M Options History — August 2014

In August 2014, M traded between $56.47 and $62.59. ATM implied volatility averaged 25.1%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.7% (HV 20d: 24.4%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2014-08-13: Highest Volume — 45,618 contracts
  • 2014-08-13: Largest IV drop — 54.6% change
  • 2014-08-12: Highest IV Rank — 100.0%
  • 2014-08-08: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.77$56.47$62.59$57.89$62.29
Max Pain$52.50$52.50$52.50$52.50$52.50
ATM IV25.1%15.6%52.0%29.9%17.9%
Expected Move6.3%5.9%6.8%6.6%6.0%
HV 20d24.4%14.9%29.7%14.9%28.7%
HV 60d18.8%15.8%20.7%15.9%20.4%
IV Rank34.4%7.8%100.0%50.0%13.5%
IV Percentile42.1%0.4%100.0%90.9%9.1%
Term Structure0.2%-6.3%2.8%-6.3%0.4%
VWIV22.5%20.5%25.6%23.6%21.5%
Skew 25d2.6%1.7%4.3%4.3%2.3%
Skew 10d5.8%4.1%8.7%8.7%6.7%
Call IV 25d19.4%15.3%27.6%27.6%17.4%
Put IV 25d22.0%17.6%32.0%32.0%19.7%
Bid-Ask Spread %12.318.5119.3511.2911.20
Gamma HHI0.270.170.870.170.22
Net GEX-3.9M-93.4M5.2M-678.1K4.1M
Net DEX-52.7M-135.0M124.8M-14.8M-119.6M
Net VEX-811.5K-940.9K-726.3K-739.7K-917.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.413.522.263.52
Total Volume9,855.6671,57645,6183,3785,085
Total OI98,447.57182,568128,05782,568105,935

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$57.89$52.5029.9%6.6%14.9%50.0%23.6%4.3%-6.3%-678.1K-14.8M-739.7K2.2611.29N/AN/A1,0372,34136,12846,440
2014-08-04$58.58$52.5032.1%6.6%15.5%56.6%22.2%2.6%-0.3%-255.0K-29.7M-726.3K0.8110.67N/AN/A86970736,66748,229
2014-08-05$57.64$52.5033.5%6.7%16.4%60.4%25.6%3.1%-0.1%-1.3M-5.8M-737.9K0.8310.39N/AN/A94678536,91848,302
2014-08-06$58.81$52.5032.6%6.6%17.9%58.0%23.4%3.2%-0.3%-42.7K-34.4M-733.2K1.5310.09N/AN/A2,7674,22437,26748,685
2014-08-07$58.77$52.5035.9%6.7%17.5%67.3%25.6%3.2%-1.0%-520.3K-30.2M-758.7K2.148.58N/AN/A1,6333,49338,28051,158
2014-08-08$60.21$52.5036.9%6.8%18.9%70.2%22.9%3.0%-0.7%707.6K-62.3M-750.2K0.6814.49N/AN/A4,7423,24238,86753,246
2014-08-11$60.12$52.5043.7%6.7%18.8%90.0%24.0%3.3%-0.8%870.3K-66.0M-748.2K1.2913.44N/AN/A3,1914,12940,69154,271
2014-08-12$59.76$52.5052.0%6.7%17.2%100.0%24.0%3.1%-1.4%-243.1K-51.9M-744.0K1.3715.43N/AN/A15,76221,57941,30756,126
2014-08-13$56.47$52.5023.6%6.4%27.1%28.0%22.3%2.1%2.0%-13.9M124.8M-732.4K1.6319.35N/AN/A17,32628,29249,68570,838
2014-08-14$57.84$52.5019.0%6.3%28.3%16.3%23.6%2.3%2.4%-12.7M17.0M-796.4K0.4714.12N/AN/A9,6994,58053,17470,755
2014-08-15$57.45$52.5018.1%6.3%28.3%13.9%23.4%2.2%2.8%-93.4M52.6M-816.4K0.6816.36N/AN/A5,9144,00356,77171,286
2014-08-18$58.04$52.5017.4%6.1%28.4%12.3%21.5%2.5%0.8%187.5K-20.7M-793.6K0.6815.73N/AN/A4,6053,11839,04147,128
2014-08-19$58.95$52.5015.6%6.0%28.8%7.8%21.5%2.2%1.6%2.1M-45.8M-809.8K0.4112.31N/AN/A6,2382,58741,22347,981
2014-08-20$60.09$52.5016.4%5.9%29.4%9.7%20.5%2.0%1.0%4.3M-80.8M-846.9K0.838.51N/AN/A5,6774,71944,01348,556
2014-08-21$60.70$52.5016.6%5.9%29.4%10.2%21.5%2.4%0.4%4.9M-95.9M-870.4K1.349.22N/AN/A1,2701,70045,40450,503
2014-08-22$61.77$52.5016.7%5.9%29.6%10.6%20.5%2.3%1.0%5.0M-122.7M-847.7K0.5313.57N/AN/A9,7055,10445,39651,222
2014-08-25$62.35$52.5016.9%5.9%29.7%10.8%20.8%2.1%1.0%5.2M-133.0M-904.5K1.9211.63N/AN/A1,6383,14648,04453,783
2014-08-26$62.59$52.5017.1%6.0%29.7%11.5%21.4%1.7%0.6%4.8M-135.0M-901.4K1.9711.40N/AN/A2,0143,97048,29855,319
2014-08-27$62.58$52.5017.7%6.0%29.3%13.1%21.2%2.2%0.2%4.6M-127.2M-940.9K1.749.78N/AN/A1,1582,01248,86956,111
2014-08-28$62.36$52.5017.4%6.0%28.7%12.2%21.8%2.3%0.9%4.5M-125.4M-925.6K1.9410.90N/AN/A6671,29548,74156,741
2014-08-29$62.29$52.5017.9%6.0%28.7%13.5%21.5%2.3%0.4%4.1M-119.6M-917.3K3.5211.20N/AN/A1,1263,95948,84357,092