M Options History — December 2014

In December 2014, M traded between $60.62 and $65.75. ATM implied volatility averaged 25.8%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.7% (HV 20d: 24.1%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.07.

Notable Days

2014-12-01: Highest Volume — 21,463 contracts
2014-12-10: Largest IV spike — 12.1% change
2014-12-16: Highest IV Rank — 44.0%
2014-12-16: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.11	$60.62	$65.75	$63.16	$65.75
Max Pain	$56.48	$55.00	$57.50	$55.00	$57.50
ATM IV	25.8%	20.6%	29.9%	24.9%	26.9%
Expected Move	7.2%	6.6%	8.0%	6.9%	7.1%
HV 20d	24.1%	19.4%	29.1%	29.1%	20.5%
HV 60d	25.7%	25.1%	26.3%	25.5%	25.5%
IV Rank	33.6%	20.3%	44.0%	31.2%	36.4%
IV Percentile	70.1%	37.7%	86.9%	65.9%	76.2%
Term Structure	-0.8%	-2.2%	1.1%	-0.4%	-2.2%
VWIV	25.6%	22.8%	28.3%	25.7%	24.5%
Skew 25d	3.6%	2.2%	4.2%	3.3%	4.2%
Skew 10d	7.4%	5.3%	10.5%	5.6%	7.5%
Call IV 25d	24.5%	21.2%	28.7%	23.1%	24.7%
Put IV 25d	28.1%	23.4%	32.6%	26.5%	28.9%
Bid-Ask Spread %	12.97	10.62	17.09	12.71	10.62
Gamma HHI	0.23	0.15	0.69	0.21	0.21
Net GEX	-729.9K	-24.8M	5.1M	4.1M	3.0M
Net DEX	-120.9M	-210.3M	-12.2M	-139.2M	-210.3M
Net VEX	-994.7K	-1.1M	-869.7K	-1.1M	-869.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.21	3.03	0.83	0.32
Total Volume	11,045.727	6,046	21,463	21,463	10,675
Total OI	157,195.773	136,121	175,657	164,406	142,149

