M Options History — October 2015 In October 2015, M traded between $47.93 and $51.74. ATM implied volatility averaged 39.6%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 16.3% (HV 20d: 23.3%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.70.
Notable Days 2015-10-26 : Highest Volume — 73,529 contracts2015-10-23 : Largest IV spike — 13.3% change2015-10-29 : Highest IV Rank — 86.7%2015-10-29 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $50.39 $47.93 $51.74 $50.95 $51.07 Max Pain $57.27 $55.00 $60.00 $60.00 $55.00 ATM IV 39.6% 32.2% 50.9% 34.9% 48.5% Expected Move 12.0% 9.4% 15.5% 10.0% 15.2% HV 20d 23.3% 20.5% 25.3% 24.6% 22.0% HV 60d 24.3% 22.4% 28.1% 27.8% 25.0% IV Rank 57.6% 38.4% 86.7% 45.5% 80.5% IV Percentile 95.8% 88.5% 99.6% 94.4% 97.6% Term Structure 0.5% -3.8% 8.3% 0.3% -1.6% VWIV 41.8% 31.7% 57.9% 36.3% 53.4% Skew 25d 4.6% 2.3% 8.8% 4.7% 2.3% Skew 10d 8.8% 6.2% 12.6% 8.5% 10.3% Call IV 25d 37.9% 30.7% 48.0% 33.6% 47.9% Put IV 25d 42.6% 34.9% 56.5% 38.3% 50.2% Bid-Ask Spread % 19.88 7.46 76.81 72.20 17.31 Gamma HHI 0.16 0.11 0.23 0.15 0.11 Net GEX -2.0M -6.1M 7.7M -2.8M 7.7M Net DEX 339.3M 155.8M 419.1M 347.8M 155.8M Net VEX -1.8M -2.2M -1.4M -1.8M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.23 3.03 0.43 0.40 Total Volume 21,597.591 5,359 73,529 27,935 41,022 Total OI 373,245.636 329,386 464,916 329,386 464,916
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 2015-10-01 $50.95 $60.00 34.9% 10.0% 24.6% 45.5% 36.3% 4.7% 0.3% -2.8M 347.8M -1.8M 0.43 72.20 N/A N/A 19,484 8,451 188,469 140,917 2015-10-02 $51.74 $60.00 33.4% 9.4% 24.8% 41.6% 31.7% 4.1% 0.1% -2.3M 317.9M -2.0M 0.43 76.81 N/A N/A 11,617 4,966 197,164 145,361 2015-10-05 $51.71 $57.50 32.4% 10.9% 24.8% 39.0% 38.6% 3.9% 6.4% -2.3M 317.5M -1.9M 0.79 10.96 N/A N/A 2,987 2,372 200,170 144,731 2015-10-06 $51.41 $57.50 32.2% 11.0% 24.0% 38.4% 38.5% 4.8% 7.1% -2.7M 333.1M -1.8M 0.74 14.42 N/A N/A 8,591 6,339 201,263 146,074 2015-10-07 $51.05 $57.50 32.3% 11.5% 24.0% 38.7% 39.1% 4.4% 7.9% -3.3M 349.6M -1.8M 0.62 12.14 N/A N/A 10,385 6,459 203,319 149,240 2015-10-08 $51.49 $57.50 34.3% 11.5% 24.7% 43.8% 39.2% 4.1% 8.3% -3.1M 329.7M -1.9M 0.46 12.98 N/A N/A 14,960 6,832 206,337 150,755 2015-10-09 $51.26 $57.50 34.8% 11.0% 24.6% 45.1% 38.9% 4.9% 7.9% -4.3M 346.4M -1.8M 0.84 12.15 N/A N/A 9,216 7,720 208,349 152,095 2015-10-12 $50.37 $57.50 36.7% 10.9% 25.0% 50.1% 36.0% 4.3% -0.4% -5.2M 395.8M -1.7M 0.28 9.96 N/A N/A 16,586 4,631 206,001 153,139 2015-10-13 $50.21 $57.50 37.4% 10.8% 25.0% 51.8% 37.1% 5.3% -0.4% -5.4M 406.9M -1.6M 1.05 8.58 N/A N/A 6,451 6,803 207,978 154,213 2015-10-14 $49.76 $57.50 39.3% 11.1% 24.7% 56.7% 37.4% 4.7% -0.4% -5.7M 419.1M -1.5M 1.14 9.32 N/A N/A 11,791 13,432 208,701 153,436 2015-10-15 $50.46 $57.50 39.4% 11.1% 25.3% 57.0% 37.1% 4.2% -0.9% -5.8M 385.9M -1.7M 0.42 7.46 N/A N/A 10,032 4,243 210,793 157,463 2015-10-16 $50.43 $57.50 37.6% 10.6% 22.4% 52.3% 35.9% 4.9% -0.8% -6.1M 390.7M -1.6M 0.61 11.85 N/A N/A 6,293 3,838 211,569 158,192 2015-10-19 $50.68 $57.50 38.8% 11.0% 22.6% 55.4% 37.6% 4.0% -2.0% -3.1M 351.5M -1.6M 0.28 11.83 N/A N/A 14,104 3,905 197,259 145,475 2015-10-20 $50.60 $57.50 38.5% 11.0% 22.1% 54.8% 40.4% 3.8% -2.4% -2.0M 340.8M -1.6M 0.54 10.27 N/A N/A 9,291 5,059 206,376 146,366 2015-10-21 $50.35 $57.50 38.9% 11.1% 22.2% 55.7% 39.4% 4.3% -2.4% -1.8M 347.7M -1.6M 0.79 10.44 N/A N/A 5,278 4,162 211,568 147,964 2015-10-22 $49.81 $57.50 38.8% 11.2% 21.8% 55.5% 40.2% 4.5% -2.6% -2.3M 366.3M -1.6M 0.58 11.30 N/A N/A 8,875 5,156 212,204 148,518 2015-10-23 $47.93 $57.50 43.9% 12.9% 24.7% 68.8% 44.6% 4.1% -3.3% -3.0M 416.9M -1.4M 0.58 12.81 N/A N/A 13,942 8,051 214,074 149,434 2015-10-26 $48.67 $57.50 48.5% 14.8% 21.1% 80.7% 50.6% 5.4% -1.7% -1.5M 360.2M -1.6M 0.23 17.99 N/A N/A 59,993 13,536 220,379 152,023 2015-10-27 $49.08 $55.00 49.9% 15.4% 21.4% 84.3% 57.9% 4.5% -2.4% 4.1M 279.3M -1.9M 3.03 27.40 N/A N/A 9,520 28,817 268,371 155,584 2015-10-28 $49.85 $55.00 50.1% 15.2% 20.7% 84.8% 54.5% 6.2% -2.2% 3.5M 248.1M -2.1M 0.53 32.13 N/A N/A 13,049 6,903 273,868 180,792 2015-10-29 $49.75 $55.00 50.9% 15.5% 20.5% 86.7% 54.9% 8.8% -3.8% 3.8M 256.6M -2.1M 0.67 27.09 N/A N/A 11,980 8,025 277,369 183,135 2015-10-30 $51.07 $55.00 48.5% 15.2% 22.0% 80.5% 53.4% 2.3% -1.6% 7.7M 155.8M -2.2M 0.40 17.31 N/A N/A 29,259 11,763 280,067 184,849
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