M Options History — April 2015 In April 2015, M traded between $64.61 and $69.80. ATM implied volatility averaged 26.8%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.4% (HV 20d: 23.4%). Max pain ranged from $62.50 to $67.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.99.
Notable Days 2015-04-02 : Highest Volume — 39,364 contracts2015-04-08 : Largest IV spike — 30.8% change2015-04-30 : Highest IV Rank — 49.3%2015-04-30 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $67.23 $64.61 $69.80 $65.36 $64.61 Max Pain $67.14 $62.50 $67.50 $62.50 $67.50 ATM IV 26.8% 19.2% 32.0% 19.2% 32.0% Expected Move 7.8% 5.5% 9.2% 5.5% 9.2% HV 20d 23.4% 15.9% 25.6% 15.9% 24.6% HV 60d 21.5% 20.1% 23.2% 21.8% 20.1% IV Rank 36.1% 16.7% 49.3% 16.7% 49.3% IV Percentile 72.5% 22.6% 90.9% 22.6% 90.9% Term Structure -2.9% -6.5% 4.6% 4.6% -6.5% VWIV 27.6% 19.6% 32.0% 19.6% 32.0% Skew 25d 1.7% 0.9% 2.5% 0.9% 2.3% Skew 10d 3.4% 1.5% 5.0% 2.6% 4.3% Call IV 25d 26.9% 19.3% 31.3% 19.3% 31.3% Put IV 25d 28.6% 20.3% 33.6% 20.3% 33.6% Bid-Ask Spread % 10.04 6.96 13.00 9.44 9.09 Gamma HHI 0.25 0.18 0.47 0.29 0.29 Net GEX 3.3M -8.7M 14.5M 9.5M -8.7M Net DEX -120.4M -267.7M 74.2M -104.8M 74.2M Net VEX -1.3M -1.3M -1.1M -1.1M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.27 3.88 0.71 1.04 Total Volume 12,654.667 4,412 39,364 13,355 5,408 Total OI 143,137.714 115,112 163,710 115,112 151,514
Daily Data (21 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 2015-04-01 $65.36 $62.50 19.2% 5.5% 15.9% 16.7% 19.6% 0.9% 4.6% 9.5M -104.8M -1.1M 0.71 9.44 N/A N/A 7,790 5,565 57,446 57,666 2015-04-02 $67.97 $65.00 21.2% 6.9% 20.7% 21.9% 24.5% 1.9% -0.4% 8.5M -200.4M -1.2M 0.93 9.32 N/A N/A 20,344 19,020 61,194 60,647 2015-04-06 $68.16 $67.50 21.7% 7.1% 20.5% 23.0% 25.2% 2.0% -1.3% 8.3M -196.5M -1.2M 0.34 10.03 N/A N/A 7,860 2,678 68,211 70,122 2015-04-07 $67.93 $67.50 20.8% 7.1% 20.3% 20.9% 25.0% 2.1% -1.1% 9.7M -198.8M -1.3M 0.98 6.96 N/A N/A 7,142 6,976 71,245 69,342 2015-04-08 $69.80 $67.50 27.3% 7.8% 21.8% 37.2% 27.7% 2.5% -3.1% 7.6M -262.6M -1.2M 0.41 13.00 N/A N/A 16,810 6,845 70,456 70,111 2015-04-09 $68.00 $67.50 27.4% 7.9% 23.4% 37.7% 27.8% 1.8% -2.5% 8.4M -203.0M -1.3M 0.99 10.07 N/A N/A 6,737 6,684 76,850 73,389 2015-04-10 $69.19 $67.50 28.2% 8.1% 23.7% 39.5% 29.0% 1.3% -3.1% 7.8M -249.8M -1.3M 0.42 9.89 N/A N/A 18,735 7,858 76,369 75,896 2015-04-13 $69.25 $67.50 28.2% 8.1% 23.7% 39.7% 28.6% 1.3% -3.4% 14.5M -267.7M -1.3M 0.53 10.86 N/A N/A 4,829 2,552 86,169 77,541 2015-04-14 $68.00 $67.50 28.6% 8.2% 24.8% 40.7% 28.9% 1.8% -3.3% 9.9M -202.2M -1.3M 1.10 10.00 N/A N/A 4,443 4,892 85,141 78,079 2015-04-15 $67.81 $67.50 28.4% 8.1% 24.9% 40.1% 28.8% 1.3% -3.5% 6.2M -188.7M -1.3M 0.88 9.50 N/A N/A 3,609 3,183 83,329 78,696 2015-04-16 $67.65 $67.50 27.9% 8.0% 24.9% 38.9% 28.5% 1.3% -3.0% 3.6M -184.0M -1.3M 0.79 12.36 N/A N/A 2,467 1,945 83,798 78,936 2015-04-17 $66.55 $67.50 27.9% 8.0% 25.6% 38.9% 28.7% 1.1% -3.3% -375.6K -120.2M -1.3M 0.68 7.26 N/A N/A 3,924 2,669 83,704 78,838 2015-04-20 $66.82 $67.50 27.7% 7.9% 25.2% 38.4% 28.5% 1.3% -3.4% 156.0K -54.9M -1.2M 0.40 9.95 N/A N/A 4,925 1,980 53,542 68,085 2015-04-21 $67.05 $67.50 26.5% 7.6% 25.2% 35.3% 26.5% 1.4% -2.8% 709.1K -66.2M -1.2M 1.49 9.43 N/A N/A 5,500 8,184 56,660 68,594 2015-04-22 $67.00 $67.50 25.7% 7.4% 25.1% 33.2% 25.8% 1.8% -2.1% -734.1K -54.6M -1.3M 0.27 10.75 N/A N/A 5,819 1,552 58,241 73,754 2015-04-23 $67.40 $67.50 26.8% 7.7% 24.8% 36.1% 27.6% 1.7% -3.0% 407.6K -72.2M -1.3M 2.02 12.08 N/A N/A 3,969 8,004 60,066 73,861 2015-04-24 $67.01 $67.50 26.9% 7.7% 23.3% 36.2% 27.7% 1.8% -3.1% -1.7M -47.2M -1.3M 0.91 9.89 N/A N/A 3,495 3,178 60,223 78,892 2015-04-27 $65.76 $67.50 28.6% 8.2% 24.5% 40.6% 28.5% 2.2% -3.9% -4.2M 6.0M -1.3M 0.69 10.27 N/A N/A 5,342 3,692 60,364 79,927 2015-04-28 $65.75 $67.50 31.1% 8.9% 24.2% 47.0% 31.0% 1.9% -5.9% -4.3M 6.0M -1.3M 1.23 10.04 N/A N/A 4,537 5,571 61,057 81,991 2015-04-29 $64.76 $67.50 31.0% 8.9% 24.7% 46.7% 30.8% 2.4% -5.8% -6.8M 58.4M -1.3M 3.88 10.69 N/A N/A 3,900 15,135 61,625 84,321 2015-04-30 $64.61 $67.50 32.0% 9.2% 24.6% 49.3% 32.0% 2.3% -6.5% -8.7M 74.2M -1.3M 1.04 9.09 N/A N/A 2,646 2,762 62,254 89,260
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