M Options History — March 2014

In March 2014, M traded between $57.30 and $59.29. ATM implied volatility averaged 21.3%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.8% (HV 20d: 22.1%). Max pain ranged from $40.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2014-03-11: Highest Volume — 19,090 contracts
  • 2014-03-06: Largest IV drop — 17.9% change
  • 2014-03-03: Highest IV Rank — 33.5%
  • 2014-03-14: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.37$57.30$59.29$57.62$59.29
Max Pain$43.43$40.00$47.00$40.00$45.00
ATM IV21.3%18.4%25.6%25.6%22.8%
Expected Move7.5%7.4%7.6%7.5%7.5%
HV 20d22.1%10.2%31.0%31.0%10.8%
HV 60d25.8%25.7%25.9%25.9%25.7%
IV Rank18.9%9.3%33.5%33.5%24.2%
IV Percentile24.1%2.8%69.4%69.4%41.3%
Term Structure3.2%-0.2%5.0%-0.2%5.0%
VWIV27.2%23.7%36.6%30.7%27.7%
Skew 25d2.1%1.6%2.6%2.0%1.9%
Skew 10d4.1%2.8%4.9%4.3%4.4%
Call IV 25d19.8%18.2%21.0%21.0%19.2%
Put IV 25d21.9%19.8%23.3%23.0%21.2%
Bid-Ask Spread %6.726.057.746.576.27
Gamma HHI0.220.150.390.190.24
Net GEX3.3M1.4M7.8M3.2M2.4M
Net DEX-88.0M-121.9M-56.9M-90.5M-78.5M
Net VEX-687.4K-704.6K-663.2K-703.9K-682.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.122.872.341.16
Total Volume3,586.33394919,0902,2461,693
Total OI77,404.38168,73584,69077,44872,008

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$57.62$40.0025.6%7.5%31.0%33.5%30.7%2.0%-0.2%3.2M-90.5M-703.9K2.346.57N/AN/A6731,57338,75138,697
2014-03-04$57.65$40.0024.2%7.5%25.4%29.0%28.4%2.6%0.9%3.5M-93.9M-694.2K0.316.58N/AN/A2,54278639,07238,622
2014-03-05$57.32$40.0023.7%7.4%25.7%27.3%27.2%2.1%1.2%3.4M-87.3M-688.7K2.316.68N/AN/A7731,78539,37338,919
2014-03-06$57.30$40.0019.5%7.4%25.8%12.9%26.9%1.6%1.9%2.9M-84.7M-683.1K1.097.50N/AN/A1,8902,06839,46339,793
2014-03-07$58.05$40.0018.4%7.4%25.2%9.3%26.5%1.7%3.3%4.4M-104.1M-671.7K0.927.56N/AN/A1,5911,47039,57739,377
2014-03-10$58.12$40.0021.4%7.5%25.1%19.4%26.6%1.8%3.2%3.9M-105.1M-667.8K1.146.58N/AN/A9951,13438,93439,038
2014-03-11$58.94$40.0022.6%7.4%25.1%23.5%28.5%1.8%3.4%3.5M-121.9M-663.2K0.137.29N/AN/A16,8552,23539,28839,570
2014-03-12$58.76$45.0018.9%7.5%25.2%11.0%25.1%2.2%3.4%3.7M-95.0M-680.2K0.726.61N/AN/A1,34297036,49040,749
2014-03-13$58.21$45.0021.6%7.6%24.8%20.1%26.3%1.9%3.3%3.0M-80.7M-701.5K0.586.18N/AN/A1,9531,12436,46041,021
2014-03-14$58.58$45.0022.2%7.6%24.8%22.0%25.8%2.3%3.1%3.1M-88.1M-698.9K0.837.74N/AN/A3,9803,31137,18541,726
2014-03-17$58.90$45.0020.6%7.5%24.8%16.6%24.1%2.3%3.7%4.0M-99.7M-700.3K1.016.26N/AN/A87487938,73642,961
2014-03-18$58.88$45.0020.0%7.5%24.6%14.7%36.6%2.3%3.7%4.2M-103.0M-690.7K0.126.68N/AN/A3,90546839,13743,103
2014-03-19$58.55$45.0021.0%7.6%24.9%18.0%23.7%2.0%3.6%3.8M-95.4M-700.3K1.226.54N/AN/A1,0091,23040,41843,298
2014-03-20$58.70$45.0020.7%7.6%24.9%17.1%25.4%2.2%4.0%2.7M-96.3M-684.9K1.996.05N/AN/A5531,10240,07743,714
2014-03-21$58.97$45.0019.3%7.5%24.9%12.3%25.5%2.3%4.1%1.4M-106.2M-671.6K1.216.68N/AN/A1,4241,71640,42244,268
2014-03-24$58.41$47.0021.0%7.5%24.7%18.1%28.0%2.2%3.8%1.9M-64.5M-676.5K2.876.34N/AN/A6131,76131,53137,204
2014-03-25$58.01$45.0020.6%7.5%14.7%16.7%26.1%2.2%3.9%1.7M-56.9M-684.1K1.786.51N/AN/A47985131,73037,861
2014-03-26$58.09$45.0020.8%7.5%10.2%17.2%26.4%1.8%3.9%1.7M-59.1M-691.6K0.816.89N/AN/A1,8301,48731,99538,076
2014-03-27$58.40$45.0021.1%7.6%10.4%18.2%28.9%2.1%3.9%3.2M-65.3M-695.4K0.386.57N/AN/A2,50193933,35838,658
2014-03-28$58.92$45.0020.5%7.5%10.8%16.3%26.0%2.2%4.6%7.8M-72.9M-704.6K1.396.98N/AN/A39755235,25139,581
2014-03-31$59.29$45.0022.8%7.5%10.8%24.2%27.7%1.9%5.0%2.4M-78.5M-682.4K1.166.27N/AN/A78490932,74439,264