M Options History — May 2014

In May 2014, M traded between $55.10 and $59.89. ATM implied volatility averaged 24.3%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.5% (HV 20d: 20.8%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2014-05-13: Highest Volume — 44,630 contracts
  • 2014-05-14: Largest IV drop — 54.6% change
  • 2014-05-12: Highest IV Rank — 100.0%
  • 2014-05-08: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.37$55.10$59.89$56.93$59.89
Max Pain$47.00$47.00$47.00$47.00$47.00
ATM IV24.3%17.0%47.1%21.4%17.0%
Expected Move7.2%6.9%7.4%7.3%6.9%
HV 20d20.8%18.1%21.7%20.9%20.7%
HV 60d20.4%18.2%22.5%20.9%18.5%
IV Rank28.4%4.1%100.0%19.4%4.1%
IV Percentile33.7%0.8%100.0%25.0%1.2%
Term Structure-0.4%-5.3%2.2%-5.2%0.7%
VWIV26.4%23.8%27.9%27.9%25.9%
Skew 25d2.7%2.1%3.2%2.7%2.4%
Skew 10d5.5%4.4%6.7%4.9%6.2%
Call IV 25d20.7%16.5%28.2%28.2%16.5%
Put IV 25d23.4%18.8%31.0%31.0%18.9%
Bid-Ask Spread %8.366.9511.118.038.42
Gamma HHI0.170.110.390.170.38
Net GEX2.5M88.1K12.6M1.8M5.7M
Net DEX-38.1M-84.6M177.1K-37.7M-72.4M
Net VEX-667.4K-726.2K-612.4K-623.4K-659.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.393.500.670.65
Total Volume8,451.1431,70544,6301,7055,715
Total OI84,242.09565,725129,31575,20974,952

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$56.93$47.0021.4%7.3%20.9%19.4%0.0%2.7%-5.2%1.8M-37.7M-623.4K0.678.03N/AN/A1,02268334,72440,485
2014-05-02$57.19$47.0020.4%7.3%21.1%16.1%27.9%2.1%-5.3%1.4M-41.0M-627.5K1.287.71N/AN/A1,2131,55035,36740,714
2014-05-05$56.67$47.0022.8%7.3%20.8%24.3%27.3%3.2%-0.1%1.3M-32.5M-612.4K0.768.20N/AN/A3,8542,94834,45041,052
2014-05-06$55.10$47.0024.6%7.4%21.2%30.1%25.5%3.1%-0.5%345.4K177.1K-623.4K0.398.30N/AN/A3,8161,49137,75643,307
2014-05-07$55.23$47.0033.4%7.4%21.2%60.2%27.9%2.9%-0.6%900.8K-158.1K-629.9K3.507.65N/AN/A1,3374,67939,07744,185
2014-05-08$55.97$47.0034.4%7.4%21.7%63.6%27.7%2.8%-0.9%2.2M-14.9M-669.0K0.867.96N/AN/A3,9433,39039,63747,314
2014-05-09$56.35$47.0034.7%7.3%21.5%64.6%25.9%2.9%-0.1%552.2K-23.8M-674.5K3.347.08N/AN/A6182,06341,64950,178
2014-05-12$57.39$47.0045.4%7.3%21.4%100.0%27.0%2.6%-0.6%2.2M-45.1M-665.7K0.638.20N/AN/A5,4693,44239,40950,641
2014-05-13$57.84$47.0047.1%7.4%21.6%100.0%26.2%2.6%-1.4%3.3M-61.1M-687.8K0.9611.11N/AN/A22,76921,86143,06852,794
2014-05-14$57.83$47.0021.4%7.2%21.3%18.2%26.5%2.3%1.3%5.8M-65.7M-726.2K1.098.78N/AN/A16,29217,74660,25669,059
2014-05-15$57.06$47.0020.6%7.2%20.6%15.5%25.6%2.8%2.0%1.9M-30.5M-717.0K0.688.30N/AN/A9,6716,62259,72961,512
2014-05-16$58.07$47.0019.9%7.2%18.3%13.4%27.5%2.6%2.2%12.6M-84.6M-684.8K0.396.95N/AN/A5,8962,27355,85762,472
2014-05-19$58.10$47.0019.1%7.1%18.1%10.7%27.3%2.9%0.4%1.7M-40.5M-674.6K0.637.36N/AN/A2,6621,67130,77934,946
2014-05-20$56.51$47.0018.9%7.0%20.6%10.2%25.7%2.7%0.4%382.8K-14.5M-666.3K2.428.43N/AN/A1,3613,28932,02335,622
2014-05-21$56.80$47.0018.3%7.0%20.3%8.2%23.8%3.1%0.0%88.1K-15.2M-680.9K1.647.80N/AN/A1,2582,06632,43937,612
2014-05-22$57.61$47.0018.1%7.0%21.1%7.8%26.9%2.4%0.0%1.6M-31.5M-695.0K0.408.74N/AN/A1,86475233,12638,911
2014-05-23$58.05$47.0017.8%7.0%21.0%6.8%27.2%2.2%0.1%3.5M-40.8M-693.3K2.078.59N/AN/A1,4903,07733,32338,931
2014-05-27$58.41$47.0018.6%6.9%20.9%9.3%25.1%2.4%-0.5%1.6M-43.2M-672.4K1.3910.47N/AN/A1,2571,74732,54040,118
2014-05-28$58.60$47.0018.8%7.0%21.0%9.8%25.4%2.7%-0.8%1.1M-45.5M-687.8K0.438.42N/AN/A1,33857933,11341,153
2014-05-29$59.16$47.0017.0%6.9%20.7%4.1%25.8%2.7%0.9%3.3M-60.3M-643.3K0.659.17N/AN/A1,6341,06633,43941,365
2014-05-30$59.89$47.0017.0%6.9%20.7%4.1%25.9%2.4%0.7%5.7M-72.4M-659.6K0.658.42N/AN/A3,4542,26133,44741,505