M Options History — February 2014

In February 2014, M traded between $50.91 and $57.96. ATM implied volatility averaged 26.1%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.0% (HV 20d: 27.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-02-21: Highest Volume — 28,371 contracts
  • 2014-02-13: Largest IV spike — 28.3% change
  • 2014-02-03: Highest IV Rank — 58.4%
  • 2014-02-03: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.76$50.91$57.96$50.91$57.86
Max Pain$36.47$35.00$40.00$35.00$40.00
ATM IV26.1%19.9%32.9%32.9%19.9%
Expected Move7.8%7.5%8.0%8.0%7.5%
HV 20d27.1%22.3%34.9%34.4%31.5%
HV 60d25.7%22.8%29.7%29.4%25.9%
IV Rank35.4%14.2%58.4%58.4%14.2%
IV Percentile63.4%7.9%95.2%95.2%7.9%
Term Structure-0.3%-3.1%4.0%2.4%0.4%
VWIV28.3%25.3%32.1%28.3%28.3%
Skew 25d3.0%1.8%3.9%2.9%1.8%
Skew 10d6.3%3.8%8.0%6.3%3.8%
Call IV 25d24.6%19.6%27.2%25.9%19.6%
Put IV 25d27.6%21.4%30.8%28.8%21.4%
Bid-Ask Spread %8.175.9711.0911.096.63
Gamma HHI0.160.100.360.130.20
Net GEX3.3M-75.3K17.1M-75.3K4.2M
Net DEX-71.4M-205.8M11.1M11.1M-205.8M
Net VEX-672.8K-711.6K-642.5K-647.2K-699.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.101.780.720.98
Total Volume7,415.7891,05228,3717,3643,901
Total OI94,817.52680,644103,06987,623103,069

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$50.91$35.0032.9%8.0%34.4%58.4%28.3%2.9%2.4%-75.3K11.1M-647.2K0.7211.09N/AN/A4,2763,08844,97042,653
2014-02-04$50.97$35.0031.6%7.9%34.4%54.2%0.0%2.4%3.8%-20.1K10.3M-653.4K0.239.96N/AN/A5,4651,28046,40043,658
2014-02-05$51.35$35.0032.8%7.9%34.0%58.1%31.0%2.3%3.3%1.6M-12.1M-682.2K0.7510.29N/AN/A2,8042,11450,67044,230
2014-02-06$52.54$35.0026.7%7.9%34.9%37.4%32.1%3.5%4.0%1.8M-35.4M-692.5K1.0410.69N/AN/A1,8851,96750,51544,430
2014-02-07$53.09$35.0022.9%7.8%22.3%24.4%32.1%3.8%-0.9%2.4M-50.6M-686.9K1.509.42N/AN/A1,5642,35351,41944,919
2014-02-10$52.91$35.0025.6%7.9%22.3%33.5%0.0%3.9%-1.4%1.7M-45.6M-684.3K0.938.54N/AN/A80274849,37843,857
2014-02-11$53.57$35.0024.3%7.9%22.7%29.2%26.5%3.7%-1.5%1.5M-53.5M-677.3K0.9410.93N/AN/A2,7092,54549,71144,155
2014-02-12$52.82$35.0021.8%7.8%22.8%20.6%26.6%3.9%-1.3%980.1K-39.0M-683.6K0.976.83N/AN/A81178550,91844,851
2014-02-13$53.14$35.0027.9%7.9%23.0%41.5%26.9%3.8%-1.3%1.1M-51.1M-688.1K0.777.70N/AN/A59545751,06245,155
2014-02-14$53.40$35.0027.5%7.8%23.0%40.0%29.3%3.1%-1.1%1.9M-58.2M-677.3K1.788.38N/AN/A1,0741,91051,39845,266
2014-02-18$53.15$35.0027.8%7.8%22.9%41.0%26.1%2.7%-1.5%1.0M-51.5M-659.2K0.677.59N/AN/A1,44896850,98545,398
2014-02-19$53.34$35.0028.4%7.8%22.7%43.3%27.4%2.9%-2.2%871.5K-54.0M-661.5K0.807.41N/AN/A1,06785251,26145,840
2014-02-20$53.46$35.0028.7%7.8%22.8%44.1%25.3%2.7%-2.4%1.0M-57.6M-645.8K0.226.55N/AN/A8,1751,77350,22245,314
2014-02-21$53.71$38.0027.2%7.7%22.8%39.2%30.1%3.1%-1.6%7.7M-71.1M-642.5K0.105.97N/AN/A25,8892,48255,67446,057
2014-02-24$53.06$40.0027.2%7.7%22.9%38.9%30.2%3.1%-3.1%5.4M-39.8M-657.2K0.766.91N/AN/A8,3786,35347,59233,052
2014-02-25$56.25$40.0021.4%7.5%31.1%19.3%26.4%2.5%-0.7%17.1M-145.3M-673.0K0.736.64N/AN/A11,4838,43752,17936,958
2014-02-26$57.96$40.0021.1%7.5%32.7%18.3%26.9%2.5%0.0%8.0M-205.8M-659.3K1.287.44N/AN/A6,7598,65855,18140,864
2014-02-27$57.86$40.0020.8%7.5%31.6%17.5%28.1%2.5%0.3%5.0M-201.6M-711.6K0.586.19N/AN/A3,1901,85556,98045,292
2014-02-28$57.86$40.0019.9%7.5%31.5%14.2%28.3%1.8%0.4%4.2M-205.8M-699.3K0.986.63N/AN/A1,9721,92957,77145,298