M Options History — February 2016

In February 2016, M traded between $37.95 and $43.49. ATM implied volatility averaged 42.0%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 5.8% (HV 20d: 36.3%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2016-02-23: Highest Volume — 42,434 contracts
  • 2016-02-23: Largest IV drop — 21.7% change
  • 2016-02-11: Highest IV Rank — 74.8%
  • 2016-02-11: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.93$37.95$43.49$40.96$43.30
Max Pain$39.90$39.00$41.00$40.00$41.00
ATM IV42.0%31.0%49.7%41.4%31.0%
Expected Move11.7%9.3%13.6%9.9%9.3%
HV 20d36.3%29.3%45.2%45.2%29.3%
HV 60d37.5%34.2%44.1%44.0%34.6%
IV Rank57.1%31.5%74.8%55.6%31.5%
IV Percentile82.8%51.2%96.0%88.5%51.2%
Term Structure-1.5%-3.2%0.8%0.3%-0.3%
VWIV41.8%34.3%49.1%35.9%34.9%
Skew 25d4.6%3.1%8.0%3.4%4.0%
Skew 10d8.9%-1.7%16.1%7.0%7.9%
Call IV 25d40.3%29.6%46.4%40.0%29.6%
Put IV 25d44.9%33.6%54.4%43.5%33.6%
Bid-Ask Spread %15.878.8933.759.069.82
Gamma HHI0.080.070.100.080.10
Net GEX3.1M181.9K5.2M4.0M3.1M
Net DEX-46.2M-123.3M56.2M-62.8M-90.9M
Net VEX-1.3M-1.4M-1.1M-1.1M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.662.270.840.82
Total Volume21,198.4511,84942,43412,77011,849
Total OI210,214.6170,851243,105188,784184,774

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$40.96$40.0041.4%9.9%45.2%55.6%35.9%3.4%0.3%4.0M-62.8M-1.1M0.849.06N/AN/A6,9525,818115,60073,184
2016-02-02$40.95$40.0040.8%9.9%44.9%54.1%34.9%3.3%0.8%4.1M-62.8M-1.1M1.4210.66N/AN/A6,4409,169116,99374,406
2016-02-03$41.65$40.0041.6%10.0%44.2%56.0%35.4%4.4%-0.0%4.6M-82.2M-1.2M0.6912.06N/AN/A14,1629,791118,59078,086
2016-02-04$40.60$39.0042.6%11.8%44.2%58.4%41.6%3.1%-0.8%4.3M-55.4M-1.2M0.9617.25N/AN/A13,47012,878125,77681,583
2016-02-05$40.28$39.0043.9%12.2%43.9%61.3%44.2%4.0%-0.1%3.2M-39.6M-1.3M1.0315.64N/AN/A8,7288,956126,55887,552
2016-02-08$39.63$40.0048.4%13.0%42.3%71.8%45.2%5.7%-3.2%2.8M-15.2M-1.2M2.2716.22N/AN/A6,98915,891125,29486,384
2016-02-09$39.55$40.0047.5%13.0%32.2%69.5%45.7%4.5%-2.6%2.2M-1.5M-1.3M1.7733.75N/AN/A5,3699,479126,12495,894
2016-02-10$38.82$40.0048.1%13.0%33.0%71.0%46.8%5.5%-1.9%1.2M28.6M-1.3M1.3827.07N/AN/A5,1007,018126,39098,656
2016-02-11$37.95$40.0049.7%13.6%34.0%74.8%47.2%8.0%-3.0%287.0K56.2M-1.2M1.5818.47N/AN/A7,92712,517126,84998,719
2016-02-12$39.15$39.0046.4%13.0%34.5%67.2%46.1%4.2%-2.1%1.5M20.4M-1.3M0.8716.34N/AN/A10,1868,861128,173102,167
2016-02-16$40.41$39.0047.0%13.4%36.0%68.5%47.3%5.6%-2.8%3.6M-32.4M-1.3M0.6613.38N/AN/A12,3458,111129,815102,097
2016-02-17$41.07$40.0046.1%13.2%35.4%66.5%46.3%5.6%-2.7%5.2M-67.5M-1.3M0.9918.93N/AN/A9,1699,077132,623102,887
2016-02-18$41.10$40.0046.7%13.5%34.6%67.7%49.1%6.0%-2.4%4.9M-66.4M-1.3M1.3314.43N/AN/A9,64312,782134,099104,378
2016-02-19$40.23$40.0044.7%13.1%34.6%63.2%46.5%4.5%-2.4%181.9K-26.2M-1.3M0.8916.68N/AN/A15,00013,375135,774107,331
2016-02-22$40.98$40.0043.8%13.3%34.8%61.1%46.7%4.9%-2.7%883.7K-24.8M-1.3M1.0316.14N/AN/A18,97519,49882,20088,651
2016-02-23$42.31$40.0034.3%10.1%31.2%39.1%36.2%4.0%-1.7%3.3M-73.5M-1.3M0.7414.32N/AN/A24,38418,05090,93198,422
2016-02-24$42.84$40.0033.7%10.0%30.7%37.8%36.2%3.8%-1.1%3.8M-88.8M-1.4M0.7511.14N/AN/A11,5428,66293,504101,428
2016-02-25$43.35$40.0032.0%9.4%30.8%33.9%34.5%3.5%-0.9%5.0M-115.8M-1.4M1.038.89N/AN/A10,14510,49197,032101,208
2016-02-26$43.49$41.0031.2%9.3%29.7%32.1%34.3%4.1%-1.0%4.5M-123.3M-1.4M0.8917.09N/AN/A8,0117,159100,647103,513
2016-02-29$43.30$41.0031.0%9.3%29.3%31.5%34.9%4.0%-0.3%3.1M-90.9M-1.3M0.829.82N/AN/A6,5155,33492,13192,643