M Options History — June 2014

In June 2014, M traded between $57.23 and $60.05. ATM implied volatility averaged 18.8%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.7% (HV 20d: 16.0%). Max pain ranged from $47.00 to $55.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2014-06-23: Highest Volume — 14,145 contracts
  • 2014-06-04: Largest IV spike — 13.6% change
  • 2014-06-04: Highest IV Rank — 21.2%
  • 2014-06-13: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.51$57.23$60.05$60.05$58.02
Max Pain$52.95$47.00$55.00$47.00$55.00
ATM IV18.8%16.5%22.4%19.7%18.6%
Expected Move6.8%6.5%7.0%6.9%6.5%
HV 20d16.0%12.8%20.7%20.7%13.2%
HV 60d18.7%18.4%18.9%18.5%18.7%
IV Rank9.8%2.5%21.2%12.7%9.1%
IV Percentile8.6%0.4%38.1%11.9%9.1%
Term Structure2.9%0.3%4.3%0.3%4.1%
VWIV24.6%22.7%27.3%24.5%24.3%
Skew 25d2.1%1.5%2.5%2.5%2.5%
Skew 10d4.2%3.0%5.6%5.0%4.3%
Call IV 25d17.5%16.4%18.4%17.1%16.6%
Put IV 25d19.6%18.3%20.2%19.6%19.1%
Bid-Ask Spread %7.894.7010.259.355.86
Gamma HHI0.180.150.260.240.16
Net GEX1.6M-1.6M5.4M3.2M1.5M
Net DEX-42.8M-73.8M-11.3M-73.8M-39.8M
Net VEX-673.9K-702.2K-642.9K-687.1K-687.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.159.570.710.47
Total Volume3,522.23894514,1453,3587,556
Total OI75,69865,03479,37974,52574,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$60.05$47.0019.7%6.9%20.7%12.7%24.5%2.5%0.3%3.2M-73.8M-687.1K0.719.35N/AN/A1,9631,39533,96240,563
2014-06-03$59.84$47.0019.7%6.9%20.3%12.7%25.8%2.4%0.8%3.4M-69.8M-689.2K1.128.82N/AN/A44649934,98241,110
2014-06-04$60.02$50.0022.4%7.0%16.8%21.2%23.7%2.5%0.6%3.4M-73.8M-664.6K9.577.75N/AN/A3032,90134,94041,302
2014-06-05$59.21$50.0019.4%7.0%17.9%11.6%25.6%2.2%0.5%1.1M-49.9M-681.4K2.679.09N/AN/A1,1283,01035,02541,986
2014-06-06$59.65$50.0018.3%6.9%17.6%8.3%27.3%1.9%2.8%893.8K-59.3M-681.6K1.538.84N/AN/A9571,46535,60243,777
2014-06-09$59.23$50.0020.3%6.9%17.9%14.8%25.3%2.1%2.6%2.4M-56.4M-667.8K1.088.42N/AN/A1,2131,30534,46341,657
2014-06-10$58.88$50.0019.8%6.9%17.1%13.0%24.2%1.8%3.0%1.9M-49.2M-670.1K0.158.67N/AN/A4,51866235,27041,775
2014-06-11$57.99$55.0018.4%7.0%17.9%8.7%25.7%1.8%3.1%458.7K-24.5M-673.1K1.138.35N/AN/A1,1971,35433,64242,132
2014-06-12$57.29$55.0018.5%7.0%18.4%9.0%23.7%1.9%3.0%-779.2K-11.3M-662.9K0.598.38N/AN/A1,24273533,98942,195
2014-06-13$57.40$55.0018.4%7.0%17.8%8.6%26.9%1.7%3.2%-1.6M-13.1M-662.9K2.368.41N/AN/A4331,02134,21842,489
2014-06-16$57.23$55.0018.7%7.0%16.6%9.4%24.2%1.8%2.8%-378.2K-12.5M-648.9K0.248.52N/AN/A2,00348833,51441,291
2014-06-17$57.97$55.0018.6%7.0%17.3%9.3%24.5%1.7%3.0%1.1M-29.7M-656.1K1.219.05N/AN/A1,4721,77634,57841,540
2014-06-18$57.77$55.0018.2%7.0%14.0%8.0%24.8%1.5%3.1%602.5K-26.8M-668.3K1.619.63N/AN/A37360135,53143,013
2014-06-19$58.09$55.0017.6%7.0%14.0%6.0%24.9%1.9%3.8%1.3M-34.6M-642.9K0.8810.25N/AN/A80370435,10343,008
2014-06-20$58.16$55.0017.3%7.0%13.1%5.0%26.4%2.0%3.7%1.4M-38.4M-655.9K0.269.98N/AN/A1,51839235,43843,385
2014-06-23$58.75$0.0018.7%6.5%13.3%9.4%23.1%2.4%4.0%1.5M-40.8M-652.0K0.155.79N/AN/A12,3031,84229,70635,328
2014-06-24$58.47$55.0018.4%6.5%13.3%8.7%22.7%1.8%4.1%3.1M-51.7M-696.6K0.245.11N/AN/A4,3501,03936,17636,240
2014-06-25$58.00$55.0018.4%6.5%13.5%8.5%24.0%1.8%4.0%2.5M-41.9M-699.7K1.195.78N/AN/A1,1731,40037,40236,835
2014-06-26$58.07$55.0018.3%6.5%13.0%8.3%23.0%2.5%4.3%1.6M-40.7M-702.2K0.304.70N/AN/A1,98659637,52237,828
2014-06-27$58.67$55.0016.5%6.5%12.8%2.5%22.7%2.3%4.3%5.4M-60.4M-701.5K0.674.82N/AN/A2,3001,54538,99638,095
2014-06-30$58.02$55.0018.6%6.5%13.2%9.1%24.3%2.5%4.1%1.5M-39.8M-687.1K0.475.86N/AN/A5,1452,41136,20337,847