Daily Data (22 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
2014-12-01	$63.16	$55.00	24.9%	6.9%	29.1%	31.2%	25.7%	3.3%	-0.4%	4.1M	-139.2M	-1.1M	0.83	12.71	N/A	N/A	11,759	9,704	77,821	86,585
2014-12-02	$63.26	$55.00	24.1%	6.9%	28.6%	29.1%	24.6%	3.4%	0.0%	-122.9K	-125.2M	-1.1M	0.56	12.01	N/A	N/A	4,860	2,745	72,441	92,211
2014-12-03	$63.66	$55.00	23.2%	6.8%	27.5%	27.0%	23.3%	2.6%	0.1%	1.4M	-145.9M	-1.1M	3.03	11.04	N/A	N/A	2,747	8,333	74,523	92,606
2014-12-04	$62.50	$55.00	22.1%	6.6%	28.6%	24.3%	22.8%	2.2%	1.1%	-1.4M	-92.5M	-1.0M	0.21	11.93	N/A	N/A	6,808	1,454	74,997	90,107
2014-12-05	$62.29	$55.00	20.6%	6.6%	26.9%	20.3%	23.3%	3.0%	0.4%	-2.0M	-88.6M	-1.0M	0.41	12.13	N/A	N/A	7,089	2,915	73,915	89,866
2014-12-08	$61.47	$55.00	22.2%	6.7%	27.1%	24.5%	23.8%	2.9%	0.2%	-4.0M	-46.3M	-998.4K	1.81	11.63	N/A	N/A	3,053	5,514	74,734	89,803
2014-12-09	$61.24	$55.00	24.1%	7.0%	26.7%	29.2%	24.1%	3.1%	-0.1%	-4.9M	-32.1M	-988.4K	0.77	14.88	N/A	N/A	4,869	3,770	74,576	89,924
2014-12-10	$60.62	$55.00	27.0%	7.4%	26.6%	36.5%	25.1%	3.5%	-0.8%	-5.4M	-12.2M	-991.3K	0.50	12.75	N/A	N/A	14,019	7,020	74,624	88,808
2014-12-11	$61.16	$55.00	27.1%	7.5%	19.4%	36.8%	26.2%	3.4%	-0.7%	-3.8M	-37.9M	-1.0M	0.36	16.73	N/A	N/A	11,938	4,266	73,102	89,465
2014-12-12	$62.34	$57.50	28.3%	7.8%	20.6%	39.8%	28.3%	4.2%	-1.0%	-242.4K	-101.3M	-1.0M	0.37	15.93	N/A	N/A	8,709	3,241	75,004	89,399
2014-12-15	$63.18	$57.50	29.4%	7.8%	20.9%	42.7%	27.2%	4.2%	-2.1%	1.7M	-138.5M	-970.2K	0.55	14.71	N/A	N/A	5,935	3,266	75,447	89,939
2014-12-16	$62.11	$57.50	29.9%	8.0%	21.7%	44.0%	27.9%	3.9%	-2.1%	-470.2K	-97.6M	-1.0M	0.50	10.81	N/A	N/A	7,717	3,848	77,367	90,991
2014-12-17	$62.83	$57.50	28.4%	7.8%	22.0%	40.2%	26.8%	4.0%	-1.2%	-74.5K	-127.7M	-997.0K	0.83	17.09	N/A	N/A	3,916	3,260	77,913	91,368
2014-12-18	$63.99	$57.50	27.1%	7.3%	22.7%	36.8%	26.2%	3.8%	-1.4%	5.1M	-179.4M	-959.7K	2.15	15.85	N/A	N/A	5,396	11,613	76,778	91,304
2014-12-19	$62.59	$57.50	27.6%	7.5%	23.6%	38.0%	26.7%	4.0%	-1.0%	-24.8M	-111.2M	-1.0M	2.74	11.11	N/A	N/A	5,009	13,700	77,260	98,397
2014-12-22	$63.41	$57.50	27.3%	7.4%	24.0%	37.2%	26.5%	3.9%	-1.5%	1.9M	-131.0M	-1.0M	0.72	12.54	N/A	N/A	4,930	3,557	60,433	75,688
2014-12-23	$64.08	$57.50	25.1%	7.0%	23.4%	31.7%	26.2%	3.7%	-0.6%	2.2M	-148.2M	-1.0M	0.99	13.77	N/A	N/A	3,836	3,806	60,463	76,272
2014-12-24	$64.26	$57.50	24.9%	7.1%	23.3%	31.3%	26.7%	4.0%	-0.0%	2.5M	-154.5M	-990.7K	1.42	12.45	N/A	N/A	2,502	3,544	60,635	76,623
2014-12-26	$64.08	$57.50	25.5%	7.0%	23.2%	32.9%	26.3%	3.9%	-1.2%	2.3M	-146.2M	-966.8K	1.64	11.53	N/A	N/A	2,510	4,126	60,544	76,927
2014-12-29	$65.26	$57.50	26.1%	7.1%	22.8%	34.3%	25.9%	4.1%	-1.4%	3.4M	-188.3M	-909.7K	0.63	10.75	N/A	N/A	4,330	2,718	60,846	77,460
2014-12-30	$65.27	$57.50	26.1%	7.0%	20.4%	34.2%	24.5%	3.9%	-1.8%	3.7M	-204.7M	-873.6K	2.27	12.30	N/A	N/A	2,444	5,555	61,273	77,719
2014-12-31	$65.75	$57.50	26.9%	7.1%	20.5%	36.4%	24.5%	4.2%	-2.2%	3.0M	-210.3M	-869.7K	0.32	10.62	N/A	N/A	8,113	2,562	60,845	81,304