M Options History — March 2016

In March 2016, M traded between $43.01 and $44.89. ATM implied volatility averaged 26.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.7% (HV 20d: 21.8%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-03-18: Highest Volume — 20,629 contracts
  • 2016-03-18: Largest IV drop — 7.8% change
  • 2016-03-01: Highest IV Rank — 27.0%
  • 2016-03-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.02$43.01$44.89$43.63$44.08
Max Pain$43.09$41.00$45.00$41.00$44.00
ATM IV26.5%24.1%29.0%29.0%24.1%
Expected Move7.6%6.8%8.7%8.7%6.8%
HV 20d21.8%16.2%29.1%29.1%17.6%
HV 60d33.1%32.2%34.2%34.2%32.2%
IV Rank20.9%13.9%27.0%27.0%13.9%
IV Percentile32.2%17.5%44.0%44.0%17.5%
Term Structure0.3%-0.4%0.8%0.1%0.1%
VWIV27.0%24.1%34.4%34.4%24.5%
Skew 25d2.8%1.8%3.5%3.5%2.9%
Skew 10d5.9%4.1%11.2%5.6%5.7%
Call IV 25d25.6%23.0%28.3%27.8%23.0%
Put IV 25d28.4%25.7%31.3%31.3%25.9%
Bid-Ask Spread %12.626.9429.0410.2113.77
Gamma HHI0.120.080.220.110.14
Net GEX5.2M1.9M7.7M3.8M6.8M
Net DEX-99.7M-137.4M-50.5M-102.5M-95.7M
Net VEX-1.2M-1.3M-1.2M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.341.230.930.46
Total Volume13,858.45510,14620,62912,05413,596
Total OI184,282.545165,209191,627186,715184,383

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$43.63$41.0029.0%8.7%29.1%27.0%34.4%3.5%0.1%3.8M-102.5M-1.3M0.9310.21N/AN/A6,2415,81393,30893,407
2016-03-02$43.97$41.0028.2%8.2%29.1%25.0%30.2%3.2%0.2%4.6M-118.8M-1.3M1.029.29N/AN/A6,2256,34493,84493,586
2016-03-03$44.09$42.0027.1%7.9%28.6%22.5%28.0%2.9%0.3%5.1M-122.8M-1.3M1.1710.24N/AN/A6,0477,09893,84794,442
2016-03-04$44.57$42.0027.0%7.8%26.7%22.4%27.8%3.5%0.3%5.5M-137.4M-1.3M0.9811.61N/AN/A7,6607,47494,32396,112
2016-03-07$44.52$42.0027.6%8.0%26.4%23.7%28.3%3.1%0.3%4.9M-129.0M-1.3M0.7510.46N/AN/A7,0285,29392,98494,399
2016-03-08$44.05$42.0028.5%8.3%25.9%25.9%29.4%3.2%0.6%5.0M-114.1M-1.3M1.2311.49N/AN/A4,5885,63095,20394,694
2016-03-09$44.27$42.0027.8%8.2%25.7%24.1%28.4%3.2%0.8%5.5M-119.2M-1.3M0.6610.81N/AN/A7,2304,79495,72095,290
2016-03-10$44.13$42.0027.1%7.9%24.3%22.5%27.2%2.4%0.5%5.2M-119.0M-1.3M0.3410.34N/AN/A12,8264,39695,94295,685
2016-03-11$44.38$42.0026.1%7.7%21.8%20.2%26.3%2.5%0.8%6.2M-105.7M-1.3M0.808.64N/AN/A6,0844,89289,54395,918
2016-03-14$43.64$42.0027.3%7.8%21.6%23.0%26.8%2.8%0.0%4.0M-76.5M-1.2M1.056.94N/AN/A5,3865,64787,79694,980
2016-03-15$43.01$44.0028.9%8.3%20.4%26.7%28.7%2.5%-0.4%1.9M-50.5M-1.2M0.959.86N/AN/A7,6097,24088,87997,196
2016-03-16$43.41$45.0027.3%7.8%19.9%23.1%27.5%2.4%-0.2%2.7M-60.4M-1.2M0.7429.04N/AN/A8,1346,01889,36199,106
2016-03-17$44.06$45.0026.1%7.5%20.4%20.4%26.5%1.8%-0.3%3.9M-86.3M-1.2M0.7611.21N/AN/A5,7644,38290,068100,259
2016-03-18$44.89$45.0024.1%6.9%18.8%15.6%24.1%2.2%0.5%7.7M-123.3M-1.2M1.1721.17N/AN/A9,51011,11990,773100,166
2016-03-21$44.18$43.0024.8%7.1%19.6%17.3%24.5%2.2%0.4%4.0M-85.4M-1.2M0.5012.91N/AN/A10,9655,52582,55682,653
2016-03-22$43.76$44.0025.4%7.3%17.0%18.6%25.7%2.9%0.3%5.8M-84.0M-1.2M0.5310.88N/AN/A9,0514,77190,08783,170
2016-03-23$43.48$44.0025.8%7.4%16.8%19.6%25.7%2.9%0.2%6.3M-77.9M-1.2M0.6114.01N/AN/A9,8325,97392,58283,620
2016-03-24$43.48$44.0025.5%7.2%16.2%17.9%25.2%2.4%0.3%4.7M-72.3M-1.3M0.6713.73N/AN/A8,4115,61995,16885,621
2016-03-28$44.41$44.0025.4%7.3%17.9%17.3%25.4%3.3%0.3%6.5M-106.3M-1.2M0.6216.79N/AN/A9,4035,86491,13984,903
2016-03-29$44.40$44.0025.2%7.2%17.7%17.0%25.5%3.0%0.3%7.0M-107.7M-1.2M0.6910.97N/AN/A7,7945,39294,79985,485
2016-03-30$44.13$44.0024.6%6.9%17.8%15.5%24.3%3.1%0.3%6.7M-98.2M-1.2M0.5313.25N/AN/A10,6225,59695,58685,633
2016-03-31$44.08$44.0024.1%6.8%17.6%13.9%24.5%2.9%0.1%6.8M-95.7M-1.2M0.4613.77N/AN/A9,3394,25798,41385,970