M Options History — June 2013

In June 2013, M traded between $46.14 and $49.32. ATM implied volatility averaged 24.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.9% (HV 20d: 20.4%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-06-03: Highest Volume — 7,595 contracts
  • 2013-06-05: Largest IV spike — 16.9% change
  • 2013-06-05: Highest IV Rank — 46.5%
  • 2013-06-05: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.05$46.14$49.32$48.75$48.00
Max Pain$47.80$47.00$48.00$47.00$48.00
ATM IV24.3%18.2%30.5%26.2%18.2%
Expected Move6.6%5.8%7.2%6.5%5.8%
HV 20d20.4%17.6%24.1%17.8%23.3%
HV 60d19.5%17.9%21.1%17.9%20.5%
IV Rank23.5%0.7%46.5%30.5%0.7%
IV Percentile32.5%0.8%78.6%48.8%0.8%
Term Structure2.0%-0.8%4.0%0.4%4.0%
VWIV23.1%19.7%25.0%23.9%19.7%
Skew 25d2.7%2.0%3.8%2.9%2.5%
Skew 10d5.6%3.9%8.0%6.8%4.7%
Call IV 25d22.2%19.4%24.0%21.9%19.5%
Put IV 25d24.9%22.0%27.0%24.8%22.0%
Bid-Ask Spread %9.716.0613.7910.809.93
Gamma HHI0.140.110.170.140.15
Net GEX3.6M1.2M5.5M2.5M4.4M
Net DEX-103.2M-136.6M-57.1M-119.6M-102.4M
Net VEX-687.6K-715.9K-656.8K-702.4K-696.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.232.262.260.24
Total Volume4,203.21,5067,5957,5953,604
Total OI105,758.293,465112,691104,80599,530

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$48.75$47.0026.2%6.5%17.8%30.5%23.9%2.9%0.4%2.5M-119.6M-702.4K2.2610.80N/AN/A2,3295,26655,41449,391
2013-06-04$48.39$47.0026.1%6.6%17.9%30.2%22.9%2.5%0.1%2.4M-111.9M-690.0K0.2611.01N/AN/A3,57894756,16847,915
2013-06-05$47.36$47.0030.5%7.2%19.5%46.5%24.9%2.8%-0.8%2.0M-84.6M-710.8K0.486.06N/AN/A4,2112,03257,13148,209
2013-06-06$48.39$47.0026.5%7.0%20.9%31.5%24.8%3.2%0.1%3.6M-117.2M-715.9K0.8311.84N/AN/A3,1402,60059,78348,775
2013-06-07$48.61$48.0025.9%6.7%20.8%29.6%23.4%2.4%2.2%5.1M-127.3M-715.9K0.5010.72N/AN/A2,2981,15061,21950,283
2013-06-10$48.93$48.0028.7%6.8%20.1%39.9%24.4%2.4%1.9%3.8M-134.7M-694.4K0.7611.12N/AN/A2,4211,83761,21350,635
2013-06-11$48.56$48.0028.0%6.8%20.2%37.3%23.6%2.4%1.9%3.8M-124.3M-693.5K0.5113.79N/AN/A4,6432,36661,75750,934
2013-06-12$48.06$48.0024.4%7.0%20.3%23.8%24.1%2.3%1.7%3.4M-92.7M-709.4K0.759.19N/AN/A3,1572,37958,54651,615
2013-06-13$48.76$48.0023.1%6.6%19.0%19.0%23.3%2.6%2.5%5.5M-120.2M-710.4K0.2311.27N/AN/A3,25775059,62952,328
2013-06-14$48.48$48.0023.3%6.7%18.4%19.9%23.2%2.2%2.6%3.6M-109.5M-707.0K0.367.88N/AN/A3,5371,28659,52552,198
2013-06-17$48.81$48.0023.0%6.6%17.6%18.6%23.1%2.1%2.6%4.0M-120.0M-678.5K0.6010.29N/AN/A1,14368857,28850,844
2013-06-18$49.32$48.0022.7%6.5%17.9%17.6%22.7%2.1%3.0%4.5M-136.6M-656.8K0.858.54N/AN/A1,11695057,36550,787
2013-06-19$48.33$48.0022.4%6.4%18.8%16.3%22.1%2.0%3.0%3.8M-104.5M-670.4K0.538.45N/AN/A1,33570557,48451,243
2013-06-20$46.82$48.0024.5%7.0%21.6%24.2%23.8%3.0%1.9%1.2M-57.1M-668.0K0.3210.85N/AN/A4,5151,42657,37751,117
2013-06-21$46.86$48.0023.4%6.7%21.6%20.1%23.0%3.5%2.0%1.7M-60.9M-664.9K0.648.13N/AN/A2,3011,46760,12851,054
2013-06-24$46.14$48.0024.9%7.1%22.0%25.6%25.0%3.8%1.8%3.5M-61.0M-665.7K1.108.34N/AN/A71778955,72337,742
2013-06-25$46.58$48.0022.5%6.5%22.3%17.0%22.3%3.5%2.4%3.8M-69.9M-664.3K0.518.11N/AN/A1,20661756,04737,975
2013-06-26$47.73$48.0021.2%6.1%24.0%11.9%20.8%2.7%3.2%4.8M-98.5M-661.0K0.989.09N/AN/A1,2641,23456,56838,137
2013-06-27$48.15$48.0020.7%5.9%24.1%10.1%20.5%2.9%3.8%5.1M-110.0M-677.0K0.908.71N/AN/A3,0582,74557,36238,725
2013-06-28$48.00$48.0018.2%5.8%23.3%0.7%19.7%2.5%4.0%4.4M-102.4M-696.3K0.249.93N/AN/A2,91269258,34441,186