M Options History — March 2015 In March 2015, M traded between $62.36 and $65.98. ATM implied volatility averaged 19.0%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.9% (HV 20d: 18.0%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.63.
Notable Days 2015-03-09 : Highest Volume — 16,676 contracts2015-03-26 : Largest IV spike — 11.0% change2015-03-10 : Highest IV Rank — 20.5%2015-03-11 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $63.96 $62.36 $65.98 $63.91 $64.93 Max Pain $62.50 $62.50 $62.50 $62.50 $62.50 ATM IV 19.0% 17.3% 20.7% 18.1% 18.2% Expected Move 5.5% 5.0% 5.8% 5.2% 5.2% HV 20d 18.0% 13.3% 22.2% 22.1% 16.2% HV 60d 22.1% 21.4% 22.9% 22.9% 21.8% IV Rank 16.3% 12.0% 20.5% 13.9% 14.2% IV Percentile 19.2% 5.2% 36.5% 9.1% 11.9% Term Structure 3.2% -0.2% 5.0% 1.0% 4.2% VWIV 19.2% 17.2% 20.4% 18.4% 18.2% Skew 25d 2.4% 1.4% 2.9% 2.3% 1.4% Skew 10d 4.8% 3.4% 5.8% 4.4% 3.4% Call IV 25d 18.2% 16.6% 19.5% 17.9% 18.0% Put IV 25d 20.6% 18.8% 22.3% 20.2% 19.5% Bid-Ask Spread % 10.33 6.94 13.35 10.12 11.76 Gamma HHI 0.30 0.20 0.65 0.26 0.23 Net GEX 7.7M -203.2K 32.1M 5.6M 9.3M Net DEX -75.2M -192.0M -10.4M -61.0M -103.4M Net VEX -1.1M -1.1M -1.0M -1.0M -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.14 1.89 0.66 0.97 Total Volume 6,162 1,237 16,676 5,468 14,719 Total OI 116,714.273 99,984 131,171 113,291 105,528
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 2015-03-02 $63.91 $62.50 18.1% 5.2% 22.1% 13.9% 18.4% 2.3% 1.0% 5.6M -61.0M -1.0M 0.66 10.12 N/A N/A 3,295 2,173 59,019 54,272 2015-03-03 $63.46 $62.50 19.6% 5.6% 22.2% 17.9% 19.0% 2.9% -0.2% 3.5M -41.0M -1.0M 0.42 10.34 N/A N/A 3,675 1,555 58,506 54,248 2015-03-04 $62.89 $62.50 19.3% 5.5% 19.3% 17.1% 20.1% 2.5% 0.3% 1.5M -23.6M -1.0M 1.17 10.31 N/A N/A 2,312 2,702 58,333 53,786 2015-03-05 $63.17 $62.50 18.6% 5.6% 18.3% 15.3% 20.4% 2.5% 2.5% 2.4M -30.8M -1.0M 0.68 9.12 N/A N/A 3,632 2,474 58,680 53,567 2015-03-06 $62.96 $62.50 19.4% 5.7% 17.4% 17.4% 19.8% 2.5% 2.8% 2.0M -32.9M -1.0M 0.52 12.47 N/A N/A 5,637 2,943 59,152 53,543 2015-03-09 $62.56 $62.50 19.5% 5.7% 17.6% 17.6% 20.1% 2.5% 2.6% -203.2K -10.4M -1.0M 0.67 9.26 N/A N/A 10,005 6,671 59,307 54,502 2015-03-10 $63.30 $62.50 20.7% 5.8% 18.1% 20.5% 19.8% 2.5% 2.5% 4.3M -50.7M -1.1M 0.27 6.94 N/A N/A 3,545 949 68,107 60,359 2015-03-11 $62.36 $62.50 20.4% 5.8% 18.0% 19.8% 20.1% 2.8% 2.8% 1.5M -19.3M -1.1M 0.66 9.63 N/A N/A 848 556 66,915 60,484 2015-03-12 $63.19 $62.50 20.2% 5.8% 18.7% 19.3% 20.3% 2.5% 2.6% 5.3M -53.3M -1.1M 0.67 9.78 N/A N/A 2,032 1,369 66,850 60,432 2015-03-13 $63.36 $62.50 20.4% 5.8% 18.8% 19.8% 20.3% 2.7% 3.2% 6.0M -57.0M -1.1M 0.71 8.23 N/A N/A 2,583 1,827 67,048 60,447 2015-03-16 $64.13 $62.50 19.3% 5.5% 19.3% 17.1% 20.2% 2.6% 3.9% 11.4M -95.1M -1.1M 0.78 8.35 N/A N/A 4,863 3,774 66,803 61,350 2015-03-17 $64.10 $62.50 19.1% 5.5% 18.8% 16.5% 19.2% 2.5% 4.0% 11.8M -90.3M -1.1M 0.25 12.15 N/A N/A 1,458 368 67,820 63,182 2015-03-18 $64.61 $62.50 18.6% 5.3% 19.0% 15.2% 19.3% 2.4% 4.1% 19.4M -115.9M -1.1M 0.41 10.15 N/A N/A 1,816 737 68,034 63,128 2015-03-19 $65.07 $62.50 18.3% 5.2% 18.8% 14.5% 18.7% 2.3% 4.3% 32.1M -142.0M -1.1M 0.22 10.34 N/A N/A 3,802 842 68,081 63,090 2015-03-20 $65.98 $62.50 17.7% 5.1% 19.0% 12.9% 17.2% 2.1% 4.8% 7.1M -192.0M -1.0M 0.14 10.02 N/A N/A 10,799 1,527 67,706 63,383 2015-03-23 $65.64 $62.50 18.0% 5.2% 19.2% 13.7% 17.8% 2.2% 4.0% 8.1M -121.9M -1.0M 0.40 9.61 N/A N/A 1,943 775 50,174 49,810 2015-03-24 $65.33 $62.50 17.3% 5.0% 15.3% 12.0% 17.8% 2.2% 5.0% 8.1M -111.9M -1.0M 0.30 9.54 N/A N/A 1,365 410 50,952 50,135 2015-03-25 $64.72 $62.50 17.8% 5.1% 13.3% 13.2% 18.2% 2.1% 4.5% 7.9M -97.5M -1.0M 0.24 12.45 N/A N/A 10,341 2,441 51,419 50,204 2015-03-26 $63.31 $62.50 19.7% 5.7% 15.6% 18.1% 19.5% 2.4% 3.8% 7.6M -59.7M -1.1M 0.84 10.25 N/A N/A 2,760 2,319 56,774 52,325 2015-03-27 $63.65 $62.50 19.7% 5.6% 15.7% 18.0% 18.8% 2.7% 3.5% 6.1M -59.0M -1.1M 1.89 13.35 N/A N/A 428 809 52,212 52,655 2015-03-30 $64.43 $62.50 18.0% 5.2% 16.3% 13.7% 20.0% 1.5% 4.5% 7.8M -86.0M -1.0M 0.96 13.01 N/A N/A 3,317 3,168 52,434 52,958 2015-03-31 $64.93 $62.50 18.2% 5.2% 16.2% 14.2% 18.2% 1.4% 4.2% 9.3M -103.4M -1.0M 0.97 11.76 N/A N/A 7,476 7,243 53,515 52,013
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