M Options History — July 2015 In July 2015, M traded between $65.85 and $72.80. ATM implied volatility averaged 25.2%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.3% (HV 20d: 27.5%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.31.
Notable Days 2015-07-15 : Highest Volume — 92,481 contracts2015-07-15 : Largest IV spike — 10.5% change2015-07-15 : Highest IV Rank — 32.0%2015-07-09 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $69.23 $65.85 $72.80 $67.74 $69.05 Max Pain $68.86 $67.50 $70.00 $69.00 $70.00 ATM IV 25.2% 23.6% 28.6% 24.1% 25.4% Expected Move 7.5% 6.9% 8.3% 7.0% 7.6% HV 20d 27.5% 18.4% 34.2% 18.4% 31.1% HV 60d 24.3% 21.0% 26.3% 22.7% 26.0% IV Rank 24.2% 20.4% 32.0% 26.6% 24.1% IV Percentile 62.0% 54.0% 80.6% 56.3% 63.1% Term Structure 0.2% -3.4% 5.6% 0.1% -0.6% VWIV 26.7% 24.1% 28.8% 24.6% 27.8% Skew 25d 1.2% 0.1% 2.5% 1.4% 1.8% Skew 10d 2.8% -0.3% 4.6% 4.1% 1.9% Call IV 25d 25.2% 22.5% 28.8% 23.9% 25.3% Put IV 25d 26.4% 24.6% 28.9% 25.2% 27.0% Bid-Ask Spread % 11.44 6.79 22.87 10.51 10.59 Gamma HHI 0.12 0.09 0.25 0.12 0.11 Net GEX 12.3M -4.1M 41.4M 1.2M 19.0M Net DEX -218.5M -612.8M 64.3M -76.8M -222.0M Net VEX -2.3M -2.6M -2.0M -2.1M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.33 3.31 1.13 1.03 Total Volume 28,923.045 10,078 92,481 10,511 27,897 Total OI 246,091.727 195,500 296,189 195,500 284,935
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 2015-07-01 $67.74 $69.00 24.1% 7.0% 18.4% 26.6% 24.6% 1.4% 0.1% 1.2M -76.8M -2.1M 1.13 10.51 N/A N/A 4,930 5,581 101,352 94,148 2015-07-02 $67.47 $68.50 23.6% 6.9% 18.4% 25.4% 24.1% 0.8% 0.1% -471.2K -60.6M -2.1M 0.77 9.72 N/A N/A 5,696 4,382 101,790 94,475 2015-07-06 $67.47 $67.50 24.3% 7.9% 18.4% 21.4% 27.5% 1.7% 3.7% 198.6K -57.3M -2.0M 0.71 7.59 N/A N/A 6,498 4,624 101,691 95,041 2015-07-07 $67.97 $67.50 23.9% 8.1% 18.6% 20.4% 28.7% 1.3% 4.8% 1.6M -93.5M -2.0M 3.31 7.79 N/A N/A 6,739 22,301 103,624 95,401 2015-07-08 $66.30 $67.50 24.4% 8.0% 20.4% 21.7% 28.6% 1.6% 2.6% -3.3M 35.7M -2.0M 1.56 13.66 N/A N/A 7,246 11,291 105,149 106,237 2015-07-09 $65.85 $67.50 24.3% 8.3% 20.5% 21.4% 28.5% 1.7% -0.5% -4.1M 64.3M -2.0M 0.89 13.02 N/A N/A 17,454 15,583 107,797 107,791 2015-07-10 $66.51 $67.50 24.6% 8.0% 21.0% 22.2% 28.8% 2.5% 5.6% -2.9M 21.9M -2.1M 1.82 6.79 N/A N/A 8,703 15,818 117,614 114,568 2015-07-13 $66.72 $67.50 25.9% 7.4% 20.4% 25.5% 26.3% 1.5% -1.0% -2.4M 6.8M -2.0M 1.06 8.74 N/A N/A 13,121 13,850 115,339 113,934 2015-07-14 $66.73 $67.50 25.8% 7.3% 20.2% 25.2% 26.0% 0.6% -0.4% -2.3M 6.5M -2.0M 0.62 8.88 N/A N/A 16,714 10,378 120,489 118,487 2015-07-15 $71.92 $67.50 28.6% 7.4% 33.9% 32.0% 25.4% 0.1% -3.4% 16.7M -413.0M -2.1M 0.33 22.87 N/A N/A 69,394 23,087 125,929 121,190 2015-07-16 $72.80 $67.50 25.7% 7.1% 33.7% 24.8% 25.1% 1.2% -1.1% 29.3M -612.8M -2.4M 0.51 17.40 N/A N/A 31,875 16,202 158,893 129,585 2015-07-17 $72.36 $70.00 24.9% 7.0% 33.7% 23.0% 24.7% 0.3% -0.2% 41.4M -582.9M -2.4M 0.88 14.72 N/A N/A 17,735 15,568 163,238 132,951 2015-07-20 $72.05 $70.00 25.4% 7.2% 33.6% 24.1% 26.0% 1.1% -0.9% 21.2M -433.1M -2.4M 1.62 11.89 N/A N/A 7,445 12,042 143,722 117,882 2015-07-21 $71.71 $70.00 25.0% 7.1% 33.6% 23.1% 25.4% 0.9% -0.1% 21.0M -407.6M -2.4M 1.06 8.78 N/A N/A 18,165 19,289 144,396 119,063 2015-07-22 $71.93 $70.00 25.1% 7.2% 33.7% 23.5% 27.5% 1.1% -0.3% 22.1M -424.9M -2.3M 2.22 10.44 N/A N/A 7,381 16,350 143,842 113,709 2015-07-23 $71.11 $70.00 25.4% 7.3% 33.9% 24.3% 27.3% 1.4% -1.1% 19.9M -358.8M -2.4M 1.24 10.14 N/A N/A 11,637 14,398 144,861 114,537 2015-07-24 $69.97 $70.00 26.0% 7.5% 34.2% 25.7% 27.2% 1.6% -1.2% 17.7M -275.7M -2.5M 2.02 9.81 N/A N/A 9,461 19,149 149,039 114,291 2015-07-27 $69.91 $70.00 26.5% 7.9% 34.1% 26.9% 28.0% 1.7% -0.8% 18.9M -270.4M -2.5M 2.09 11.94 N/A N/A 6,306 13,160 148,536 116,904 2015-07-28 $68.90 $70.00 25.4% 7.5% 31.1% 24.2% 27.2% 0.4% -0.2% 16.6M -186.1M -2.4M 1.96 12.34 N/A N/A 9,438 18,497 150,578 117,929 2015-07-29 $69.15 $70.00 25.0% 7.5% 31.1% 23.1% 26.6% 1.1% -0.6% 19.9M -220.4M -2.4M 0.65 13.36 N/A N/A 17,908 11,560 153,146 114,793 2015-07-30 $69.38 $70.00 25.0% 7.5% 31.1% 23.1% 26.5% 1.5% -0.2% 20.3M -246.1M -2.5M 1.29 10.66 N/A N/A 13,750 17,704 156,446 118,696 2015-07-31 $69.05 $70.00 25.4% 7.6% 31.1% 24.1% 27.8% 1.8% -0.6% 19.0M -222.0M -2.6M 1.03 10.59 N/A N/A 13,726 14,171 162,680 122,255
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