M Options History — September 2013

In September 2013, M traded between $42.80 and $46.02. ATM implied volatility averaged 23.7%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.8% (HV 20d: 24.6%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2013-09-05: Highest Volume — 40,980 contracts
  • 2013-09-30: Largest IV spike — 17.3% change
  • 2013-09-10: Highest IV Rank — 34.3%
  • 2013-09-06: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.47$42.80$46.02$44.28$43.27
Max Pain$45.00$44.00$46.00$46.00$44.00
ATM IV23.7%21.6%27.3%26.7%26.2%
Expected Move6.7%6.2%7.1%7.1%6.8%
HV 20d24.6%22.3%27.5%24.8%23.9%
HV 60d21.8%21.0%22.6%21.0%21.9%
IV Rank21.2%13.4%34.3%32.1%30.3%
IV Percentile36.6%14.3%77.0%69.4%65.9%
Term Structure2.6%0.9%3.9%1.0%3.2%
VWIV23.8%21.9%25.3%25.3%24.2%
Skew 25d1.9%1.2%2.7%1.4%2.0%
Skew 10d3.6%1.9%5.3%1.9%3.9%
Call IV 25d22.9%21.4%24.4%24.4%23.1%
Put IV 25d24.8%23.2%26.7%25.9%25.1%
Bid-Ask Spread %7.074.689.347.217.80
Gamma HHI0.160.080.410.080.09
Net GEX3.5M-3.2M14.0M-48.0K1.1M
Net DEX16.4M-26.9M77.3M40.7M19.0M
Net VEX-761.2K-846.2K-706.4K-754.0K-716.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.143.051.611.16
Total Volume10,326.452,64340,9803,8362,957
Total OI158,111.7129,810195,545135,865129,810

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$44.28$46.0026.7%7.1%24.8%32.1%25.3%1.4%1.0%-48.0K40.7M-754.0K1.617.21N/AN/A1,4722,36469,58266,283
2013-09-04$44.80$46.0026.2%6.7%24.4%30.4%24.5%1.3%1.5%51.3K27.1M-770.2K0.279.34N/AN/A2,10057270,10767,640
2013-09-05$46.02$46.0024.2%6.9%26.5%22.9%23.9%1.6%0.9%3.2M-17.7M-806.8K0.156.94N/AN/A35,7085,27270,67867,756
2013-09-06$45.08$45.0023.8%7.1%27.0%21.5%25.1%2.7%1.9%9.1M-11.0M-846.2K0.506.72N/AN/A6,0753,035100,93568,816
2013-09-09$45.40$45.0026.7%7.1%27.0%32.1%25.0%2.3%2.1%9.3M-19.5M-818.9K0.466.13N/AN/A1,80983499,51167,118
2013-09-10$44.58$45.0027.3%7.0%27.5%34.3%25.0%2.5%2.2%5.2M20.4M-766.7K0.468.35N/AN/A2,7861,269100,37667,298
2013-09-11$44.14$45.0022.9%6.9%27.2%18.2%24.1%2.5%2.5%3.5M35.6M-743.0K0.965.50N/AN/A1,6741,600100,17067,765
2013-09-12$43.53$45.0023.5%6.7%22.8%20.4%23.6%2.4%2.5%319.7K60.2M-706.4K0.957.72N/AN/A1,7741,679100,99968,059
2013-09-13$44.70$45.0022.8%6.5%25.2%17.8%23.2%1.9%2.8%6.2M10.9M-754.4K1.407.62N/AN/A4,3496,068101,85668,448
2013-09-16$44.97$45.0023.2%6.7%23.2%19.2%23.2%1.8%2.6%6.2M2.1M-735.7K0.485.47N/AN/A3,2101,531101,53671,044
2013-09-17$45.05$45.0023.0%6.6%23.2%18.5%22.8%1.6%2.8%6.3M2.5M-726.3K0.355.27N/AN/A3,9781,377101,94271,607
2013-09-18$45.58$45.0022.3%6.4%22.9%15.8%25.3%1.4%3.1%14.0M-26.9M-724.5K1.567.73N/AN/A7,37211,531105,13571,635
2013-09-19$45.45$45.0022.3%6.4%22.3%15.8%22.1%1.2%3.3%12.2M-25.5M-790.7K0.147.84N/AN/A9,0461,311109,59880,505
2013-09-20$44.62$45.0021.6%6.2%23.3%13.4%21.9%1.8%3.8%-1.2M25.6M-798.7K0.396.60N/AN/A9,4983,708114,72180,824
2013-09-23$44.69$45.0021.7%6.2%23.3%13.6%22.4%1.7%3.6%3.6M-9.9M-778.6K3.057.08N/AN/A1,9375,90266,85465,791
2013-09-24$43.58$45.0022.3%6.4%24.4%15.9%22.9%2.2%3.4%-1.6M42.4M-733.3K1.899.16N/AN/A2,9345,55064,28269,547
2013-09-25$42.80$45.0023.2%6.7%24.6%19.3%24.1%2.3%2.7%-3.2M77.3M-710.7K0.744.68N/AN/A19,43314,37465,62173,433
2013-09-26$43.32$44.0022.7%6.5%24.0%17.2%24.5%2.1%3.2%-2.2M46.5M-803.1K2.827.08N/AN/A2,1185,97377,45077,167
2013-09-27$43.52$44.0022.3%6.3%23.9%16.0%22.5%1.9%3.9%-2.5M29.2M-739.7K0.567.21N/AN/A7,9294,42073,29867,037
2013-09-30$43.27$44.0026.2%6.8%23.9%30.3%24.2%2.0%3.2%1.1M19.0M-716.0K1.167.80N/AN/A1,3701,58769,89359,917