M Options History — September 2014

In September 2014, M traded between $58.18 and $62.43. ATM implied volatility averaged 19.8%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.2% (HV 20d: 19.6%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2014-09-10: Highest Volume — 11,209 contracts
  • 2014-09-08: Largest IV spike — 12.8% change
  • 2014-09-30: Highest IV Rank — 22.6%
  • 2014-09-30: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.11$58.18$62.43$62.22$58.18
Max Pain$52.50$52.50$52.50$52.50$52.50
ATM IV19.8%18.0%21.5%18.7%21.5%
Expected Move6.3%6.0%6.6%6.1%6.6%
HV 20d19.6%12.9%28.6%28.6%16.8%
HV 60d20.7%20.3%21.2%20.3%21.2%
IV Rank18.2%13.8%22.6%15.6%22.6%
IV Percentile27.8%9.5%48.4%17.5%48.4%
Term Structure1.8%-0.3%2.6%0.0%2.4%
VWIV22.5%21.3%25.0%21.9%22.4%
Skew 25d2.3%1.8%2.7%2.6%2.5%
Skew 10d5.6%3.8%8.0%8.0%5.7%
Call IV 25d19.3%18.0%20.9%18.0%20.8%
Put IV 25d21.7%20.4%23.3%20.7%23.3%
Bid-Ask Spread %9.667.7812.5511.888.26
Gamma HHI0.200.140.660.170.18
Net GEX2.1M53.6K18.6M2.5M577.5K
Net DEX-38.3M-106.9M3.4M-106.9M3.4M
Net VEX-916.9K-957.3K-869.5K-928.4K-930.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.293.592.080.29
Total Volume4,335.2861,60711,2095,0266,113
Total OI109,794.1996,196118,846108,997104,781

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$62.22$52.5018.7%6.1%28.6%15.6%21.9%2.6%0.0%2.5M-106.9M-928.4K2.0811.88N/AN/A1,6313,39549,02959,968
2014-09-03$61.69$52.5019.0%6.1%28.1%16.3%21.3%2.3%-0.3%1.2M-79.8M-957.3K2.5812.55N/AN/A6881,77748,99662,474
2014-09-04$62.43$52.5018.7%6.1%27.6%15.5%22.8%2.1%0.0%1.2M-106.2M-937.0K1.7712.15N/AN/A1,6262,88049,05462,613
2014-09-05$61.83$52.5018.0%6.0%27.9%13.8%21.5%2.4%2.4%840.7K-83.4M-931.1K1.6710.57N/AN/A1,2212,03949,56963,764
2014-09-08$60.64$52.5020.3%6.2%27.7%19.6%21.9%2.3%1.8%846.2K-41.8M-918.8K1.5610.07N/AN/A2,1783,40349,93563,934
2014-09-09$60.43$52.5019.9%6.2%27.7%18.5%21.8%2.2%1.8%1.4M-32.9M-901.4K3.598.94N/AN/A1,8576,67249,76663,838
2014-09-10$59.91$52.5018.2%6.2%27.8%14.4%25.0%1.9%1.9%776.1K-20.0M-927.8K1.058.08N/AN/A5,4565,75350,01965,034
2014-09-11$59.82$52.5020.0%6.3%18.1%18.9%21.8%2.6%2.0%53.6K-8.3M-941.9K0.649.03N/AN/A2,0161,29748,36766,364
2014-09-12$59.59$52.5019.8%6.3%16.4%18.4%21.8%2.6%2.2%662.3K-7.9M-938.6K1.007.78N/AN/A80480349,40966,448
2014-09-15$59.57$52.5020.3%6.3%16.1%19.6%22.5%1.8%1.9%966.9K-7.5M-917.7K1.038.76N/AN/A2,2462,32249,60466,571
2014-09-16$60.24$52.5020.2%6.3%16.2%19.4%22.3%2.1%1.7%2.1M-33.8M-908.3K0.918.70N/AN/A1,4321,30649,66666,193
2014-09-17$60.63$52.5020.2%6.3%15.5%19.3%22.0%2.3%1.8%2.8M-55.2M-902.6K0.299.39N/AN/A3,5841,03750,19366,196
2014-09-18$60.56$52.5019.8%6.2%14.0%18.3%22.1%2.6%2.2%4.4M-64.5M-892.2K1.149.39N/AN/A2,0902,39151,40565,296
2014-09-19$60.10$52.5019.3%6.2%13.8%17.1%23.0%2.7%2.4%18.6M-47.3M-904.1K0.509.54N/AN/A3,0111,51551,83367,013
2014-09-22$58.94$52.5019.8%6.2%13.6%18.3%22.4%2.5%2.2%494.5K-10.1M-886.0K0.619.44N/AN/A1,7841,09343,76252,434
2014-09-23$58.64$52.5020.9%6.4%12.9%21.1%24.3%2.5%1.8%353.1K-3.5M-869.5K0.449.59N/AN/A2,4631,08044,27052,530
2014-09-24$59.56$52.5019.2%6.2%14.4%16.7%21.7%2.3%2.6%1.0M-28.4M-900.3K0.5610.42N/AN/A2,8301,58345,61852,996
2014-09-25$58.81$52.5020.3%6.4%14.8%19.6%22.8%2.2%2.5%987.8K-14.6M-917.4K0.749.18N/AN/A1,7051,25847,48253,656
2014-09-26$59.67$52.5019.7%6.3%16.0%18.1%22.8%2.0%2.5%1.7M-38.5M-934.9K0.3910.03N/AN/A1,40854848,40954,265
2014-09-29$58.92$52.5021.0%6.4%16.5%21.3%23.2%2.4%2.2%959.6K-16.8M-909.4K0.779.07N/AN/A1,5501,19648,36554,559
2014-09-30$58.18$52.5021.5%6.6%16.8%22.6%22.4%2.5%2.4%577.5K3.4M-930.4K0.298.26N/AN/A4,7281,38549,24555,536