M Options History — January 2014

In January 2014, M traded between $51.84 and $56.23. ATM implied volatility averaged 20.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 4.9% (HV 20d: 25.3%). 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 21 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2014-01-09: Highest Volume — 59,601 contracts
  • 2014-01-16: Largest IV spike — 28.1% change
  • 2014-01-07: Highest IV Rank — 29.5%
  • 2014-01-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.49$51.84$56.23$53.39$53.20
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.4%15.7%25.5%21.6%24.0%
Expected Move7.6%7.5%7.8%7.7%7.8%
HV 20d25.3%10.8%30.7%12.4%30.7%
HV 60d26.7%23.7%27.9%23.9%27.9%
IV Rank14.0%0.0%29.5%15.5%28.3%
IV Percentile16.9%0.0%67.1%19.8%52.4%
Term Structure4.1%0.4%5.8%0.4%4.3%
VWIV29.0%20.9%41.2%29.4%41.2%
Skew 25d2.5%2.2%3.5%2.5%3.5%
Skew 10d5.3%3.0%6.5%5.5%6.0%
Call IV 25d20.1%17.9%21.8%21.3%21.5%
Put IV 25d22.6%20.3%25.0%23.8%25.0%
Bid-Ask Spread %9.595.3117.1610.119.04
Gamma HHI0.380.210.690.500.21
Net GEX8.3M1.7M22.2M12.5M1.7M
Net DEX-150.0M-298.1M-32.5M-157.0M-32.5M
Net VEX-616.5K-693.0K-499.4K-579.4K-676.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.252.151.482.15
Total Volume8,541.811,12059,6019,0506,296
Total OI122,502.85776,387166,193141,01686,666

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$53.39$35.0021.6%7.7%12.4%15.5%29.4%2.5%0.4%12.5M-157.0M-579.4K1.4810.11N/AN/A3,6485,40269,80271,214
2014-01-03$53.54$35.0021.3%7.8%11.1%14.2%29.6%2.2%0.4%12.8M-171.3M-581.0K1.169.66N/AN/A2,7993,26071,11972,535
2014-01-06$53.15$35.0025.1%7.8%10.8%28.0%26.5%2.5%3.2%11.7M-150.0M-577.3K0.495.56N/AN/A2,5921,27571,58573,215
2014-01-07$52.18$35.0025.5%7.7%12.8%29.5%30.4%2.5%3.2%8.4M-112.1M-555.6K1.219.64N/AN/A6,5767,95572,56773,729
2014-01-08$51.84$35.0021.6%7.7%12.8%15.5%28.2%2.3%3.5%8.2M-101.8M-542.2K1.005.60N/AN/A1,9551,94674,46172,413
2014-01-09$55.80$35.0019.4%7.6%28.9%7.6%28.3%2.7%3.5%16.9M-294.9M-499.4K0.2515.58N/AN/A47,74411,85775,37173,135
2014-01-10$55.84$35.0018.5%7.6%28.9%4.3%27.7%2.6%3.8%22.2M-298.1M-612.6K0.525.31N/AN/A7,1943,74285,54578,349
2014-01-13$55.26$35.0018.9%7.6%29.1%5.8%26.6%2.4%4.2%19.0M-235.9M-606.4K1.2511.96N/AN/A5,8697,32876,79577,459
2014-01-14$55.75$35.0017.5%7.5%29.0%0.8%29.1%2.4%4.1%15.3M-261.7M-645.7K1.825.78N/AN/A1,5322,79078,48382,323
2014-01-15$55.80$35.0015.7%7.5%29.0%0.0%32.1%2.2%4.3%14.2M-266.7M-624.8K1.0512.11N/AN/A1,3901,46678,00783,275
2014-01-16$56.03$35.0020.1%7.5%29.0%15.0%0.0%2.6%4.7%7.8M-289.6M-602.3K0.808.29N/AN/A4,8753,90678,09183,835
2014-01-17$56.23$35.0018.9%7.5%28.9%11.0%27.4%2.4%5.8%4.5M-292.0M-619.3K0.2810.48N/AN/A10,2172,90479,52986,664
2014-01-21$55.56$35.0019.2%7.5%29.4%11.8%26.8%2.5%5.1%3.3M-82.0M-626.9K0.916.95N/AN/A2,0581,87339,59236,795
2014-01-22$55.38$35.0018.7%7.6%29.5%10.2%0.0%2.5%5.5%3.1M-77.2M-648.9K0.7317.16N/AN/A1,13282340,92937,941
2014-01-23$55.05$35.0018.8%7.6%29.5%10.4%20.9%2.4%5.4%2.9M-68.2M-653.3K1.228.86N/AN/A78796341,22838,403
2014-01-24$54.42$35.0019.8%7.6%29.9%13.9%30.9%2.3%5.0%2.6M-55.7M-647.4K1.0416.38N/AN/A1,9702,05041,60138,707
2014-01-27$54.18$35.0020.4%7.6%29.9%15.8%0.0%2.7%4.9%2.3M-53.9M-653.3K1.068.19N/AN/A1,6881,78741,98438,482
2014-01-28$54.47$35.0020.1%7.7%29.9%15.0%29.8%2.4%5.2%2.5M-61.4M-656.0K0.407.65N/AN/A80231842,85839,467
2014-01-29$53.39$35.0022.7%7.8%30.2%23.9%29.0%3.0%4.3%1.7M-39.4M-644.9K1.038.78N/AN/A2,3432,40843,26139,564
2014-01-30$53.91$35.0020.7%7.8%30.3%17.0%28.0%2.9%4.9%1.8M-48.6M-693.0K0.508.21N/AN/A1,24061844,42241,159
2014-01-31$53.20$35.0024.0%7.8%30.7%28.3%41.2%3.5%4.3%1.7M-32.5M-676.5K2.159.04N/AN/A1,9984,29845,35641,310