M Options History — July 2014

In July 2014, M traded between $56.64 and $59.88. ATM implied volatility averaged 23.4%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.7% (HV 20d: 14.7%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2014-07-16: Highest Volume — 9,361 contracts
  • 2014-07-03: Largest IV spike — 28.0% change
  • 2014-07-31: Highest IV Rank — 48.9%
  • 2014-07-18: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.00$56.64$59.88$58.66$57.79
Max Pain$52.95$52.50$57.50$57.50$52.50
ATM IV23.4%12.6%29.5%17.4%29.5%
Expected Move6.4%6.3%6.5%6.5%6.5%
HV 20d14.7%13.6%16.1%13.9%16.1%
HV 60d17.1%15.9%18.6%18.6%15.9%
IV Rank31.0%0.0%48.9%5.3%48.9%
IV Percentile53.8%0.0%90.9%2.8%90.9%
Term Structure-1.8%-6.4%5.3%4.0%-6.4%
VWIV23.3%21.0%27.1%27.1%21.7%
Skew 25d2.6%0.9%4.3%1.9%4.3%
Skew 10d5.2%2.8%7.4%2.8%6.8%
Call IV 25d22.9%15.7%27.0%16.2%27.0%
Put IV 25d25.5%17.6%31.3%18.1%31.3%
Bid-Ask Spread %7.275.2311.735.288.31
Gamma HHI0.170.150.230.170.17
Net GEX-124.5K-3.4M3.2M999.7K-692.2K
Net DEX-22.2M-72.0M22.4M-42.5M-13.7M
Net VEX-703.3K-734.2K-652.7K-652.7K-727.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.157.443.211.14
Total Volume3,408.1828459,3614,2122,567
Total OI78,447.18270,65587,58771,17581,758

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$58.66$57.5017.4%6.5%13.9%5.3%27.1%1.9%4.0%999.7K-42.5M-652.7K3.215.28N/AN/A1,0003,21232,72238,453
2014-07-02$58.95$57.5012.6%6.3%14.0%0.0%24.4%0.9%4.8%1.6M-45.7M-653.6K0.205.41N/AN/A3,51268632,60938,046
2014-07-03$59.88$52.5016.1%6.3%14.3%10.2%21.0%2.6%5.3%3.1M-72.0M-668.7K0.155.35N/AN/A5,39782334,77238,033
2014-07-07$59.48$52.5019.6%6.4%14.3%20.3%23.9%2.1%-0.1%3.2M-62.1M-658.3K3.345.32N/AN/A1,0163,38936,79937,291
2014-07-08$59.16$52.5021.0%6.4%14.2%24.4%25.1%2.3%-0.1%2.0M-52.0M-709.0K2.275.23N/AN/A5641,28136,94540,237
2014-07-09$59.47$52.5017.4%6.3%14.1%14.1%23.5%2.1%-0.1%2.3M-57.9M-696.8K0.795.56N/AN/A1,4991,18336,85241,030
2014-07-10$58.80$52.5022.2%6.4%13.6%27.9%23.6%2.6%-0.5%715.7K-43.1M-698.5K1.685.45N/AN/A1,2112,03337,48141,001
2014-07-11$58.11$52.5023.3%6.5%13.6%30.9%23.2%2.3%-1.0%-644.3K-22.6M-703.4K0.416.37N/AN/A1,63867438,28942,010
2014-07-14$57.83$52.5024.8%6.5%13.7%35.4%22.9%2.3%-2.3%-842.8K-20.7M-694.8K2.686.00N/AN/A1,8825,04938,21141,501
2014-07-15$56.70$52.5024.7%6.5%15.4%35.0%24.0%2.3%-2.2%-3.1M15.4M-698.0K1.746.95N/AN/A1,8843,28437,97944,583
2014-07-16$57.08$52.5026.1%6.5%14.9%39.0%23.8%2.3%-3.7%-3.2M5.4M-722.4K2.956.16N/AN/A2,3706,99138,53844,888
2014-07-17$56.64$52.5026.2%6.5%15.1%39.5%23.3%2.4%-3.5%-3.4M22.4M-730.0K1.257.20N/AN/A1,2431,55339,03647,429
2014-07-18$57.11$52.5025.4%6.5%15.2%37.1%23.4%2.7%-2.7%-2.8M12.9M-734.2K0.437.45N/AN/A2,17093639,58548,002
2014-07-21$56.73$52.5026.3%6.4%15.4%39.7%23.4%2.5%-3.7%-651.0K1.3M-721.8K1.1911.73N/AN/A1,8052,14133,90241,127
2014-07-22$56.98$52.5024.9%6.3%14.9%35.7%22.3%3.0%-2.6%-445.1K-3.8M-713.9K0.258.99N/AN/A1,99449434,78241,985
2014-07-23$57.48$52.5025.0%6.3%15.3%36.0%22.5%2.8%-2.9%-328.6K-12.6M-711.6K0.439.32N/AN/A80534834,71142,238
2014-07-24$57.92$52.5025.6%6.3%15.3%37.6%23.0%3.1%-3.5%43.2K-21.9M-719.9K0.408.97N/AN/A81132634,99642,475
2014-07-25$57.46$52.5025.4%6.3%15.6%37.2%22.9%3.0%-3.5%-294.5K-13.0M-713.8K0.298.18N/AN/A65319235,35142,521
2014-07-28$57.58$52.5026.6%6.4%15.1%40.6%21.2%3.0%-4.4%-221.6K-14.6M-706.2K0.868.81N/AN/A65055635,55042,549
2014-07-29$57.60$52.5027.4%6.4%14.6%42.9%23.5%3.5%-5.4%-144.3K-15.4M-712.1K7.448.55N/AN/A3602,67935,72642,948
2014-07-30$58.61$52.5028.3%6.4%15.4%45.5%23.9%3.6%-5.9%211.8K-33.0M-724.6K1.589.43N/AN/A8211,29835,81945,078
2014-07-31$57.79$52.5029.5%6.5%16.1%48.9%21.7%4.3%-6.4%-692.2K-13.7M-727.5K1.148.31N/AN/A1,1991,36836,02345,735