M Options History — October 2014 In October 2014, M traded between $54.99 and $59.60. ATM implied volatility averaged 29.3%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.6% (HV 20d: 24.8%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.24.
Notable Days 2014-10-08 : Highest Volume — 26,969 contracts2014-10-15 : Largest IV spike — 34.8% change2014-10-15 : Highest IV Rank — 73.3%2014-10-15 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $57.52 $54.99 $59.60 $57.76 $57.84 Max Pain $52.50 $52.50 $52.50 $52.50 $52.50 ATM IV 29.3% 20.8% 41.5% 22.6% 29.8% Expected Move 7.6% 6.6% 8.8% 6.7% 7.6% HV 20d 24.8% 16.6% 28.8% 16.8% 27.5% HV 60d 23.7% 21.2% 25.3% 21.2% 24.8% IV Rank 42.5% 20.8% 73.3% 25.5% 43.7% IV Percentile 81.0% 40.9% 97.2% 55.2% 86.5% Term Structure -1.8% -4.5% 3.5% 2.1% -2.0% VWIV 26.8% 23.1% 31.2% 26.3% 26.6% Skew 25d 3.9% 2.2% 5.4% 2.2% 3.5% Skew 10d 8.5% 5.1% 12.5% 5.1% 7.8% Call IV 25d 28.1% 20.7% 34.4% 22.4% 28.6% Put IV 25d 32.1% 22.9% 39.8% 24.6% 32.1% Bid-Ask Spread % 12.46 8.17 18.15 10.24 9.63 Gamma HHI 0.17 0.14 0.30 0.14 0.17 Net GEX 365.5K -3.3M 3.7M 292.2K 713.5K Net DEX 505.8K -69.3M 94.2M 13.4M -21.0M Net VEX -1.0M -1.1M -937.9K -946.6K -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.32 6.88 0.78 0.89 Total Volume 7,831.913 1,486 26,969 4,980 7,782 Total OI 122,821.13 106,267 136,277 106,267 136,277
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $57.76 $52.50 22.6% 6.7% 16.8% 25.5% 26.3% 2.2% 2.1% 292.2K 13.4M -946.6K 0.78 10.24 N/A N/A 2,798 2,182 50,037 56,230 2014-10-02 $58.35 $52.50 22.7% 6.8% 16.6% 25.8% 24.5% 2.5% 1.9% 679.5K -1.7M -961.5K 0.39 8.39 N/A N/A 2,763 1,080 50,177 57,308 2014-10-03 $59.60 $52.50 20.8% 6.6% 18.5% 20.8% 23.1% 2.3% 3.5% 1.5M -39.2M -977.1K 1.07 9.69 N/A N/A 2,314 2,476 50,293 57,593 2014-10-06 $58.51 $52.50 23.7% 6.8% 18.4% 28.2% 23.9% 2.8% -0.8% 266.2K -4.2M -948.4K 0.35 8.17 N/A N/A 1,102 384 50,323 59,322 2014-10-07 $57.36 $52.50 24.7% 6.9% 19.5% 30.7% 24.4% 3.1% -1.5% -489.1K 26.1M -937.9K 2.88 10.02 N/A N/A 2,880 8,306 50,570 59,504 2014-10-08 $57.99 $52.50 24.6% 7.1% 19.9% 30.3% 25.0% 4.0% -1.5% -952.1K 9.9M -972.8K 1.19 14.62 N/A N/A 12,322 14,647 51,485 63,016 2014-10-09 $56.40 $52.50 26.8% 7.3% 22.0% 35.9% 25.5% 3.3% -1.7% -1.9M 48.7M -1.0M 1.10 15.03 N/A N/A 2,725 2,993 57,410 69,110 2014-10-10 $56.68 $52.50 27.3% 7.7% 22.1% 37.4% 27.4% 3.7% -2.5% -1.9M 42.3M -1.0M 0.57 16.19 N/A N/A 11,035 6,263 58,287 70,060 2014-10-13 $54.99 $52.50 36.1% 8.3% 24.2% 59.6% 28.5% 4.2% -3.5% -3.3M 94.2M -988.8K 0.93 12.81 N/A N/A 4,257 3,978 62,844 72,863 2014-10-14 $56.80 $52.50 30.8% 8.1% 27.0% 46.1% 28.7% 5.1% -2.9% -2.3M 32.8M -1.0M 1.99 11.26 N/A N/A 2,789 5,547 60,882 70,089 2014-10-15 $56.14 $52.50 41.5% 8.8% 26.9% 73.3% 31.2% 5.4% -4.0% -1.9M 45.8M -1.0M 1.18 18.15 N/A N/A 4,521 5,335 63,079 70,434 2014-10-16 $56.57 $52.50 36.1% 8.6% 27.2% 59.5% 30.3% 5.4% -4.5% -1.4M 25.5M -1.1M 0.34 14.95 N/A N/A 4,126 1,406 63,710 69,509 2014-10-17 $56.21 $52.50 33.5% 8.3% 27.2% 53.1% 30.8% 4.7% -3.4% 88.8K 45.5M -1.0M 0.32 11.97 N/A N/A 8,922 2,884 64,577 69,922 2014-10-20 $57.07 $52.50 30.3% 7.8% 27.2% 45.0% 27.3% 5.0% -1.4% 2.1M -19.9M -1.0M 0.95 12.13 N/A N/A 1,581 1,497 56,136 58,194 2014-10-21 $58.43 $52.50 29.8% 7.6% 28.6% 43.6% 26.6% 5.1% -1.6% 3.1M -51.9M -1.0M 1.09 12.58 N/A N/A 2,695 2,939 56,696 59,050 2014-10-22 $57.61 $52.50 30.0% 7.6% 28.4% 44.2% 26.4% 4.2% -2.0% 2.6M -31.1M -1.0M 1.25 12.70 N/A N/A 1,559 1,948 57,648 60,134 2014-10-23 $58.30 $52.50 29.8% 7.6% 28.5% 43.6% 26.9% 4.1% -2.0% 3.2M -49.9M -1.0M 0.83 12.64 N/A N/A 4,218 3,491 57,807 60,371 2014-10-24 $59.05 $52.50 28.8% 7.4% 28.4% 41.2% 26.3% 3.8% -2.1% 3.7M -69.3M -1.0M 1.22 13.47 N/A N/A 1,882 2,288 58,741 61,896 2014-10-27 $58.49 $52.50 31.4% 7.8% 28.2% 47.8% 26.6% 3.8% -2.7% 3.2M -51.1M -1.0M 6.88 12.85 N/A N/A 1,687 11,606 59,105 62,595 2014-10-28 $57.27 $52.50 31.1% 7.7% 28.8% 47.1% 26.6% 4.5% -2.9% 71.9K 371.8K -1.0M 0.65 12.77 N/A N/A 3,488 2,253 59,872 72,245 2014-10-29 $57.53 $52.50 31.2% 7.8% 28.8% 47.3% 26.5% 4.1% -2.8% 480.9K -12.6M -1.1M 1.00 14.27 N/A N/A 2,216 2,222 61,271 73,029 2014-10-30 $57.92 $52.50 31.1% 7.7% 28.7% 46.9% 26.8% 3.4% -2.8% 706.6K -21.0M -1.1M 0.65 12.08 N/A N/A 2,875 1,872 61,565 73,620 2014-10-31 $57.84 $52.50 29.8% 7.6% 27.5% 43.7% 26.6% 3.5% -2.0% 713.5K -21.0M -1.1M 0.89 9.63 N/A N/A 4,116 3,666 62,263 74,014
« Sep 2014 | All History | Nov 2014 » Home M History October 2014