.9%8.8%34.0%24.7%26.9%
IV Percentile23.4%2.4%46.0%20.6%27.8%
Term Structure0.4%-2.2%3.3%2.4%-2.2%
VWIV25.0%20.3%27.5%21.7%26.5%
Skew 25d2.9%2.4%3.3%2.5%3.1%
Skew 10d5.8%4.2%6.7%5.1%6.3%
Call IV 25d23.3%19.4%25.5%20.7%24.6%
Put IV 25d26.1%21.9%28.3%23.2%27.6%
Bid-Ask Spread %8.703.8312.127.4210.97
Gamma HHI0.150.110.200.110.17
Net GEX3.5M895.5K8.9M1.4M3.1M
Net DEX-99.6M-138.8M-42.3M-42.3M-111.6M
Net VEX-630.4K-722.4K-525.7K-539.0K-701.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.272.391.190.52
Total Volume7,224.2731,19928,6241,6914,605
Total OI111,76986,808135,10686,808121,292

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$41.63$41.0024.4%6.2%15.5%24.7%21.7%2.5%2.4%1.4M-42.3M-539.0K1.197.42N/AN/A77192043,97942,829
2013-04-02$42.03$41.0021.8%5.8%14.0%14.6%21.3%2.4%2.8%2.0M-52.4M-532.0K0.4410.69N/AN/A83036944,41443,138
2013-04-03$42.39$41.0024.6%6.0%14.2%25.5%20.3%2.5%2.6%2.5M-64.5M-525.7K0.5212.12N/AN/A8,4824,37244,54842,796
2013-04-04$43.56$41.0020.9%5.8%15.7%11.4%21.0%2.6%3.3%4.1M-109.6M-552.2K0.6110.80N/AN/A6,0173,65251,76545,475
2013-04-05$43.39$40.0020.6%7.0%15.9%10.2%25.9%3.0%0.5%3.9M-105.1M-569.4K0.807.96N/AN/A3,1772,54154,64547,077
2013-04-08$43.99$40.0023.9%7.0%16.2%22.6%24.6%3.3%1.2%4.6M-123.0M-544.2K0.517.71N/AN/A5,7442,95454,75946,720
2013-04-09$43.67$40.0025.1%7.0%16.5%27.2%25.0%3.1%1.1%4.7M-113.4M-585.5K1.397.71N/AN/A1,4041,95657,52748,710
2013-04-10$44.36$40.0020.3%7.1%17.2%8.8%25.4%2.6%0.9%5.1M-134.3M-569.9K0.295.76N/AN/A12,9363,78558,10549,410
2013-04-11$44.31$40.0024.9%7.1%17.2%26.5%25.0%2.9%1.1%6.6M-135.3M-542.3K0.873.83N/AN/A4,8454,22658,45749,401
2013-04-12$44.43$40.0025.8%7.4%17.2%30.0%26.2%2.5%0.3%8.9M-138.8M-569.5K2.398.58N/AN/A8,44920,17559,54951,150
2013-04-15$43.42$41.0026.9%7.7%19.1%34.0%27.5%2.7%-0.1%3.3M-83.9M-702.8K0.648.33N/AN/A2,9771,90265,19865,562
2013-04-16$43.93$41.0025.4%7.3%19.2%28.2%25.8%2.9%0.3%4.7M-110.7M-685.6K0.587.99N/AN/A2,1991,28066,57866,021
2013-04-17$43.61$41.0026.1%7.5%19.5%30.9%27.0%2.7%-0.1%4.7M-95.1M-702.4K1.007.43N/AN/A1,5121,50867,94066,651
2013-04-18$42.94$41.0026.5%7.6%19.2%32.6%26.9%2.9%0.2%2.3M-65.3M-701.2K1.098.71N/AN/A1,5061,63567,96566,203
2013-04-19$43.54$41.0025.4%7.3%19.4%28.4%24.7%3.2%0.8%895.5K-88.7M-687.2K0.276.46N/AN/A5,5381,47968,63366,473
2013-04-22$43.54$41.0025.6%7.4%19.1%29.3%26.3%3.0%-0.2%2.4M-80.9M-687.5K0.488.97N/AN/A3,7371,77658,32347,778
2013-04-23$43.95$41.0025.4%7.3%19.0%28.2%26.0%3.0%-0.4%2.5M-90.3M-679.2K1.539.87N/AN/A1,3912,12658,24148,890
2013-04-24$43.89$41.0024.7%7.1%18.7%25.7%25.3%2.7%-0.2%2.3M-88.9M-675.9K1.909.56N/AN/A2,9165,53258,73950,202
2013-04-25$44.78$41.0025.1%7.2%19.4%27.3%25.2%3.3%-1.4%2.5M-113.2M-698.4K0.389.86N/AN/A6,2382,36959,99854,541
2013-04-26$44.63$42.0020.7%7.0%19.6%10.3%25.3%2.9%-1.0%2.1M-115.4M-722.4K1.539.64N/AN/A9921,52063,84556,090
2013-04-29$45.07$42.0024.0%7.5%19.5%22.9%26.3%3.2%-2.1%2.9M-128.9M-695.5K0.6110.92N/AN/A4,1052,48663,55055,751
2013-04-30$44.60$42.0025.0%7.4%20.0%26.9%26.5%3.1%-2.2%3.1M-111.6M-701.1K0.5210.97N/AN/A3,0361,56965,14256,150