M Options History — September 2015

In September 2015, M traded between $50.33 and $59.32. ATM implied volatility averaged 30.6%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 7.0% (HV 20d: 23.6%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2015-09-03: Highest Volume — 33,761 contracts
  • 2015-09-28: Largest IV spike — 17.2% change
  • 2015-09-28: Highest IV Rank — 47.4%
  • 2015-09-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.60$50.33$59.32$57.95$51.41
Max Pain$60.48$60.00$65.00$65.00$60.00
ATM IV30.6%27.1%35.7%34.6%34.6%
Expected Move8.8%7.8%10.5%10.5%9.9%
HV 20d23.6%18.6%28.2%26.9%25.3%
HV 60d26.9%26.4%28.2%26.5%28.2%
IV Rank34.4%25.2%47.4%44.6%44.6%
IV Percentile82.7%68.7%95.2%95.2%94.0%
Term Structure0.1%-0.7%0.8%-0.5%0.3%
VWIV31.0%27.3%36.7%35.7%34.5%
Skew 25d4.4%3.5%5.5%5.5%4.6%
Skew 10d8.8%6.0%12.2%8.7%7.0%
Call IV 25d29.4%26.4%34.5%32.9%33.3%
Put IV 25d33.8%30.1%39.6%38.5%37.9%
Bid-Ask Spread %21.278.1672.6025.2672.60
Gamma HHI0.140.120.160.120.14
Net GEX-2.3M-4.7M-98.6K-1.1M-3.0M
Net DEX266.0M154.9M377.1M227.0M341.7M
Net VEX-2.0M-2.3M-1.6M-2.1M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.341.450.680.49
Total Volume18,716.3332,72733,76116,25119,598
Total OI295,785.857266,713326,921266,713326,921

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$57.95$65.0034.6%10.5%26.9%44.6%35.7%5.5%-0.5%-1.1M227.0M-2.1M0.6825.26N/AN/A9,6456,606151,161115,552
2015-09-02$58.49$65.0031.6%9.2%27.2%36.8%35.2%4.8%0.2%-938.0K218.9M-2.1M0.7621.34N/AN/A13,0849,903152,644115,873
2015-09-03$59.32$60.0030.2%8.7%27.9%33.3%30.3%4.7%0.1%-454.4K188.7M-2.2M1.1117.27N/AN/A15,98817,773156,366119,370
2015-09-04$58.58$60.0030.2%9.1%28.0%33.3%31.0%4.5%0.6%-972.3K234.1M-2.3M0.3414.73N/AN/A15,3885,299164,280131,223
2015-09-08$59.17$60.0029.6%8.4%28.2%31.9%30.0%3.9%-0.6%-98.6K154.9M-2.3M0.9217.96N/AN/A1,4201,307166,258122,293
2015-09-09$58.78$60.0029.5%8.4%28.1%31.5%29.8%4.3%0.3%-411.6K166.2M-2.3M0.6812.87N/AN/A8,6195,842167,103122,934
2015-09-10$58.31$60.0030.2%8.8%22.4%33.3%29.8%4.4%0.7%-1.4M195.6M-2.2M1.0411.82N/AN/A6,2696,542168,048123,271
2015-09-11$58.10$60.0029.8%8.6%21.9%32.3%30.0%4.3%0.3%-1.3M191.6M-2.2M1.2312.31N/AN/A7,0008,639170,087124,517
2015-09-14$57.77$60.0030.0%8.6%21.5%32.7%30.3%4.1%-0.3%-1.4M197.2M-2.1M0.7110.68N/AN/A6,6224,698168,312122,760
2015-09-15$57.17$60.0028.3%8.1%21.5%28.5%27.6%4.0%0.2%-1.7M222.9M-2.1M0.6013.93N/AN/A4,3112,604171,916123,187
2015-09-16$57.31$60.0027.1%7.8%21.7%25.2%27.3%3.6%0.2%-1.4M218.4M-2.1M0.568.16N/AN/A8,3744,720175,288123,831
2015-09-17$56.13$60.0028.1%8.1%22.4%27.9%27.6%3.5%-0.7%-2.7M258.9M-1.9M0.7021.04N/AN/A15,10610,563176,819123,029
2015-09-18$54.11$60.0028.9%8.2%24.9%30.0%29.6%4.0%0.5%-2.9M329.2M-1.8M1.2410.31N/AN/A13,91817,248181,335126,567
2015-09-21$53.85$60.0028.2%8.0%22.3%28.2%28.6%4.1%0.3%-3.4M314.0M-1.7M0.5512.78N/AN/A11,0846,064166,253120,880
2015-09-22$53.04$60.0029.7%8.5%20.6%32.1%29.2%4.8%0.5%-3.9M337.3M-1.7M0.6515.92N/AN/A10,0746,511168,318127,186
2015-09-23$52.85$60.0029.6%8.4%20.6%31.9%29.0%4.1%0.0%-3.9M342.2M-1.7M1.0213.11N/AN/A10,71410,888170,552128,709
2015-09-24$52.00$60.0031.5%9.1%18.6%36.7%31.8%4.3%0.3%-4.7M365.8M-1.7M0.7119.92N/AN/A14,12010,089171,321134,644
2015-09-25$52.55$60.0030.4%8.6%19.1%33.9%31.5%3.9%0.8%-4.6M335.7M-1.8M0.6220.00N/AN/A14,9299,314174,340132,830
2015-09-28$50.33$60.0035.7%10.4%23.1%47.4%36.7%5.4%-0.1%-3.6M369.5M-1.6M1.4524.53N/AN/A6,8059,900176,489132,123
2015-09-29$50.34$60.0035.4%10.2%23.3%46.6%36.5%4.8%-0.3%-3.7M377.1M-1.7M0.8370.15N/AN/A13,88611,579178,915137,998
2015-09-30$51.41$60.0034.6%9.9%25.3%44.6%34.5%4.6%0.3%-3.0M341.7M-1.9M0.4972.60N/AN/A13,1556,443185,713141,208