M Options History — June 2015 In June 2015, M traded between $66.86 and $70.60. ATM implied volatility averaged 21.4%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.1% (HV 20d: 21.3%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2015-06-03 : Highest Volume — 31,172 contracts2015-06-29 : Largest IV spike — 19.0% change2015-06-30 : Highest IV Rank — 26.9%2015-06-29 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $69.16 $66.86 $70.60 $66.86 $67.62 Max Pain $68.16 $67.50 $70.00 $67.50 $69.50 ATM IV 21.4% 18.9% 24.3% 21.2% 24.3% Expected Move 6.2% 5.4% 7.3% 6.3% 7.2% HV 20d 21.3% 14.9% 28.2% 27.0% 19.4% HV 60d 22.8% 22.3% 23.3% 22.7% 22.7% IV Rank 20.2% 14.6% 26.9% 19.8% 26.9% IV Percentile 37.3% 14.3% 56.7% 40.9% 56.7% Term Structure -0.1% -0.9% 0.3% -0.2% -0.0% VWIV 22.1% 19.3% 25.6% 22.6% 25.6% Skew 25d 1.0% -0.3% 1.8% 1.4% 1.7% Skew 10d 2.6% 1.2% 3.7% 2.0% 3.7% Call IV 25d 21.5% 18.5% 24.1% 21.0% 24.1% Put IV 25d 22.5% 20.1% 25.8% 22.5% 25.8% Bid-Ask Spread % 12.84 6.97 29.85 6.97 8.40 Gamma HHI 0.22 0.12 0.68 0.16 0.12 Net GEX 17.0M 935.9K 76.1M 4.8M 935.9K Net DEX -223.1M -377.8M -63.0M -81.6M -66.5M Net VEX -2.1M -2.2M -1.9M -1.9M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.21 1.97 1.97 0.96 Total Volume 13,958.455 7,514 31,172 11,281 15,064 Total OI 203,363.136 177,029 226,151 187,379 192,079
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 2015-06-01 $66.86 $67.50 21.2% 6.3% 27.0% 19.8% 22.6% 1.4% -0.2% 4.8M -81.6M -1.9M 1.97 6.97 N/A N/A 3,793 7,488 93,341 94,038 2015-06-02 $68.49 $67.50 22.8% 7.0% 28.2% 23.5% 24.7% 0.6% -0.9% 9.2M -168.2M -1.9M 0.21 29.85 N/A N/A 18,537 3,845 94,682 94,663 2015-06-03 $69.58 $67.50 22.7% 6.8% 28.0% 23.2% 24.9% 1.1% 0.3% 14.1M -262.8M -2.1M 1.09 21.54 N/A N/A 14,925 16,247 106,865 97,210 2015-06-04 $69.28 $67.50 23.0% 6.4% 27.5% 23.9% 22.9% 0.3% -0.3% 14.4M -243.2M -2.2M 1.87 11.89 N/A N/A 3,996 7,470 111,901 99,845 2015-06-05 $69.28 $67.50 22.4% 6.3% 27.1% 22.7% 22.1% 0.5% -0.3% 16.1M -243.4M -2.2M 1.47 11.11 N/A N/A 3,774 5,530 112,200 101,390 2015-06-08 $68.97 $67.50 22.9% 6.4% 26.6% 23.9% 22.7% -0.3% 0.1% 14.3M -225.7M -2.2M 1.01 9.07 N/A N/A 4,972 5,023 111,583 101,151 2015-06-09 $69.11 $67.50 22.8% 6.5% 26.6% 23.6% 23.1% 0.6% -0.1% 14.9M -233.2M -2.2M 1.13 12.57 N/A N/A 4,167 4,692 112,799 102,994 2015-06-10 $68.95 $67.50 21.4% 6.2% 26.0% 20.3% 21.9% 0.6% 0.1% 16.0M -224.5M -2.2M 0.40 11.69 N/A N/A 15,053 5,998 114,746 103,085 2015-06-11 $68.89 $67.50 21.0% 6.0% 24.6% 19.3% 21.7% 0.9% 0.3% 16.8M -209.9M -2.2M 0.64 17.01 N/A N/A 8,444 5,379 111,844 104,688 2015-06-12 $69.72 $67.50 20.8% 6.0% 24.1% 19.0% 21.4% 1.1% 0.1% 21.2M -266.9M -2.1M 0.27 10.91 N/A N/A 17,103 4,629 113,620 104,795 2015-06-15 $68.99 $67.50 21.4% 6.1% 18.9% 20.3% 21.5% 1.1% 0.2% 20.3M -237.2M -2.2M 0.45 13.08 N/A N/A 7,490 3,386 117,109 103,505 2015-06-16 $68.88 $67.50 21.1% 6.0% 16.9% 19.5% 21.2% 1.3% 0.3% 21.6M -230.8M -2.2M 0.66 12.72 N/A N/A 4,534 2,980 117,964 103,409 2015-06-17 $69.92 $67.50 21.5% 6.2% 16.5% 20.6% 21.5% 1.0% -0.7% 27.2M -317.2M -2.1M 0.38 16.51 N/A N/A 9,352 3,528 118,096 103,444 2015-06-18 $70.60 $67.50 20.7% 6.0% 16.1% 18.7% 21.9% 1.4% -0.5% 28.7M -377.8M -2.1M 0.48 10.10 N/A N/A 8,669 4,163 119,823 104,075 2015-06-19 $69.96 $67.50 19.4% 5.6% 16.1% 15.8% 19.6% 1.4% -0.3% 76.1M -332.6M -2.1M 0.55 7.72 N/A N/A 8,718 4,832 121,828 104,323 2015-06-22 $70.02 $67.50 18.9% 5.4% 16.0% 14.6% 19.3% 1.8% 0.2% 11.3M -239.3M -2.1M 0.48 13.51 N/A N/A 6,893 3,286 98,604 78,446 2015-06-23 $70.14 $70.00 19.2% 5.5% 15.2% 15.2% 19.8% 1.1% 0.1% 12.0M -249.8M -2.1M 0.65 10.84 N/A N/A 5,047 3,265 101,699 79,713 2015-06-24 $69.94 $70.00 19.0% 5.5% 15.3% 14.8% 20.5% 1.4% 0.2% 11.8M -241.1M -2.1M 0.81 10.15 N/A N/A 5,175 4,209 101,973 79,918 2015-06-25 $69.21 $70.00 19.8% 5.6% 15.8% 16.6% 19.8% 1.0% 0.2% 9.6M -199.3M -2.1M 0.59 10.64 N/A N/A 4,869 2,871 102,662 81,744 2015-06-26 $69.91 $70.00 20.0% 5.8% 14.9% 17.0% 21.3% 1.4% 0.2% 9.3M -193.8M -2.0M 1.02 12.33 N/A N/A 5,854 5,980 95,116 81,913 2015-06-29 $67.16 $70.00 23.8% 7.3% 21.1% 25.7% 25.5% 1.4% -0.1% 3.4M -63.0M -2.0M 1.16 13.83 N/A N/A 11,998 13,858 95,107 83,999 2015-06-30 $67.62 $69.50 24.3% 7.2% 19.4% 26.9% 25.6% 1.7% -0.0% 935.9K -66.5M -2.1M 0.96 8.40 N/A N/A 7,676 7,388 98,454 93,625
« May 2015 | All History | Jul 2015 » Home M History June 2015