M Options History — August 2013

In August 2013, M traded between $43.47 and $49.67. ATM implied volatility averaged 26.3%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.7% (HV 20d: 20.6%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2013-08-14: Highest Volume — 48,548 contracts
  • 2013-08-14: Largest IV drop — 47.0% change
  • 2013-08-13: Highest IV Rank — 100.0%
  • 2013-08-12: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.45$43.47$49.67$49.27$44.43
Max Pain$47.32$46.00$49.00$48.00$46.00
ATM IV26.3%20.2%45.1%21.3%22.2%
Expected Move7.0%6.3%8.2%7.9%6.9%
HV 20d20.6%13.5%26.4%16.4%25.0%
HV 60d20.4%18.5%21.9%19.0%21.0%
IV Rank30.8%8.2%100.0%12.2%15.6%
IV Percentile43.7%2.8%100.0%12.7%18.7%
Term Structure0.2%-3.6%2.1%-3.6%1.1%
VWIV24.7%22.7%28.5%27.6%24.6%
Skew 25d2.4%1.1%3.7%3.3%1.2%
Skew 10d4.5%1.6%7.9%7.9%1.6%
Call IV 25d23.5%21.2%27.1%25.5%24.0%
Put IV 25d25.9%23.5%30.2%28.8%25.2%
Bid-Ask Spread %7.454.5512.7812.788.49
Gamma HHI0.200.080.880.260.10
Net GEX-7.0M-74.5M2.3M-4.1M495.8K
Net DEX-5.0M-114.5M138.6M-102.7M32.7M
Net VEX-736.2K-789.3K-681.9K-720.5K-780.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.185.782.531.71
Total Volume13,627.1361,92348,54811,8994,821
Total OI152,827.909116,566213,732152,281136,062

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$49.27$48.0021.3%7.9%16.4%12.2%27.6%3.3%-3.6%-4.1M-102.7M-720.5K2.5312.78N/AN/A3,3678,53264,09688,185
2013-08-02$49.46$48.0020.2%7.9%15.6%8.2%26.9%3.6%-3.6%-4.7M-99.7M-714.5K0.3411.72N/AN/A1,43648764,26694,228
2013-08-05$49.67$47.0024.5%6.9%13.5%24.2%24.3%3.3%0.5%-4.9M-109.8M-686.3K0.754.55N/AN/A2,2151,66463,89092,207
2013-08-06$48.44$47.0030.8%7.4%16.0%47.7%25.4%3.4%-0.1%-7.6M-48.8M-716.8K1.898.19N/AN/A3,1195,88264,70493,413
2013-08-07$47.83$47.0032.0%7.2%15.4%52.0%25.5%3.3%0.3%-10.1M-11.7M-716.7K1.4411.28N/AN/A3,9345,67765,83296,486
2013-08-08$48.23$48.0031.4%7.2%15.6%50.0%24.7%3.7%0.4%-11.9M-31.0M-707.8K2.638.35N/AN/A5,13913,52966,51398,165
2013-08-09$48.52$49.0032.1%7.5%15.8%52.4%26.1%3.2%-0.1%-20.6M-70.1M-681.9K0.617.66N/AN/A15,3629,29869,30993,842
2013-08-12$48.11$49.0041.1%8.2%14.7%85.8%28.5%3.1%-1.4%-4.2M-75.3M-754.5K0.556.25N/AN/A14,7168,12078,84795,910
2013-08-13$48.50$48.0045.1%7.9%14.8%100.0%27.3%2.6%-0.9%-1.6M-114.5M-789.3K0.784.90N/AN/A14,64911,45087,19099,435
2013-08-14$46.33$48.0023.9%6.8%21.7%21.8%23.7%1.7%1.3%-6.8M38.6M-709.6K2.036.38N/AN/A16,04032,50891,672104,813
2013-08-15$46.30$48.0023.8%6.8%21.7%21.3%25.1%2.2%1.4%-5.4M23.2M-772.9K1.434.94N/AN/A9,99814,27997,261116,471
2013-08-16$44.99$48.0022.7%6.5%23.5%17.5%23.0%2.3%2.1%-74.5M138.6M-761.9K0.685.64N/AN/A12,4848,47699,634112,543
2013-08-19$44.95$48.0022.3%6.4%23.5%15.8%23.4%2.2%0.9%-539.2K30.6M-738.9K0.307.54N/AN/A4,9721,48056,23061,685
2013-08-20$45.61$48.0022.8%6.5%24.5%17.9%22.8%1.7%0.5%410.7K15.1M-745.2K0.186.61N/AN/A9,7751,71855,42161,145
2013-08-21$44.93$46.0023.3%6.7%24.7%19.6%23.5%1.8%0.5%2.3M23.6M-754.3K0.676.59N/AN/A2,0131,35663,53361,949
2013-08-22$44.95$47.0022.7%6.5%24.7%17.3%22.7%2.0%0.8%1.3M27.9M-749.7K0.527.91N/AN/A1,35770563,17662,592
2013-08-23$44.79$47.0022.1%6.3%24.6%15.1%22.7%2.0%1.4%-92.2K35.9M-742.4K5.787.92N/AN/A2,26313,07163,40862,959
2013-08-26$44.16$46.0022.7%6.5%24.8%17.5%22.9%1.9%1.1%-1.1M54.4M-721.7K0.256.21N/AN/A10,3352,61560,12364,021
2013-08-27$43.47$46.0023.9%6.8%25.1%21.7%24.0%1.7%0.5%-1.2M66.0M-705.2K1.336.98N/AN/A2,1112,80864,92763,025
2013-08-28$44.32$46.0024.0%6.9%26.4%22.3%24.1%1.1%1.0%-19.6K39.9M-745.1K0.706.19N/AN/A5,7714,02265,73663,114
2013-08-29$44.61$46.0023.7%6.8%25.3%20.9%24.5%1.4%1.1%716.2K27.5M-780.3K0.276.85N/AN/A4,9241,31968,99765,199
2013-08-30$44.43$46.0022.2%6.9%25.0%15.6%24.6%1.2%1.1%495.8K32.7M-780.3K1.718.49N/AN/A1,7783,04370,31465,748