M Options History — November 2015

In November 2015, M traded between $38.02 and $51.36. ATM implied volatility averaged 41.9%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 1.3% (HV 20d: 43.2%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-11-10: Highest Volume — 86,235 contracts
  • 2015-11-12: Largest IV drop — 21.6% change
  • 2015-11-09: Highest IV Rank — 100.0%
  • 2015-11-04: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.99$38.02$51.36$51.27$39.08
Max Pain$45.00$40.00$55.00$55.00$40.00
ATM IV41.9%30.5%60.7%49.5%30.5%
Expected Move12.2%9.0%17.8%16.3%9.5%
HV 20d43.2%22.0%54.6%22.1%52.7%
HV 60d31.8%23.1%36.5%25.1%36.3%
IV Rank59.1%30.4%100.0%83.3%30.4%
IV Percentile89.1%72.6%100.0%98.0%72.6%
Term Structure-1.0%-3.0%4.0%-0.8%4.0%
VWIV42.6%31.3%62.0%59.9%32.6%
Skew 25d4.7%1.9%18.3%4.7%2.8%
Skew 10d8.0%2.9%11.3%9.6%5.7%
Call IV 25d40.1%29.6%56.7%47.5%29.7%
Put IV 25d44.8%32.1%69.7%52.2%32.4%
Bid-Ask Spread %14.1010.5128.0518.0915.37
Gamma HHI0.110.060.270.100.16
Net GEX209.1K-9.6M7.0M6.0M-5.7M
Net DEX473.0M128.7M848.5M143.3M377.3M
Net VEX-1.3M-2.4M-716.7K-2.4M-833.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.283.161.000.85
Total Volume35,746.713,24886,23526,72317,094
Total OI550,915.15382,365695,242481,494420,576

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$51.27$55.0049.5%16.3%22.1%83.3%59.9%4.7%-0.8%6.0M143.3M-2.4M1.0018.09N/AN/A13,34813,375293,100188,394
2015-11-03$51.36$53.0049.4%16.5%22.0%82.9%57.6%4.4%-2.2%6.6M128.7M-2.4M0.7713.49N/AN/A9,6047,381299,896196,561
2015-11-04$50.41$52.5052.2%17.8%22.8%90.1%62.0%4.9%-1.4%5.7M192.0M-2.3M0.8112.74N/AN/A18,94915,283306,745201,301
2015-11-05$50.45$50.0053.4%14.6%22.6%93.2%50.7%3.6%-1.7%6.1M181.4M-2.3M0.5212.08N/AN/A22,90411,980315,585205,323
2015-11-06$48.90$50.0053.9%14.3%25.0%94.6%49.9%18.3%-1.8%1.4M301.8M-2.2M0.2818.85N/AN/A61,64617,077329,492209,177
2015-11-09$46.24$50.0060.7%16.3%31.1%100.0%56.3%7.0%-2.9%108.8K426.3M-1.9M0.6516.13N/AN/A36,74623,804358,535216,436
2015-11-10$47.24$50.0056.5%15.2%32.4%90.4%52.7%4.7%-3.0%320.6K392.9M-2.0M0.5913.25N/AN/A54,22132,014367,787229,805
2015-11-11$42.17$50.0047.9%13.0%50.9%70.6%43.6%4.3%-2.6%-9.6M751.0M-1.1M0.7728.05N/AN/A14,77211,397388,682249,064
2015-11-12$40.85$42.5037.6%10.6%50.8%46.7%37.6%2.9%0.1%-8.8M799.8M-963.2K0.8411.01N/AN/A24,83820,934420,169266,981
2015-11-13$39.05$42.5039.2%11.0%52.1%50.5%38.4%6.0%0.1%-7.8M848.5M-799.5K1.0013.38N/AN/A22,12522,232426,675268,567
2015-11-16$38.62$42.5038.6%11.0%51.7%49.2%37.9%4.1%-0.6%-3.4M747.2M-756.4K0.9914.43N/AN/A12,48712,353403,993243,791
2015-11-17$38.02$41.0038.5%11.0%51.5%48.9%37.7%3.9%-1.6%-2.5M735.6M-716.7K0.9911.69N/AN/A12,83312,732409,115242,327
2015-11-18$38.96$41.0035.9%10.3%53.2%43.0%35.9%4.3%-1.3%-1.2M714.8M-782.7K0.8011.56N/AN/A16,80513,460412,301244,273
2015-11-19$38.53$40.0035.3%10.2%53.2%41.5%35.7%4.0%-1.6%335.6K711.7M-778.4K1.0510.81N/AN/A9,70410,201419,478244,375
2015-11-20$38.54$40.0033.5%9.6%52.5%37.3%33.4%4.1%-0.2%2.2M716.1M-752.3K0.8211.74N/AN/A17,83814,660420,436244,108
2015-11-23$40.04$40.0031.9%9.3%54.6%33.7%32.7%2.3%-0.8%1.1M329.3M-834.4K0.3314.15N/AN/A15,8575,180240,120142,245
2015-11-24$39.63$40.0031.4%9.3%54.2%32.4%33.0%3.1%-0.5%2.3M333.7M-842.6K0.5811.93N/AN/A8,4104,838247,159144,353
2015-11-25$40.39$40.0030.6%9.0%54.4%30.6%31.3%2.4%-0.6%3.8M307.9M-888.2K0.5412.83N/AN/A18,66610,172251,739146,125
2015-11-27$39.99$40.0031.4%9.3%54.4%32.4%33.3%1.9%-0.9%7.0M320.4M-886.5K3.1610.51N/AN/A11,29635,718255,780147,734
2015-11-30$39.08$40.0030.5%9.5%52.7%30.4%32.6%2.8%4.0%-5.7M377.3M-833.5K0.8515.37N/AN/A9,2327,862250,359170,217