M Options History — November 2013

In November 2013, M traded between $45.96 and $53.54. ATM implied volatility averaged 27.6%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.2% (HV 20d: 27.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-11-13: Highest Volume — 63,669 contracts
  • 2013-11-06: Largest IV spike — 56.5% change
  • 2013-11-07: Highest IV Rank — 98.0%
  • 2013-11-07: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.45$45.96$53.54$45.96$53.26
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV27.6%19.4%44.6%22.6%27.6%
Expected Move7.9%7.7%8.1%8.0%7.8%
HV 20d27.8%15.9%34.8%20.4%34.7%
HV 60d25.0%20.4%27.5%22.8%26.7%
IV Rank35.3%5.4%98.0%17.0%35.6%
IV Percentile46.5%2.0%99.2%26.2%81.3%
Term Structure-0.6%-6.4%1.4%-6.4%-1.1%
VWIV28.8%25.8%32.4%32.4%26.9%
Skew 25d2.5%1.4%3.2%2.9%3.2%
Skew 10d5.6%3.3%10.8%6.3%4.3%
Call IV 25d23.2%19.0%31.8%31.8%23.1%
Put IV 25d25.8%20.8%34.7%34.7%26.3%
Bid-Ask Spread %4.402.8815.153.544.96
Gamma HHI0.170.130.280.200.28
Net GEX9.1M6.9M12.5M9.3M7.7M
Net DEX-221.9M-458.9M-105.3M-111.6M-272.2M
Net VEX-738.0K-853.6K-629.9K-853.6K-764.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.301.820.440.30
Total Volume16,313.052,34263,6694,21814,313
Total OI167,858.7140,493215,935165,368172,326

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$45.96$35.0022.6%8.0%20.4%17.0%0.0%2.9%-6.4%9.3M-111.6M-853.6K0.443.54N/AN/A2,9341,28491,88673,482
2013-11-04$46.49$35.0025.8%7.9%18.0%28.9%0.0%3.1%-0.9%8.7M-132.3M-832.6K0.343.77N/AN/A3,9851,35289,83873,130
2013-11-05$46.14$35.0025.1%7.9%17.5%26.1%32.4%2.8%-1.1%8.9M-114.9M-817.5K0.893.19N/AN/A2,0591,82590,85273,582
2013-11-06$46.40$35.0039.2%7.9%17.3%78.3%31.3%3.1%-1.2%9.3M-127.7M-820.9K0.733.62N/AN/A3,1732,32991,70174,189
2013-11-07$45.96$35.0044.6%8.1%17.0%98.0%28.4%2.5%-2.0%8.2M-105.3M-825.8K0.393.99N/AN/A10,7674,19492,45675,462
2013-11-08$46.18$35.0041.0%8.1%15.9%84.8%28.5%2.5%-2.1%10.1M-126.4M-848.3K0.764.22N/AN/A8,7916,653100,31076,861
2013-11-11$47.07$35.0043.5%8.0%16.6%94.0%28.4%2.5%-1.3%11.8M-179.9M-807.7K0.503.55N/AN/A14,7477,325100,64278,739
2013-11-12$46.33$35.0042.4%7.9%18.0%89.8%0.0%1.4%-1.5%12.5M-138.2M-811.3K0.644.14N/AN/A27,98317,855107,20081,749
2013-11-13$50.68$35.0025.8%7.8%34.3%28.9%30.2%2.9%-0.4%8.6M-458.9M-638.1K0.353.66N/AN/A47,07916,590119,97484,581
2013-11-14$50.68$35.0023.7%7.9%34.3%21.0%29.1%3.1%0.2%8.9M-434.9M-664.0K0.394.80N/AN/A15,7686,216120,42188,285
2013-11-15$51.09$35.0022.1%7.8%34.2%15.3%27.2%3.2%0.4%9.6M-450.7M-667.4K0.424.62N/AN/A12,9505,423125,36090,575
2013-11-18$50.47$35.0020.9%7.7%34.7%10.7%26.2%2.9%1.0%7.6M-180.9M-671.2K1.823.32N/AN/A2,8275,13676,81163,682
2013-11-19$50.41$35.0021.0%7.8%34.8%11.1%30.0%2.4%1.1%6.9M-177.0M-680.9K0.413.31N/AN/A7,4383,04178,08066,250
2013-11-20$50.96$35.0020.9%7.8%34.7%10.9%0.0%1.7%0.6%8.3M-206.0M-684.6K0.573.81N/AN/A4,5502,60380,71267,015
2013-11-21$50.81$35.0020.4%7.8%34.8%9.0%0.0%1.9%1.0%8.7M-196.9M-701.6K0.834.22N/AN/A1,2781,06481,21167,075
2013-11-22$51.26$35.0019.4%7.7%34.6%5.4%25.8%1.9%1.4%8.1M-217.6M-680.1K0.903.84N/AN/A4,9104,42481,45367,155
2013-11-25$52.28$35.0020.1%7.7%34.8%7.7%27.2%1.8%1.1%9.0M-246.7M-629.9K0.593.43N/AN/A5,3653,16980,42566,349
2013-11-26$52.94$35.0022.0%7.8%34.7%14.8%31.8%2.1%-0.0%10.3M-265.3M-661.4K0.762.88N/AN/A11,5928,80781,68766,669
2013-11-27$53.54$35.0023.2%7.8%34.8%19.2%28.7%2.7%-0.3%10.1M-293.9M-699.1K0.7615.15N/AN/A13,86510,59785,79273,207
2013-11-29$53.26$35.0027.6%7.8%34.7%35.6%26.9%3.2%-1.1%7.7M-272.2M-764.6K0.304.96N/AN/A10,9873,32692,40579,921