M Options History — April 2014

In April 2014, M traded between $56.83 and $60.64. ATM implied volatility averaged 24.5%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.5% (HV 20d: 18.0%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2014-04-17: Highest Volume — 7,408 contracts
  • 2014-04-10: Largest IV spike — 54.5% change
  • 2014-04-23: Highest IV Rank — 43.4%
  • 2014-04-11: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.24$56.83$60.64$59.51$57.43
Max Pain$46.52$45.00$47.00$45.00$47.00
ATM IV24.5%17.0%28.5%22.4%25.7%
Expected Move7.5%7.4%7.6%7.4%7.4%
HV 20d18.0%10.8%22.2%10.8%22.2%
HV 60d23.0%20.8%25.8%25.7%20.8%
IV Rank29.9%4.3%43.4%22.7%33.8%
IV Percentile57.2%0.4%88.1%37.3%68.3%
Term Structure-1.0%-4.3%7.0%5.4%-4.2%
VWIV27.7%24.3%37.1%28.9%28.1%
Skew 25d2.8%1.9%3.2%1.9%2.7%
Skew 10d5.8%4.3%7.5%4.3%6.6%
Call IV 25d24.4%17.2%27.5%18.7%27.5%
Put IV 25d27.2%19.4%30.2%20.5%30.2%
Bid-Ask Spread %7.226.238.507.468.41
Gamma HHI0.170.120.250.220.16
Net GEX1.5M-272.1K4.6M2.4M1.4M
Net DEX-53.3M-102.7M-13.1M-81.9M-44.4M
Net VEX-668.6K-709.5K-634.9K-690.3K-639.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.154.530.520.43
Total Volume2,9231,2447,4082,5961,777
Total OI75,803.57169,10182,16572,88674,275

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$59.51$45.0022.4%7.4%10.8%22.7%28.9%1.9%5.4%2.4M-81.9M-690.3K0.527.46N/AN/A1,70788933,25239,634
2014-04-02$60.64$45.0022.5%7.4%12.0%23.1%30.9%2.5%5.5%2.9M-101.1M-672.2K0.536.90N/AN/A2,1081,12733,78440,006
2014-04-03$60.60$45.0019.7%7.5%12.0%13.7%0.0%2.3%7.0%4.6M-102.7M-673.0K0.286.91N/AN/A2,07557735,27140,681
2014-04-04$59.74$45.0019.3%7.5%12.8%12.2%29.8%2.9%-0.0%2.7M-86.9M-702.4K3.496.90N/AN/A1,0303,59135,87041,050
2014-04-07$58.26$45.0026.4%7.6%15.9%36.3%37.1%2.9%-1.2%768.6K-49.8M-708.5K2.746.71N/AN/A1,3663,74234,24943,232
2014-04-08$58.38$47.0025.2%7.5%15.1%32.2%26.8%3.2%-1.0%-175.7K-44.8M-709.5K0.866.27N/AN/A2,4042,07434,43345,071
2014-04-09$58.84$47.0017.0%7.4%15.3%4.3%30.6%3.2%-0.6%-272.1K-52.9M-694.7K0.156.51N/AN/A2,63340134,74345,081
2014-04-10$58.07$47.0026.2%7.6%15.7%35.7%26.0%2.9%-1.1%320.3K-36.0M-695.7K0.897.19N/AN/A78269836,06345,332
2014-04-11$56.90$47.0026.9%7.6%17.0%38.2%27.0%3.2%-1.4%36.2K-13.1M-682.5K1.506.23N/AN/A9971,49736,57945,586
2014-04-14$56.98$47.0027.0%7.5%16.9%38.4%27.7%3.0%-1.8%788.0K-19.4M-670.9K0.756.38N/AN/A71053434,59844,693
2014-04-15$57.58$47.0026.8%7.5%17.4%37.7%26.6%3.1%-1.8%1.1M-29.7M-670.7K1.448.50N/AN/A63090734,69344,884
2014-04-16$58.66$47.0026.7%7.5%18.7%37.3%0.0%2.7%-1.5%1.7M-50.0M-658.9K0.436.92N/AN/A1,46062134,61344,457
2014-04-17$56.83$47.0026.1%7.4%21.8%35.5%26.3%3.2%-1.3%895.9K-13.3M-656.9K4.538.15N/AN/A1,3406,06835,77244,701
2014-04-21$57.33$47.0026.2%7.4%22.0%35.8%24.7%2.7%-2.3%1.5M-47.0M-643.7K0.757.33N/AN/A73655031,40437,697
2014-04-22$57.52$47.0026.1%7.4%21.8%35.3%27.5%3.0%-2.4%1.6M-49.4M-645.9K0.897.49N/AN/A1,04592731,68137,841
2014-04-23$58.12$47.0028.5%7.4%22.0%43.4%24.4%3.0%-4.3%1.9M-58.4M-644.5K0.167.42N/AN/A3,11250532,00138,263
2014-04-24$58.05$47.0026.9%7.4%22.0%38.0%26.2%2.7%-3.0%2.7M-66.1M-652.4K0.327.65N/AN/A4,1661,33534,36938,235
2014-04-25$57.57$47.0020.3%7.4%22.1%15.7%25.9%2.7%-3.0%870.3K-51.7M-656.7K1.288.20N/AN/A65283333,86139,298
2014-04-28$58.02$47.0023.6%7.4%22.1%26.8%0.0%2.8%-3.7%2.2M-60.1M-636.5K0.896.96N/AN/A70762733,23838,704
2014-04-29$58.10$47.0024.7%7.4%21.9%30.7%24.3%2.9%-4.2%2.2M-59.9M-634.9K2.347.19N/AN/A7321,71133,52839,152
2014-04-30$57.43$47.0025.7%7.4%22.2%33.8%28.1%2.7%-4.2%1.4M-44.4M-639.5K0.438.41N/AN/A1,24653133,98840,287