M Options History — July 2013

In July 2013, M traded between $48.00 and $50.37. ATM implied volatility averaged 23.7%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.9% (HV 20d: 19.8%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.00.

Notable Days

  • 2013-07-22: Highest Volume — 33,136 contracts
  • 2013-07-08: Largest IV spike — 20.5% change
  • 2013-07-30: Highest IV Rank — 41.1%
  • 2013-07-31: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.01$48.00$50.37$48.26$48.34
Max Pain$46.00$44.00$48.00$48.00$48.00
ATM IV23.7%19.3%29.0%20.5%28.4%
Expected Move6.9%5.8%8.0%6.0%8.0%
HV 20d19.8%14.9%23.2%23.2%14.9%
HV 60d20.0%18.7%20.6%20.4%18.7%
IV Rank21.4%5.0%41.1%9.3%38.7%
IV Percentile32.2%1.6%86.1%4.0%83.7%
Term Structure0.6%-3.4%3.7%3.3%-3.4%
VWIV24.0%19.8%27.9%20.6%27.5%
Skew 25d2.7%2.1%3.4%2.8%3.0%
Skew 10d5.6%4.4%7.0%4.8%6.7%
Call IV 25d22.8%18.9%26.4%19.7%26.2%
Put IV 25d25.5%21.3%29.2%22.6%29.2%
Bid-Ask Spread %9.643.9211.938.7411.89
Gamma HHI0.230.150.630.160.29
Net GEX2.7M-7.2M16.1M5.4M-6.2M
Net DEX-107.5M-174.2M-36.2M-111.5M-59.6M
Net VEX-676.0K-755.7K-602.3K-685.7K-746.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.1412.940.300.56
Total Volume5,308.27353633,1361,4863,049
Total OI119,656.136101,406151,613101,406151,613

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$48.26$48.0020.5%6.0%23.2%9.3%20.6%2.8%3.3%5.4M-111.5M-685.7K0.308.74N/AN/A1,14134559,82641,580
2013-07-02$48.40$48.0019.3%5.8%23.1%5.0%19.8%2.4%3.7%5.8M-115.4M-676.7K0.2811.08N/AN/A2,03656360,28541,721
2013-07-03$48.48$48.0021.5%5.8%21.6%13.2%20.8%2.5%3.6%5.9M-116.8M-667.8K0.289.61N/AN/A41911760,04342,026
2013-07-05$49.18$44.0019.8%6.7%20.9%6.6%24.5%2.4%2.4%6.2M-137.2M-660.8K0.9710.22N/AN/A88385960,19442,002
2013-07-08$50.27$44.0023.8%6.7%22.2%21.7%23.8%2.1%2.2%6.1M-168.7M-629.7K1.438.70N/AN/A2,4333,46760,18041,839
2013-07-09$50.37$44.0024.9%6.7%22.1%25.7%23.3%2.3%1.7%6.4M-174.2M-623.6K0.953.92N/AN/A1,2541,18761,44644,800
2013-07-10$49.47$44.0020.8%6.9%23.0%10.6%24.1%2.5%1.5%6.3M-143.5M-646.9K1.6010.33N/AN/A2,1503,43561,72645,569
2013-07-11$49.69$44.0024.0%6.9%22.6%22.4%24.2%2.7%1.2%6.6M-149.4M-643.9K3.508.66N/AN/A1,3454,70462,85547,450
2013-07-12$49.43$45.0024.5%7.0%22.2%24.3%24.6%2.7%1.0%7.3M-129.1M-665.0K4.608.99N/AN/A9594,41363,19051,346
2013-07-15$50.22$45.0024.5%7.0%22.7%24.3%24.0%2.7%0.5%4.8M-156.7M-648.8K0.348.85N/AN/A2,58989361,69153,120
2013-07-16$49.75$45.0024.7%7.1%22.9%24.8%25.0%2.8%0.5%5.9M-142.8M-664.8K0.908.95N/AN/A53948362,78553,353
2013-07-17$49.53$45.0024.4%7.0%22.7%23.7%25.0%2.6%0.7%6.9M-136.0M-653.0K3.989.31N/AN/A2761,09862,89153,151
2013-07-18$49.21$45.0024.2%6.9%21.6%23.1%24.1%2.6%1.0%8.3M-120.9M-636.6K1.478.99N/AN/A1,8382,69662,50653,042
2013-07-19$49.03$45.0023.0%6.6%17.9%18.8%21.3%3.4%1.6%16.1M-114.7M-631.7K0.148.99N/AN/A4,52865463,01853,161
2013-07-22$48.91$45.0023.0%6.6%18.0%18.8%24.7%3.2%-0.1%1.8M-100.2M-602.3K12.948.45N/AN/A2,37730,75955,11148,748
2013-07-23$48.79$47.0022.9%6.6%16.9%18.4%22.9%3.3%-0.1%-3.8M-68.1M-712.1K0.579.70N/AN/A74442756,91478,921
2013-07-24$48.30$47.0024.1%6.9%17.3%22.7%23.3%2.9%-0.7%-4.6M-49.0M-715.0K2.0710.74N/AN/A1,1502,37756,98079,172
2013-07-25$48.00$47.0025.5%7.3%15.3%27.8%25.2%2.3%-1.3%-5.7M-36.2M-719.3K4.6411.93N/AN/A2,72012,61357,57180,418
2013-07-26$48.17$48.0022.9%7.3%15.0%18.2%25.5%2.3%-1.5%-7.2M-39.2M-754.9K0.5811.26N/AN/A1,67897459,18185,735
2013-07-29$48.27$48.0026.6%7.8%15.0%31.9%26.9%2.6%-2.5%-6.2M-45.2M-729.9K0.1611.32N/AN/A6,03996759,50885,772
2013-07-30$48.16$48.0029.0%8.0%14.9%41.1%27.9%2.7%-3.0%-5.8M-50.3M-755.7K1.7111.48N/AN/A1,3292,27563,61386,382
2013-07-31$48.34$48.0028.4%8.0%14.9%38.7%27.5%3.0%-3.4%-6.2M-59.6M-746.7K0.5611.89N/AN/A1,9541,09564,09887,515