M Options History — November 2014

In November 2014, M traded between $56.32 and $64.91. ATM implied volatility averaged 27.1%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.0% (HV 20d: 27.1%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.56.

Notable Days

  • 2014-11-11: Highest Volume — 64,974 contracts
  • 2014-11-12: Largest IV drop — 52.3% change
  • 2014-11-11: Highest IV Rank — 76.3%
  • 2014-11-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.07$56.32$64.91$57.25$64.91
Max Pain$54.47$52.50$55.00$52.50$55.00
ATM IV27.1%20.3%42.7%33.0%22.6%
Expected Move7.0%6.4%7.8%7.7%6.6%
HV 20d27.1%23.5%28.9%27.0%26.7%
HV 60d24.1%22.4%24.9%24.3%24.9%
IV Rank36.8%19.7%76.3%51.6%25.4%
IV Percentile67.3%36.1%98.0%92.5%53.6%
Term Structure-0.7%-5.4%1.3%-4.0%0.3%
VWIV25.3%23.6%27.5%27.0%24.5%
Skew 25d3.5%2.8%4.3%3.9%2.9%
Skew 10d7.1%5.1%8.9%7.7%5.1%
Call IV 25d24.7%20.5%32.8%31.6%21.7%
Put IV 25d28.1%23.7%37.1%35.5%24.6%
Bid-Ask Spread %12.899.1318.3812.0810.61
Gamma HHI0.260.170.580.170.27
Net GEX4.6M-1.6M13.3M-133.9K8.4M
Net DEX-138.7M-266.0M33.1M-1.1M-228.7M
Net VEX-1.1M-1.2M-946.6K-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.234.970.890.54
Total Volume21,129.1585,23164,97413,4019,018
Total OI181,139.211127,570225,407137,830162,433

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$57.25$52.5033.0%7.7%27.0%51.6%27.0%3.9%-4.0%-133.9K-1.1M-1.0M0.8912.08N/AN/A7,0966,30562,55075,280
2014-11-04$56.32$52.5032.3%7.8%26.7%49.9%26.8%4.1%-3.8%-1.5M33.1M-1.1M0.7614.75N/AN/A10,0487,58666,00779,160
2014-11-05$57.19$52.5033.7%7.8%27.0%53.5%26.8%4.0%-4.5%207.2K-10.4M-1.1M1.0910.61N/AN/A8,1768,92968,42279,571
2014-11-06$59.01$52.5033.6%7.5%27.3%53.2%27.5%4.3%-5.4%2.8M-82.8M-1.2M1.4015.24N/AN/A6,6009,23171,55186,031
2014-11-07$59.87$55.0034.3%7.5%27.6%55.1%26.9%3.5%-1.3%2.6M-105.6M-1.2M3.4415.84N/AN/A5,26218,08871,05892,000
2014-11-10$59.19$55.0038.9%7.6%25.3%66.7%27.3%3.7%-1.6%-514.2K-61.1M-1.2M2.5215.46N/AN/A8,77522,15371,18397,999
2014-11-11$58.50$55.0042.7%7.5%23.5%76.3%25.9%3.9%-2.1%-1.6M-30.5M-1.1M2.3518.38N/AN/A19,40645,56870,85297,947
2014-11-12$61.59$55.0020.3%6.7%28.9%19.7%25.7%3.5%1.0%5.8M-191.9M-1.1M1.7711.28N/AN/A19,48734,58178,854133,827
2014-11-13$61.56$55.0022.1%6.5%28.9%24.0%25.1%3.3%0.5%6.1M-188.7M-1.1M1.6310.97N/AN/A9,56015,58679,758136,087
2014-11-14$62.05$55.0022.2%6.6%28.6%24.4%23.6%3.3%0.8%5.7M-201.3M-1.1M1.2711.91N/AN/A5,4486,92079,426140,956
2014-11-17$61.61$55.0022.8%6.8%28.7%26.0%24.5%3.6%0.9%4.5M-172.2M-1.1M1.7411.09N/AN/A3,8056,63678,881140,102
2014-11-18$61.41$55.0023.1%6.8%27.8%26.7%24.7%3.0%0.6%3.5M-150.8M-1.1M2.4311.69N/AN/A4,54911,07578,377142,819
2014-11-19$61.97$55.0023.0%6.8%27.2%26.3%23.7%3.4%0.8%7.1M-176.5M-1.1M0.8115.38N/AN/A2,8922,33978,819146,588
2014-11-20$62.90$55.0023.2%6.9%27.3%27.0%24.2%2.8%0.4%13.3M-252.7M-984.0K0.4314.16N/AN/A11,0764,80678,340143,770
2014-11-21$63.21$55.0022.4%6.7%27.1%25.0%23.8%3.1%0.6%10.3M-266.0M-982.7K0.2310.48N/AN/A11,2532,54380,254143,995
2014-11-24$64.36$55.0021.1%6.4%27.1%21.7%25.0%3.4%1.2%4.8M-187.6M-946.6K0.279.13N/AN/A23,2926,31557,74169,829
2014-11-25$63.92$55.0021.0%6.4%25.8%21.3%23.7%3.2%1.3%8.4M-192.5M-1.0M1.0411.99N/AN/A6,1916,45274,17373,620
2014-11-26$63.53$55.0022.5%6.7%26.1%25.1%24.7%3.2%0.5%7.1M-167.2M-1.1M4.9713.90N/AN/A2,41211,99576,51476,871
2014-11-28$64.91$55.0022.6%6.6%26.7%25.4%24.5%2.9%0.3%8.4M-228.7M-1.1M0.5410.61N/AN/A5,8733,14577,50484,929