M Options History — December 2015

In December 2015, M traded between $34.53 and $39.33. ATM implied volatility averaged 37.5%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.5% (HV 20d: 35.0%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2015-12-14: Highest Volume — 61,486 contracts
2015-12-02: Largest IV spike — 11.6% change
2015-12-14: Highest IV Rank — 56.2%
2015-12-28: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.67	$34.53	$39.33	$39.33	$35.03
Max Pain	$49.09	$40.00	$50.00	$40.00	$50.00
ATM IV	37.5%	30.3%	41.7%	30.3%	33.9%
Expected Move	11.2%	9.2%	12.0%	9.2%	10.9%
HV 20d	35.0%	23.1%	53.9%	52.8%	23.1%
HV 60d	36.6%	36.2%	37.2%	36.4%	36.2%
IV Rank	46.5%	29.9%	56.2%	29.9%	38.3%
IV Percentile	86.4%	71.4%	93.7%	71.4%	75.0%
Term Structure	0.2%	-2.2%	6.0%	4.4%	0.0%
VWIV	39.7%	32.2%	43.4%	32.2%	37.9%
Skew 25d	2.6%	1.4%	3.6%	2.9%	3.6%
Skew 10d	4.6%	1.5%	7.3%	5.0%	6.1%
Call IV 25d	36.9%	29.4%	41.4%	29.4%	32.9%
Put IV 25d	39.5%	32.3%	43.6%	32.3%	36.5%
Bid-Ask Spread %	21.80	8.89	54.46	10.80	23.84
Gamma HHI	0.09	0.06	0.20	0.16	0.09
Net GEX	-1.6M	-9.1M	1.7M	-5.2M	-1.8M
Net DEX	377.1M	331.1M	451.8M	365.0M	355.7M
Net VEX	-868.4K	-979.0K	-736.4K	-862.4K	-736.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.27	1.03	0.34	0.75
Total Volume	27,349.5	6,563	61,486	11,361	16,160
Total OI	447,266.045	417,429	493,446	427,178	417,429

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
2015-12-01	$39.33	$40.00	30.3%	9.2%	52.8%	29.9%	32.2%	2.9%	4.4%	-5.2M	365.0M	-862.4K	0.34	10.80	N/A	N/A	8,503	2,858	253,352	173,826
2015-12-02	$38.40	$40.00	33.8%	10.0%	52.6%	37.9%	35.8%	2.1%	2.9%	-9.1M	399.1M	-848.7K	0.27	54.46	N/A	N/A	42,148	11,322	256,290	174,675
2015-12-03	$38.88	$50.00	34.0%	11.0%	53.4%	38.5%	38.9%	2.2%	6.0%	-6.9M	365.6M	-950.8K	1.03	21.28	N/A	N/A	10,861	11,146	279,665	177,109
2015-12-04	$39.31	$50.00	33.3%	10.5%	53.9%	36.9%	37.2%	2.3%	5.9%	1.7M	337.2M	-939.4K	0.46	12.40	N/A	N/A	22,075	10,135	280,912	177,261
2015-12-07	$38.55	$50.00	37.0%	10.6%	53.5%	45.5%	38.4%	2.1%	-0.7%	682.8K	356.8M	-846.8K	0.66	11.76	N/A	N/A	3,942	2,621	263,732	155,364
2015-12-08	$38.46	$50.00	38.5%	11.1%	51.0%	48.8%	39.3%	1.4%	-0.2%	409.0K	356.9M	-856.3K	0.42	15.21	N/A	N/A	22,620	9,410	265,067	156,489
2015-12-09	$38.12	$50.00	39.5%	11.2%	49.7%	51.3%	39.5%	1.7%	-0.3%	491.1K	366.3M	-836.0K	0.37	16.90	N/A	N/A	21,317	7,931	270,161	158,097
2015-12-10	$37.84	$50.00	39.5%	11.2%	31.5%	51.2%	41.4%	1.7%	-0.3%	-926.3K	378.0M	-807.0K	0.37	15.38	N/A	N/A	22,329	8,368	272,841	159,611
2015-12-11	$36.74	$50.00	40.4%	11.5%	31.3%	53.3%	41.7%	2.4%	-0.5%	-1.2M	393.6M	-807.0K	0.77	8.89	N/A	N/A	14,327	11,015	274,610	161,411
2015-12-14	$36.32	$50.00	41.7%	11.9%	27.7%	56.2%	41.2%	2.1%	-1.6%	-1.7M	393.4M	-756.5K	0.89	11.00	N/A	N/A	32,498	28,988	269,487	159,019
2015-12-15	$35.96	$50.00	39.7%	11.4%	27.7%	51.6%	40.3%	2.5%	-1.1%	-2.0M	414.7M	-888.7K	0.72	10.61	N/A	N/A	12,802	9,155	292,241	180,369
2015-12-16	$35.88	$50.00	39.4%	11.3%	27.3%	50.9%	39.4%	2.8%	-1.6%	-1.3M	390.9M	-886.9K	1.01	20.32	N/A	N/A	13,850	13,944	295,630	174,731
2015-12-17	$34.53	$50.00	40.3%	11.6%	28.1%	52.9%	40.3%	3.3%	-2.2%	-2.7M	451.8M	-837.1K	0.64	13.47	N/A	N/A	17,014	10,843	301,003	186,648
2015-12-18	$34.92	$50.00	39.9%	11.6%	28.6%	52.2%	41.2%	3.4%	-1.4%	-877.0K	430.7M	-894.5K	0.90	13.70	N/A	N/A	11,550	10,413	307,361	186,085
2015-12-21	$35.02	$50.00	38.9%	11.6%	28.7%	49.8%	41.2%	3.2%	-1.0%	-1.1M	385.3M	-878.8K	0.76	15.22	N/A	N/A	10,730	8,146	270,967	171,964
2015-12-22	$35.35	$50.00	37.8%	11.5%	24.5%	47.3%	40.5%	2.6%	-0.8%	-479.8K	369.4M	-913.4K	0.56	42.84	N/A	N/A	15,931	8,977	274,196	173,680
2015-12-23	$36.05	$50.00	37.8%	11.6%	26.1%	47.3%	41.5%	2.6%	-0.8%	138.9K	331.1M	-979.0K	0.69	38.06	N/A	N/A	15,859	10,903	280,028	174,763
2015-12-24	$35.48	$50.00	38.7%	11.9%	24.8%	49.4%	42.2%	3.3%	-0.4%	-920.0K	354.0M	-934.8K	0.59	52.15	N/A	N/A	12,654	7,512	280,536	177,719
2015-12-28	$35.45	$50.00	38.4%	12.0%	24.8%	48.5%	43.4%	2.7%	-1.1%	-764.6K	365.9M	-898.1K	0.65	28.00	N/A	N/A	9,525	6,179	273,795	175,723
2015-12-29	$35.69	$50.00	37.1%	11.8%	24.4%	45.7%	41.9%	3.3%	-1.2%	-186.3K	360.2M	-885.9K	0.68	23.51	N/A	N/A	10,018	6,789	275,158	176,697
2015-12-30	$35.40	$50.00	34.9%	11.2%	24.1%	40.5%	38.4%	3.4%	-0.4%	-457.7K	374.8M	-859.8K	0.79	19.74	N/A	N/A	32,609	25,712	276,185	177,966
2015-12-31	$35.03	$50.00	33.9%	10.9%	23.1%	38.3%	37.9%	3.6%	0.0%	-1.8M	355.7M	-736.4K	0.75	23.84	N/A	N/A	9,236	6,924	259,131	158,298