M Options History — January 2016

In January 2016, M traded between $35.78 and $41.30. ATM implied volatility averaged 41.5%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.9% (HV 20d: 38.6%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-01-11: Highest Volume — 46,898 contracts
  • 2016-01-11: Largest IV spike — 17.4% change
  • 2016-01-15: Highest IV Rank — 66.6%
  • 2016-01-15: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.60$35.78$41.30$35.85$40.38
Max Pain$40.05$40.00$41.00$41.00$40.00
ATM IV41.5%37.5%46.2%37.5%41.8%
Expected Move11.2%9.9%12.9%10.2%9.9%
HV 20d38.6%24.5%45.6%24.5%45.6%
HV 60d41.5%36.7%43.9%36.7%43.9%
IV Rank55.8%46.5%66.6%46.5%56.5%
IV Percentile90.0%82.1%94.0%82.5%89.3%
Term Structure0.3%-2.1%6.3%-0.6%-1.7%
VWIV39.8%35.5%45.7%37.0%35.8%
Skew 25d3.7%1.6%5.1%4.0%3.8%
Skew 10d7.3%-8.7%19.5%8.7%9.6%
Call IV 25d40.5%35.6%46.8%35.6%41.4%
Put IV 25d44.2%39.6%49.4%39.6%45.3%
Bid-Ask Spread %39.349.5378.5310.7564.81
Gamma HHI0.110.050.240.080.24
Net GEX2.6M-1.7M6.3M-1.4M6.3M
Net DEX117.8M-105.5M336.0M336.0M-63.4M
Net VEX-976.1K-1.1M-761.3K-761.3K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.290.980.670.94
Total Volume24,494.63212,69546,89820,39312,695
Total OI311,390.316161,787432,015405,211204,201

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$35.85$41.0037.5%10.2%24.5%46.5%37.0%4.0%-0.6%-1.4M336.0M-761.3K0.6710.75N/AN/A12,1928,201248,441156,770
2016-01-05$36.97$40.0038.0%10.3%26.9%47.8%35.5%3.5%-0.9%-344.4K299.7M-807.9K0.449.53N/AN/A16,8857,411252,180159,386
2016-01-06$36.06$40.0039.2%10.7%27.4%50.5%38.1%3.4%-1.2%-840.9K323.8M-798.9K0.3914.67N/AN/A17,6046,922256,359161,606
2016-01-07$37.00$40.0038.4%10.4%29.3%48.7%36.9%3.6%-1.8%1.6M282.6M-841.1K0.4611.67N/AN/A24,63911,285264,165163,710
2016-01-08$35.78$40.0037.6%10.7%31.3%46.8%37.9%3.7%0.2%-1.7M330.3M-800.2K0.8910.54N/AN/A12,74611,327265,819165,578
2016-01-11$38.70$40.0044.1%11.8%42.6%61.8%42.7%1.6%-1.0%940.3K241.5M-892.2K0.6062.65N/AN/A29,37417,524255,567162,593
2016-01-12$38.65$40.0041.1%11.5%41.1%55.0%41.9%3.6%-1.6%3.5M219.4M-968.8K0.6653.82N/AN/A13,7409,095270,023158,840
2016-01-13$38.65$40.0042.8%11.9%40.7%58.7%42.3%4.9%-1.0%3.9M211.0M-972.7K0.7260.24N/AN/A11,7418,419271,225160,189
2016-01-14$37.67$40.0042.4%12.0%41.8%57.9%42.6%3.5%0.0%3.4M242.4M-939.4K0.9860.82N/AN/A7,5567,377272,175159,840
2016-01-15$37.87$40.0046.2%12.9%41.8%66.6%45.7%2.7%-2.1%1.7M238.3M-939.9K0.8568.83N/AN/A12,32910,438272,696158,740
2016-01-19$38.85$40.0043.6%12.4%39.5%60.6%43.9%3.1%5.7%2.0M-17.7M-983.5K0.7278.53N/AN/A12,7759,23096,98964,798
2016-01-20$39.73$40.0042.3%12.1%39.9%57.5%43.0%3.0%5.3%2.7M-42.4M-1.1M0.7926.64N/AN/A10,1528,039102,50868,805
2016-01-21$40.67$40.0042.6%12.0%40.3%58.4%42.2%2.9%4.4%3.1M-70.4M-1.1M0.2918.04N/AN/A34,87310,090104,69270,024
2016-01-22$41.30$40.0040.2%10.9%40.4%52.7%39.3%3.4%6.3%4.6M-105.5M-1.1M0.5234.16N/AN/A18,3379,445118,66673,642
2016-01-25$39.27$40.0043.2%11.2%45.1%59.6%40.3%4.9%-0.8%4.3M-29.7M-1.1M0.5743.52N/AN/A13,7017,852116,62370,460
2016-01-26$40.12$40.0042.7%10.7%44.8%58.6%37.9%4.3%-1.5%5.2M-56.6M-1.1M0.4842.12N/AN/A17,4148,292118,29071,728
2016-01-27$40.31$40.0042.4%10.4%44.7%57.8%37.0%5.1%-0.8%5.7M-65.2M-1.1M0.4945.14N/AN/A14,1336,934123,06273,538
2016-01-28$39.58$40.0042.3%10.3%45.6%57.6%36.5%4.8%-1.2%4.4M-36.2M-1.1M0.8930.96N/AN/A7,7336,898126,96875,520
2016-01-29$40.38$40.0041.8%9.9%45.6%56.5%35.8%3.8%-1.7%6.3M-63.4M-1.1M0.9464.81N/AN/A6,5536,142127,86976,332