M Options History — May 2013

In May 2013, M traded between $44.70 and $49.43. ATM implied volatility averaged 25.6%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.2% (HV 20d: 19.4%). Max pain ranged from $42.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2013-05-14: Highest Volume — 32,782 contracts
  • 2013-05-15: Largest IV drop — 52.5% change
  • 2013-05-14: Highest IV Rank — 100.0%
  • 2013-05-03: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.69$44.70$49.43$44.70$48.34
Max Pain$45.50$42.00$47.00$42.00$47.00
ATM IV25.6%20.6%44.9%26.0%22.6%
Expected Move6.7%6.0%8.3%7.6%6.5%
HV 20d19.4%17.6%20.5%19.9%20.5%
HV 60d19.4%17.7%20.7%20.6%17.8%
IV Rank28.8%10.1%100.0%30.7%17.1%
IV Percentile31.2%4.0%100.0%39.7%16.7%
Term Structure-0.3%-5.1%2.0%-2.8%0.6%
VWIV23.9%21.3%30.3%26.1%22.8%
Skew 25d2.7%1.6%3.8%2.9%2.1%
Skew 10d6.6%2.3%12.4%5.8%2.3%
Call IV 25d22.3%20.5%26.8%25.2%21.5%
Put IV 25d25.0%22.0%30.6%28.0%23.6%
Bid-Ask Spread %8.103.8112.9111.0212.91
Gamma HHI0.160.130.220.170.14
Net GEX3.6M725.1K7.6M3.3M2.1M
Net DEX-167.6M-279.8M-106.6M-115.2M-106.6M
Net VEX-649.6K-708.8K-559.7K-708.8K-702.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.202.762.020.36
Total Volume8,483.5451,35732,7821,3573,821
Total OI117,501.22786,919147,110122,789104,336

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$44.70$42.0026.0%7.6%19.9%30.7%26.1%2.9%-2.8%3.3M-115.2M-708.8K2.0211.02N/AN/A45090765,61557,174
2013-05-02$44.78$42.0020.6%7.9%17.6%10.1%27.4%2.6%-3.7%3.6M-116.9M-701.2K0.4512.28N/AN/A3,5471,60065,72257,586
2013-05-03$46.23$42.0021.9%8.3%20.5%14.8%30.3%3.8%-5.1%3.7M-179.0M-675.2K2.769.83N/AN/A4,38212,11068,65558,740
2013-05-06$46.00$45.0024.2%6.9%20.3%23.7%24.4%3.7%-0.4%3.7M-157.7M-655.8K0.515.70N/AN/A5,2842,71667,42460,371
2013-05-07$46.50$45.0024.8%7.0%20.2%26.1%24.9%3.5%-0.5%4.3M-181.8M-668.1K1.553.81N/AN/A2,0783,21170,33955,569
2013-05-08$46.64$45.0033.2%6.9%19.7%58.2%25.3%3.7%-0.3%3.7M-183.1M-646.4K1.014.66N/AN/A4,1914,25370,27756,356
2013-05-09$46.45$45.0033.6%7.1%19.8%59.9%24.9%3.6%-0.4%3.8M-176.3M-695.9K0.514.62N/AN/A1,62282671,89059,481
2013-05-10$47.23$45.0034.2%6.8%20.4%62.0%24.9%3.5%-0.1%4.5M-210.4M-666.8K0.705.52N/AN/A2,5951,81872,31059,555
2013-05-13$46.88$45.0039.9%7.1%18.4%84.0%25.5%3.4%-0.8%4.5M-197.0M-651.6K0.204.94N/AN/A10,2022,06870,99958,299
2013-05-14$47.39$45.0044.9%7.3%18.4%100.0%26.5%2.9%-1.2%4.7M-218.1M-638.2K1.0111.16N/AN/A16,34316,43972,98959,451
2013-05-15$48.57$46.0021.3%6.2%19.3%12.5%22.6%2.2%1.2%6.3M-279.8M-614.5K0.434.49N/AN/A13,0645,58079,59967,511
2013-05-16$47.88$46.0022.3%6.4%19.1%16.1%22.7%2.9%1.4%7.3M-248.2M-621.5K0.386.67N/AN/A7,7102,91279,45064,707
2013-05-17$48.67$46.0020.9%6.0%19.3%10.9%21.3%2.2%2.0%7.6M-279.1M-605.0K0.557.29N/AN/A5,8653,24880,43965,201
2013-05-20$48.85$46.0020.8%6.0%19.2%10.6%21.3%2.1%0.6%2.9M-128.4M-584.4K1.547.66N/AN/A2,2403,45946,83140,088
2013-05-21$49.43$47.0020.9%6.0%19.3%10.8%21.8%1.6%0.6%2.6M-139.8M-559.7K1.537.49N/AN/A2,3283,57346,99441,266
2013-05-22$49.00$47.0021.7%6.2%19.8%13.7%21.8%1.8%0.3%2.2M-126.1M-615.2K0.627.09N/AN/A3,9382,44347,75343,151
2013-05-23$48.98$47.0021.6%6.2%19.1%13.5%22.3%2.6%0.4%2.4M-129.9M-620.0K1.769.36N/AN/A2,8915,08449,62644,140
2013-05-24$49.21$47.0021.6%6.2%18.9%13.6%21.7%2.3%0.6%2.3M-133.1M-662.7K1.659.60N/AN/A2,6744,41050,95147,886
2013-05-28$49.42$47.0021.9%6.3%18.8%14.8%22.6%2.2%0.2%1.5M-134.5M-651.0K0.569.73N/AN/A3,8322,16151,28649,032
2013-05-29$48.85$47.0022.1%6.4%19.0%15.5%22.3%2.2%0.7%725.1K-118.2M-666.9K1.0511.12N/AN/A2,6342,77152,30349,895
2013-05-30$49.19$47.0022.2%6.4%18.9%15.6%22.0%2.3%0.5%1.5M-129.0M-681.0K0.5811.18N/AN/A2,1291,22954,24749,533
2013-05-31$48.34$47.0022.6%6.5%20.5%17.1%22.8%2.1%0.6%2.1M-106.6M-702.1K0.3612.91N/AN/A2,8051,01654,59949,737