M Options History — May 2015

In May 2015, M traded between $63.16 and $69.08. ATM implied volatility averaged 28.9%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.5% (HV 20d: 22.4%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2015-05-15: Highest Volume — 64,660 contracts
  • 2015-05-13: Largest IV drop — 60.5% change
  • 2015-05-12: Highest IV Rank — 100.0%
  • 2015-05-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.22$63.16$69.08$64.95$66.99
Max Pain$65.38$65.00$67.50$67.50$67.50
ATM IV28.9%20.2%56.0%31.8%21.5%
Expected Move6.8%5.8%9.1%9.1%6.2%
HV 20d22.4%16.5%27.6%19.8%27.0%
HV 60d21.4%19.5%23.6%19.7%22.7%
IV Rank39.7%17.6%100.0%48.8%20.5%
IV Percentile64.1%32.5%100.0%90.1%42.5%
Term Structure-0.6%-6.9%1.2%-6.9%-0.2%
VWIV23.6%20.5%31.7%31.7%22.2%
Skew 25d1.7%0.4%2.6%2.5%1.2%
Skew 10d3.3%0.7%5.0%5.0%1.8%
Call IV 25d22.9%19.9%30.7%30.7%21.5%
Put IV 25d24.6%21.1%33.1%33.1%22.6%
Bid-Ask Spread %9.956.6915.119.0511.18
Gamma HHI0.250.140.440.300.14
Net GEX12.1K-17.1M15.5M-8.7M8.5M
Net DEX-30.9M-193.8M218.8M61.7M-80.6M
Net VEX-1.4M-1.9M-1.1M-1.3M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.412.070.662.07
Total Volume20,136.351,79164,6605,66614,363
Total OI164,573.3126,800192,819152,565192,819

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$64.95$67.5031.8%9.1%19.8%48.8%31.7%2.5%-6.9%-8.7M61.7M-1.3M0.669.05N/AN/A3,4122,25462,63489,931
2015-05-04$65.29$65.0034.2%7.2%19.9%54.8%25.1%2.6%-0.3%-8.4M42.8M-1.3M0.419.56N/AN/A1,26952263,21790,436
2015-05-05$64.50$65.0033.8%7.1%20.3%53.7%25.2%2.5%-0.1%-10.1M83.9M-1.2M0.778.71N/AN/A2,9702,27964,09490,701
2015-05-06$63.65$65.0036.1%7.5%17.2%59.7%25.8%2.6%-0.7%-10.3M122.8M-1.2M0.5410.24N/AN/A5,5383,00964,80991,143
2015-05-07$64.74$65.0037.3%7.3%16.9%62.6%26.0%2.5%-0.4%-9.5M67.1M-1.2M0.908.67N/AN/A5,1694,64966,48391,431
2015-05-08$65.94$65.0040.8%7.4%17.0%71.6%25.5%2.5%-0.8%-6.4M-4.9M-1.3M1.209.39N/AN/A4,3845,27568,53491,856
2015-05-11$66.03$65.0050.1%7.7%17.1%95.2%25.8%2.5%-1.9%-7.3M-5.1M-1.2M0.5412.71N/AN/A16,0338,64570,43092,533
2015-05-12$65.17$65.0056.0%7.7%16.5%100.0%26.3%2.4%-2.0%-6.6M24.5M-1.2M0.698.83N/AN/A18,16212,54580,48595,855
2015-05-13$63.84$65.0022.1%6.3%17.8%22.0%22.5%1.9%1.0%-17.1M171.5M-1.1M0.989.91N/AN/A20,62720,16483,52899,750
2015-05-14$63.16$65.0021.8%6.2%18.0%21.2%21.9%1.4%1.2%-5.3M218.8M-1.1M1.336.69N/AN/A14,35919,12386,10999,771
2015-05-15$66.21$65.0023.2%6.7%24.8%24.5%23.4%0.4%0.5%3.4M-116.2M-1.2M0.7310.83N/AN/A37,47027,19089,24699,828
2015-05-18$67.85$65.0022.1%6.3%26.3%21.9%22.4%1.2%-0.7%8.4M-139.9M-1.3M0.4912.32N/AN/A24,64112,15166,63460,166
2015-05-19$69.08$65.0021.1%6.0%27.0%19.6%21.8%1.4%-0.4%11.2M-193.8M-1.4M0.557.84N/AN/A18,97810,47774,97067,801
2015-05-20$68.24$65.0021.4%6.1%27.4%20.3%21.1%1.3%-0.1%10.7M-159.3M-1.6M0.897.58N/AN/A8,4647,51181,81270,704
2015-05-21$67.61$65.0020.8%6.0%27.6%19.0%20.5%1.6%-0.5%7.4M-121.4M-1.6M0.7915.11N/AN/A4,2523,37979,72673,558
2015-05-22$68.10$65.0020.2%5.8%27.6%17.6%20.5%1.2%-0.3%9.0M-143.8M-1.5M1.239.02N/AN/A2,9963,68680,05074,640
2015-05-26$67.32$65.0020.9%6.1%27.0%19.2%21.2%0.8%-0.1%7.3M-127.2M-1.8M1.8210.54N/AN/A7,07212,83988,78784,329
2015-05-27$67.66$65.0021.2%6.2%27.0%19.9%21.8%0.9%0.1%8.5M-143.0M-1.8M1.209.32N/AN/A6,7128,04190,46885,752
2015-05-28$68.02$67.5021.8%6.4%26.3%21.2%22.0%0.9%-0.1%15.5M-176.7M-1.8M0.7111.47N/AN/A12,9189,19996,75189,695
2015-05-29$66.99$67.5021.5%6.2%27.0%20.5%22.2%1.2%-0.2%8.5M-80.6M-1.9M2.0711.18N/AN/A4,6759,68898,21094,609