M Options History — April 2016

In April 2016, M traded between $39.52 and $43.00. ATM implied volatility averaged 32.0%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 9.3% (HV 20d: 22.7%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-04-29: Highest Volume — 21,113 contracts
  • 2016-04-11: Largest IV spike — 9.9% change
  • 2016-04-29: Highest IV Rank — 40.5%
  • 2016-04-29: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.78$39.52$43.00$43.00$39.65
Max Pain$41.14$41.00$44.00$44.00$41.00
ATM IV32.0%24.7%35.8%24.7%35.8%
Expected Move9.7%6.8%11.4%6.8%11.4%
HV 20d22.7%19.6%24.3%19.6%23.2%
HV 60d27.0%23.9%32.2%32.2%24.1%
IV Rank31.3%13.8%40.5%13.8%40.5%
IV Percentile52.7%21.4%66.3%21.4%66.3%
Term Structure0.4%-2.2%5.3%1.2%-2.2%
VWIV34.2%23.3%39.8%23.3%39.8%
Skew 25d3.0%1.4%3.7%3.1%2.9%
Skew 10d6.1%2.4%8.2%4.9%5.6%
Call IV 25d30.9%23.4%35.4%23.4%35.4%
Put IV 25d33.9%26.5%38.3%26.5%38.3%
Bid-Ask Spread %10.446.9115.6215.6211.91
Gamma HHI0.090.080.130.130.10
Net GEX524.5K-2.1M3.8M3.8M-534.8K
Net DEX9.5M-51.2M70.2M-51.2M37.4M
Net VEX-1.1M-1.2M-1.1M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.341.670.360.34
Total Volume13,507.3338,83621,11318,37721,113
Total OI191,875.81179,007208,928184,295195,335

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$43.00$44.0024.7%6.8%19.6%13.8%23.3%3.1%1.2%3.8M-51.2M-1.2M0.3615.62N/AN/A13,5404,83798,08686,209
2016-04-04$42.17$41.0026.5%9.0%20.1%18.2%31.8%3.5%4.4%2.5M-22.6M-1.1M0.4212.80N/AN/A10,6714,51393,08385,924
2016-04-05$41.42$41.0027.1%9.3%20.8%19.5%33.6%3.4%4.4%1.8M297.8K-1.1M0.977.73N/AN/A5,4955,34096,59286,966
2016-04-06$41.61$41.0025.8%9.1%20.8%16.4%32.1%3.1%5.1%1.5M-1.1M-1.1M0.8912.26N/AN/A9,2408,18797,26888,777
2016-04-07$40.58$41.0028.1%9.4%22.0%22.0%34.1%3.5%5.2%-1.0M36.3M-1.2M1.679.24N/AN/A5,9949,990100,61192,977
2016-04-08$39.52$41.0029.1%9.5%23.4%24.3%34.0%3.7%5.3%-2.1M70.2M-1.1M0.756.91N/AN/A7,3735,547101,13395,156
2016-04-11$39.81$41.0032.0%9.6%23.5%31.3%33.8%3.3%0.6%-2.0M56.7M-1.1M0.8810.47N/AN/A6,6075,81497,16695,158
2016-04-12$40.08$41.0032.6%9.5%23.4%32.7%33.6%2.1%0.4%-1.7M49.5M-1.1M0.619.59N/AN/A9,7655,98398,68696,993
2016-04-13$40.31$41.0033.0%9.5%23.4%33.6%33.4%2.5%-0.1%-540.6K38.6M-1.1M0.6310.22N/AN/A7,2174,561101,78698,190
2016-04-14$39.65$41.0034.3%9.7%23.3%36.9%34.1%1.4%-0.8%-1.4M62.7M-1.1M0.4512.20N/AN/A13,1675,934102,33298,363
2016-04-15$40.56$41.0034.2%9.9%24.3%36.5%34.5%1.7%0.2%1.2M6.9M-1.2M0.499.69N/AN/A11,1455,426109,60499,324
2016-04-18$40.69$41.0034.9%9.9%23.0%38.3%34.3%3.2%-1.8%899.0K-5.0M-1.2M0.599.04N/AN/A8,5455,06091,53492,292
2016-04-19$41.11$41.0034.6%9.9%23.2%37.7%34.9%2.9%-1.6%1.6M-23.1M-1.2M0.6911.82N/AN/A7,2415,00495,58193,404
2016-04-20$41.40$41.0034.4%9.9%23.4%37.1%35.0%3.1%-2.0%1.9M-30.5M-1.2M0.619.90N/AN/A7,5654,59195,70693,886
2016-04-21$41.50$41.0034.3%9.9%23.4%36.9%35.1%2.9%-1.8%2.2M-34.6M-1.2M0.8410.08N/AN/A4,8054,03196,72394,268
2016-04-22$40.92$41.0034.0%9.9%23.8%36.2%35.5%3.1%-1.9%1.2M-11.1M-1.1M1.0810.56N/AN/A4,9465,33497,14794,594
2016-04-25$40.30$41.0034.6%10.4%22.3%37.6%36.7%3.5%-1.6%107.1K15.0M-1.1M1.378.45N/AN/A4,2445,81594,76895,049
2016-04-26$40.47$41.0033.9%10.3%22.5%35.9%35.6%3.2%-1.6%180.4K10.4M-1.1M1.208.74N/AN/A4,4135,30095,57696,131
2016-04-27$41.00$41.0033.9%10.5%23.3%35.9%37.1%3.3%-1.7%972.4K-10.8M-1.1M1.0813.46N/AN/A4,5634,95196,39796,588
2016-04-28$40.58$41.0033.8%10.6%23.4%35.7%36.4%3.4%-1.7%346.3K4.5M-1.1M0.918.54N/AN/A5,1134,67497,14896,881
2016-04-29$39.65$41.0035.8%11.4%23.2%40.5%39.8%2.9%-2.2%-534.8K37.4M-1.1M0.3411.91N/AN/A15,7115,40298,10497,231