M Options History — February 2015

In February 2015, M traded between $62.11 and $66.08. ATM implied volatility averaged 23.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.7% (HV 20d: 23.7%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2015-02-23: Highest Volume — 37,488 contracts
  • 2015-02-11: Largest IV spike — 32.6% change
  • 2015-02-23: Highest IV Rank — 39.1%
  • 2015-02-23: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.96$62.11$66.08$64.18$63.73
Max Pain$62.24$60.00$65.00$60.00$62.50
ATM IV23.0%19.2%28.0%23.4%19.6%
Expected Move6.9%5.6%8.0%6.7%5.6%
HV 20d23.7%19.5%29.5%26.7%23.6%
HV 60d23.8%22.7%25.6%25.1%22.9%
IV Rank26.4%16.9%39.1%27.5%17.7%
IV Percentile48.4%19.4%81.7%53.2%22.2%
Term Structure0.1%-3.8%4.9%3.5%-0.3%
VWIV24.2%18.7%28.5%24.2%18.7%
Skew 25d3.5%2.3%4.2%3.7%2.6%
Skew 10d7.0%3.8%9.3%8.9%5.2%
Call IV 25d22.5%17.7%26.8%22.9%17.7%
Put IV 25d26.0%20.4%29.8%26.6%20.4%
Bid-Ask Spread %10.376.6013.7511.0211.30
Gamma HHI0.240.140.440.190.25
Net GEX4.0M-1.6M11.7M3.3M5.0M
Net DEX-64.8M-137.6M6.0M-75.5M-54.9M
Net VEX-1.0M-1.1M-966.7K-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.341.531.020.89
Total Volume10,310.2631,99637,4881,9964,950
Total OI122,617.26386,492138,600111,560113,183

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$64.18$60.0023.4%6.7%26.7%27.5%24.2%3.7%3.5%3.3M-75.5M-1.0M1.0211.02N/AN/A9861,01053,12358,437
2015-02-03$66.08$60.0021.9%6.3%28.6%23.5%20.5%3.7%4.1%6.9M-137.6M-1.0M1.539.10N/AN/A5,2668,03653,41159,104
2015-02-04$64.76$60.0020.9%6.0%29.5%21.1%20.8%2.8%4.9%4.0M-84.8M-1.1M0.4110.50N/AN/A7,1802,92054,78564,345
2015-02-05$63.72$62.5022.8%7.6%25.9%26.0%26.5%4.2%-0.6%2.9M-61.7M-1.1M0.5210.76N/AN/A4,8752,53558,50164,949
2015-02-06$63.76$62.5019.2%7.2%25.8%16.9%25.4%3.8%0.1%3.6M-66.2M-1.1M0.3411.09N/AN/A6,1172,05959,60965,394
2015-02-09$63.71$62.5023.1%7.8%24.2%26.7%26.5%4.2%-0.9%4.7M-73.5M-1.1M0.7110.62N/AN/A4,8633,46561,63765,608
2015-02-10$64.61$62.5019.3%7.3%24.8%17.0%28.5%4.1%-0.1%7.2M-96.6M-1.1M0.5311.05N/AN/A6,5083,46762,33467,402
2015-02-11$64.71$62.5025.6%7.3%24.7%33.0%26.3%3.9%-0.1%8.8M-101.6M-1.1M0.5110.06N/AN/A5,8953,03163,13667,922
2015-02-12$64.63$62.5024.8%7.1%23.9%31.0%25.6%3.9%-0.0%11.7M-106.4M-1.1M0.7011.29N/AN/A3,6082,54165,00968,754
2015-02-13$64.31$62.5024.3%7.0%20.8%29.7%25.6%4.1%0.1%10.9M-86.4M-1.0M0.947.84N/AN/A2,3672,21765,42069,373
2015-02-17$63.57$65.0025.9%7.4%21.0%33.8%26.6%3.8%-0.8%3.5M-43.7M-985.5K0.9712.07N/AN/A5,3175,15965,53569,560
2015-02-18$63.48$62.5025.7%7.4%20.9%33.4%26.2%4.1%-0.9%-1.3M-38.6M-972.9K0.7011.73N/AN/A2,3711,65464,70070,826
2015-02-19$63.00$62.5025.9%7.4%20.4%33.7%25.1%3.6%-1.3%-1.6M-30.3M-966.7K0.909.20N/AN/A3,4543,09264,58670,937
2015-02-20$63.70$62.5025.5%7.3%19.5%32.8%24.6%3.3%-1.4%-1.0M-46.5M-980.0K0.358.43N/AN/A5,4341,88365,70972,891
2015-02-23$64.03$62.5028.0%8.0%19.5%39.1%28.1%3.1%-3.8%191.9K-30.4M-989.4K0.346.60N/AN/A27,8799,60937,96948,523
2015-02-24$62.11$62.5020.6%5.9%21.9%20.3%20.8%2.3%-0.3%-754.6K6.0M-1.0M0.4911.33N/AN/A18,9899,31756,91054,333
2015-02-25$63.68$62.5019.8%5.7%23.9%18.2%19.2%2.9%-0.3%4.6M-52.1M-1.1M0.5013.75N/AN/A7,7543,87259,47653,777
2015-02-26$63.55$62.5020.1%5.8%23.7%19.2%19.7%2.6%-0.3%4.4M-49.4M-1.1M0.579.35N/AN/A3,9552,26059,10953,451
2015-02-27$63.73$62.5019.6%5.6%23.6%17.7%18.7%2.6%-0.3%5.0M-54.9M-1.1M0.8911.30N/AN/A2,6262,32459,35453,829