M Options History — December 2013

In December 2013, M traded between $51.41 and $53.67. ATM implied volatility averaged 23.9%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.2% (HV 20d: 22.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-12-10: Highest Volume — 38,257 contracts
  • 2013-12-27: Largest IV drop — 16.0% change
  • 2013-12-04: Highest IV Rank — 45.5%
  • 2013-12-16: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.28$51.41$53.67$52.44$53.40
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.9%17.3%30.3%30.0%19.0%
Expected Move7.8%7.7%7.9%7.8%7.7%
HV 20d22.6%12.2%36.3%35.5%12.7%
HV 60d25.4%24.4%26.5%26.5%24.6%
IV Rank22.1%0.0%45.5%44.4%6.1%
IV Percentile43.6%0.0%91.3%90.5%2.4%
Term Structure0.2%-2.0%1.3%-2.0%0.7%
VWIV29.7%27.6%33.3%28.5%29.7%
Skew 25d1.2%-0.1%2.9%2.9%2.7%
Skew 10d2.8%0.1%5.4%3.1%5.4%
Call IV 25d23.6%20.4%26.6%25.1%20.8%
Put IV 25d24.8%22.4%28.1%28.1%23.5%
Bid-Ask Spread %8.303.7314.313.739.53
Gamma HHI0.310.180.550.200.51
Net GEX10.4M1.7M21.7M8.1M12.2M
Net DEX-174.5M-254.8M-122.9M-225.0M-157.3M
Net VEX-698.0K-785.1K-593.9K-756.4K-593.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.041.680.681.20
Total Volume10,158.7141,83838,25715,3072,366
Total OI162,972.667140,654182,580170,440140,654

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$52.44$35.0030.0%7.8%35.5%44.4%28.5%2.9%-2.0%8.1M-225.0M-756.4K0.683.73N/AN/A9,0896,21891,52178,919
2013-12-03$52.81$35.0028.6%7.9%35.4%39.0%0.0%2.3%-1.2%8.7M-245.0M-742.8K0.657.82N/AN/A2,8841,88292,28279,682
2013-12-04$52.04$35.0030.3%7.9%35.9%45.5%27.6%2.3%-1.2%6.6M-205.3M-729.9K0.764.71N/AN/A4,3953,34790,37177,981
2013-12-05$51.54$35.0026.4%7.9%36.3%31.2%31.0%1.7%-1.3%5.4M-182.0M-720.4K0.955.43N/AN/A2,7492,61691,56678,218
2013-12-06$51.83$35.0025.1%7.9%35.9%26.4%32.3%-0.1%-0.7%1.7M-197.6M-714.5K0.243.88N/AN/A29,7187,25391,91778,715
2013-12-09$52.19$35.0027.5%7.9%35.9%35.0%28.9%0.3%-0.1%11.3M-254.8M-785.1K0.334.09N/AN/A4,8161,600105,43376,908
2013-12-10$51.78$35.0025.6%7.9%35.9%28.2%33.3%0.3%0.4%10.1M-232.9M-773.1K0.044.53N/AN/A36,9141,343105,06477,516
2013-12-11$52.08$35.0025.8%7.9%35.1%28.9%30.3%0.2%0.4%9.8M-164.9M-770.5K0.3014.31N/AN/A9,2192,74787,76478,231
2013-12-12$51.65$35.0024.7%7.9%16.1%24.9%28.0%-0.1%0.4%8.5M-148.0M-735.8K0.964.97N/AN/A1,7031,63788,63579,272
2013-12-13$51.41$35.0024.4%7.9%16.2%23.8%30.7%0.6%0.5%4.4M-122.9M-713.3K0.424.72N/AN/A7,7503,25589,06679,196
2013-12-16$51.61$35.0024.7%7.9%16.0%24.6%27.8%0.6%0.1%10.3M-143.6M-704.8K0.375.83N/AN/A3,8731,42989,30176,769
2013-12-17$51.67$35.0024.1%7.9%15.3%22.6%0.0%0.3%0.5%11.5M-149.3M-700.8K1.688.86N/AN/A3,6066,06991,22477,308
2013-12-18$52.14$35.0023.0%7.9%15.5%18.4%29.2%0.2%0.9%14.1M-172.4M-707.5K0.5713.85N/AN/A4,5092,54991,60482,299
2013-12-19$52.23$35.0022.0%7.8%15.1%14.8%29.8%0.9%1.1%16.5M-166.3M-677.0K0.2410.53N/AN/A5,2391,24990,83581,992
2013-12-20$52.27$35.0021.4%7.8%15.0%12.5%29.3%1.4%1.1%21.7M-164.1M-653.4K0.648.56N/AN/A11,7927,52191,53482,045
2013-12-23$52.85$35.0021.3%7.8%15.2%12.3%27.8%1.5%1.2%10.9M-141.1M-660.5K0.3313.37N/AN/A2,77892770,34770,358
2013-12-24$52.71$35.0021.0%7.8%13.6%11.1%28.4%1.4%1.3%10.5M-147.1M-652.7K0.519.60N/AN/A1,21762170,83070,659
2013-12-26$52.83$35.0020.6%7.8%12.9%9.6%0.0%1.8%1.3%12.4M-139.2M-632.4K0.9413.46N/AN/A1,3771,28871,42770,989
2013-12-27$52.70$35.0017.3%7.7%12.2%0.0%30.7%1.7%1.2%10.1M-135.3M-630.1K1.3512.13N/AN/A2,3453,15871,82671,304
2013-12-30$53.67$35.0018.7%7.7%13.8%5.0%30.9%2.2%0.7%13.5M-169.5M-603.4K0.2810.33N/AN/A6,4711,81469,96170,903
2013-12-31$53.40$35.0019.0%7.7%12.7%6.1%29.7%2.7%0.7%12.2M-157.3M-593.9K1.209.53N/AN/A1,0771,28969,57271,082