M Options History — January 2015

In January 2015, M traded between $62.39 and $67.76. ATM implied volatility averaged 24.9%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.4% (HV 20d: 24.5%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.24.

Notable Days

2015-01-15: Highest Volume — 30,656 contracts
2015-01-09: Largest IV drop — 12.8% change
2015-01-06: Highest IV Rank — 48.9%
2015-01-06: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.15	$62.39	$67.76	$65.75	$63.83
Max Pain	$59.63	$57.50	$60.00	$57.50	$60.00
ATM IV	24.9%	20.4%	31.9%	26.9%	23.2%
Expected Move	6.8%	5.8%	7.8%	7.1%	6.6%
HV 20d	24.5%	19.5%	27.0%	20.4%	26.6%
HV 60d	25.0%	24.4%	25.6%	25.1%	25.4%
IV Rank	31.3%	19.8%	48.9%	36.2%	26.8%
IV Percentile	59.7%	31.7%	90.1%	75.0%	52.0%
Term Structure	2.2%	-2.1%	4.1%	-2.1%	3.1%
VWIV	24.1%	20.8%	28.4%	25.5%	23.9%
Skew 25d	3.8%	3.0%	4.3%	4.0%	3.5%
Skew 10d	8.0%	5.8%	9.7%	8.9%	6.3%
Call IV 25d	22.2%	18.7%	25.9%	24.8%	22.7%
Put IV 25d	26.0%	22.2%	29.7%	28.9%	26.2%
Bid-Ask Spread %	9.91	6.89	13.12	11.76	12.41
Gamma HHI	0.22	0.15	0.39	0.19	0.19
Net GEX	3.2M	-6.4M	7.2M	2.3M	2.9M
Net DEX	-145.4M	-287.2M	-50.6M	-194.2M	-73.5M
Net VEX	-934.4K	-1.0M	-861.6K	-871.2K	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.26	6.22	1.18	1.78
Total Volume	9,795.75	1,848	30,656	7,399	7,751
Total OI	134,142	96,986	178,778	143,407	108,311

Daily Data (20 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
2015-01-02	$65.75	$57.50	26.9%	7.1%	20.4%	36.2%	25.5%	4.0%	-2.1%	2.3M	-194.2M	-871.2K	1.18	11.76	N/A	N/A	3,401	3,998	60,740	82,667
2015-01-05	$65.13	$57.50	30.2%	7.6%	19.5%	44.7%	28.0%	4.0%	0.6%	2.1M	-178.6M	-861.6K	1.16	12.71	N/A	N/A	3,462	4,003	60,785	82,075
2015-01-06	$64.89	$57.50	31.9%	7.8%	19.5%	48.9%	26.9%	3.8%	0.3%	1.7M	-166.7M	-891.3K	0.59	13.12	N/A	N/A	11,114	6,536	61,583	83,650
2015-01-07	$67.55	$60.00	30.9%	7.4%	22.9%	46.3%	26.0%	3.9%	0.8%	5.5M	-267.2M	-900.4K	0.64	12.46	N/A	N/A	11,016	7,060	67,493	88,852
2015-01-08	$67.76	$60.00	28.4%	7.1%	22.7%	40.2%	25.2%	3.7%	1.4%	7.2M	-287.2M	-894.9K	0.48	9.14	N/A	N/A	6,329	3,010	71,337	90,653
2015-01-09	$65.96	$60.00	24.8%	7.1%	24.8%	31.0%	24.6%	3.4%	1.4%	5.6M	-223.1M	-903.3K	1.00	9.45	N/A	N/A	6,775	6,746	71,112	90,558
2015-01-12	$66.10	$60.00	26.6%	7.0%	24.8%	35.5%	23.2%	3.6%	1.9%	5.5M	-227.4M	-873.4K	0.50	6.89	N/A	N/A	5,513	2,731	71,350	92,247
2015-01-13	$65.53	$60.00	25.9%	6.9%	24.5%	33.7%	24.3%	3.9%	2.4%	4.6M	-210.7M	-873.1K	0.95	9.36	N/A	N/A	5,508	5,218	73,144	92,298
2015-01-14	$64.41	$60.00	24.5%	7.0%	25.1%	30.1%	25.0%	3.9%	2.1%	294.8K	-152.4M	-930.8K	1.06	9.27	N/A	N/A	9,640	10,212	73,930	93,960
2015-01-15	$62.39	$60.00	26.0%	7.4%	27.0%	34.0%	28.4%	4.3%	1.5%	-6.4M	-56.3M	-966.6K	6.22	7.23	N/A	N/A	4,246	26,410	76,822	95,054
2015-01-16	$63.14	$60.00	24.8%	7.1%	27.0%	30.9%	24.9%	4.0%	2.3%	-1.6M	-72.1M	-1.0M	2.01	8.35	N/A	N/A	3,889	7,813	76,366	102,412
2015-01-20	$63.30	$60.00	24.5%	7.0%	26.2%	30.2%	23.9%	4.3%	2.5%	1.3M	-50.6M	-977.5K	0.54	8.78	N/A	N/A	1,738	934	45,076	51,910
2015-01-21	$64.20	$60.00	22.1%	6.3%	25.3%	24.1%	21.8%	4.2%	3.2%	2.4M	-71.6M	-967.6K	0.43	6.94	N/A	N/A	1,935	836	46,122	52,633
2015-01-22	$65.48	$60.00	21.0%	6.0%	25.9%	21.3%	21.0%	3.8%	3.7%	4.5M	-109.7M	-949.2K	0.98	7.12	N/A	N/A	2,864	2,801	47,024	53,043
2015-01-23	$65.83	$60.00	20.4%	5.8%	25.7%	19.8%	20.9%	3.5%	4.1%	5.1M	-115.2M	-950.2K	1.47	11.07	N/A	N/A	1,820	2,672	47,955	53,344
2015-01-26	$66.08	$60.00	20.9%	6.0%	25.7%	21.0%	20.8%	3.3%	3.6%	5.7M	-123.3M	-931.6K	0.26	8.14	N/A	N/A	3,269	863	48,123	53,542
2015-01-27	$65.51	$60.00	21.1%	6.0%	25.9%	21.5%	21.4%	3.6%	3.7%	5.5M	-117.0M	-956.3K	0.45	9.82	N/A	N/A	1,277	571	50,711	54,038
2015-01-28	$64.90	$60.00	22.4%	6.4%	25.3%	24.9%	22.4%	3.0%	3.1%	4.6M	-102.8M	-972.5K	1.70	12.80	N/A	N/A	2,066	3,516	51,124	54,303
2015-01-29	$65.35	$60.00	22.3%	6.4%	25.5%	24.7%	23.0%	3.8%	3.4%	5.0M	-109.4M	-989.8K	1.35	11.44	N/A	N/A	2,715	3,657	51,552	54,941
2015-01-30	$63.83	$60.00	23.2%	6.6%	26.6%	26.8%	23.9%	3.5%	3.1%	2.9M	-73.5M	-1.0M	1.78	12.41	N/A	N/A	2,784	4,967	52,287	56,024