M Options History — August 2015

In August 2015, M traded between $57.34 and $68.91. ATM implied volatility averaged 28.7%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.4% (HV 20d: 26.3%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2015-08-12: Highest Volume — 111,625 contracts
  • 2015-08-24: Largest IV spike — 31.1% change
  • 2015-08-24: Highest IV Rank — 54.6%
  • 2015-08-24: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.07$57.34$68.91$68.21$58.71
Max Pain$67.26$65.00$70.00$70.00$65.00
ATM IV28.7%23.2%38.2%25.7%31.0%
Expected Move8.4%6.7%11.5%8.0%9.3%
HV 20d26.3%21.4%31.5%31.5%27.3%
HV 60d25.8%23.7%26.7%26.0%26.4%
IV Rank31.6%18.8%54.6%24.9%35.3%
IV Percentile74.9%50.0%97.6%65.9%86.5%
Term Structure-0.8%-8.0%1.2%0.0%0.2%
VWIV29.8%23.6%39.3%28.5%33.9%
Skew 25d3.2%1.0%7.0%1.0%4.7%
Skew 10d5.1%-4.2%9.1%2.7%9.1%
Call IV 25d27.6%22.3%34.8%25.7%29.7%
Put IV 25d30.8%24.3%41.7%26.7%34.5%
Bid-Ask Spread %21.647.4866.2612.9118.87
Gamma HHI0.110.080.140.120.12
Net GEX-5.7M-29.0M18.3M12.9M-1.8M
Net DEX187.0M-200.7M513.5M-129.0M214.7M
Net VEX-2.3M-2.6M-1.9M-2.5M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.533.851.600.63
Total Volume29,683.14310,345111,62513,16218,038
Total OI314,069.571257,147386,162279,358261,395

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$68.21$70.0025.7%8.0%31.5%24.9%28.5%1.0%0.0%12.9M-129.0M-2.5M1.6012.91N/AN/A5,0578,105158,429120,929
2015-08-04$68.55$70.0025.9%8.2%31.4%25.3%28.4%1.0%-0.2%15.7M-170.5M-2.5M0.998.94N/AN/A9,2379,150161,690121,326
2015-08-05$68.91$70.0026.1%8.4%30.0%26.0%29.0%1.3%-0.2%18.3M-200.7M-2.5M1.179.14N/AN/A8,0319,381163,567123,052
2015-08-06$67.51$67.5030.4%8.2%30.9%36.5%28.9%2.7%-1.1%10.5M-70.3M-2.5M3.8517.03N/AN/A8,11831,271165,990124,689
2015-08-07$66.97$67.5030.9%8.4%30.9%37.7%29.1%3.0%-0.9%410.9K-5.3M-2.5M1.5613.89N/AN/A8,48313,220168,381142,594
2015-08-10$67.43$70.0031.2%8.6%31.0%38.6%29.5%2.0%-0.6%5.6M-49.5M-2.5M1.7018.32N/AN/A16,09527,377158,966136,947
2015-08-11$67.53$70.0032.1%8.7%31.0%40.7%30.6%2.8%-1.9%2.6M-36.6M-2.6M1.0014.70N/AN/A36,76136,924165,921158,188
2015-08-12$64.10$67.5024.1%6.9%22.1%21.0%24.5%1.7%0.0%-28.0M344.9M-2.2M2.1813.42N/AN/A35,14976,476189,801178,854
2015-08-13$62.94$67.5024.8%7.3%21.4%22.7%24.8%2.8%1.2%-29.0M412.0M-2.4M1.687.61N/AN/A13,05621,994201,491184,671
2015-08-14$63.39$67.5023.7%7.0%22.0%19.9%24.5%2.0%1.0%-21.0M333.3M-2.4M1.0611.71N/AN/A14,01914,916205,338175,228
2015-08-17$62.88$67.5023.7%6.8%22.0%19.9%24.3%2.8%-0.5%-17.1M310.7M-2.3M1.7410.84N/AN/A6,63311,525194,203161,651
2015-08-18$62.69$67.5023.2%6.7%22.1%18.8%23.6%2.6%-0.1%-17.5M326.9M-2.2M1.338.69N/AN/A7,57510,060196,336163,395
2015-08-19$62.39$67.5023.3%6.7%21.8%18.9%25.4%2.6%-0.3%-19.1M341.3M-2.2M0.537.48N/AN/A6,7703,575197,770163,225
2015-08-20$61.50$67.5024.6%7.1%21.9%20.7%26.8%3.3%-0.4%-21.6M395.8M-2.1M0.9610.17N/AN/A14,72614,079200,982163,829
2015-08-21$59.32$65.0029.1%8.5%24.0%31.8%28.8%4.2%-1.3%-10.2M513.5M-2.1M0.9825.37N/AN/A10,79110,601204,988164,455
2015-08-24$57.57$65.0038.2%11.5%25.0%54.6%39.2%6.8%-0.9%-4.4M294.4M-2.0M0.8766.26N/AN/A11,1709,744138,270118,877
2015-08-25$57.34$65.0037.6%10.3%25.0%53.1%39.3%7.0%-8.0%-4.9M316.9M-1.9M1.1763.36N/AN/A10,08011,815139,782120,293
2015-08-26$58.61$65.0034.1%10.2%27.0%43.7%36.1%3.9%-0.6%-4.8M275.6M-2.0M1.1354.64N/AN/A9,01410,149141,832119,837
2015-08-27$58.92$65.0032.2%9.5%27.1%38.5%35.2%4.4%-0.9%-4.5M259.7M-2.0M0.9637.16N/AN/A14,04313,461144,437120,585
2015-08-28$58.93$65.0031.1%9.2%27.3%35.5%35.2%4.7%-0.8%-1.6M249.7M-2.1M0.6723.85N/AN/A10,0136,664151,050122,217
2015-08-31$58.71$65.0031.0%9.3%27.3%35.3%33.9%4.7%0.2%-1.8M214.7M-2.0M0.6318.87N/AN/A11,0816,957147,300114,095