M Options History — May 2016

In May 2016, M traded between $30.01 and $39.92. ATM implied volatility averaged 34.6%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 12.4% (HV 20d: 47.0%). Max pain ranged from $32.00 to $41.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-05-11: Highest Volume — 72,107 contracts
  • 2016-05-11: Largest IV drop — 12.8% change
  • 2016-05-06: Highest IV Rank — 48.0%
  • 2016-05-04: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.68$30.01$39.92$39.92$33.21
Max Pain$35.90$32.00$41.00$41.00$32.00
ATM IV34.6%29.9%39.0%36.2%31.9%
Expected Move10.3%8.8%13.6%12.2%9.7%
HV 20d47.0%20.7%62.7%22.8%62.7%
HV 60d33.9%22.9%39.8%23.6%39.8%
IV Rank37.6%26.3%48.0%41.3%31.0%
IV Percentile58.9%37.7%77.0%67.1%45.2%
Term Structure-0.7%-2.7%2.6%-1.6%-0.6%
VWIV36.0%30.2%47.3%42.6%36.4%
Skew 25d3.0%1.3%4.1%3.4%2.3%
Skew 10d5.8%0.9%15.0%7.0%6.2%
Call IV 25d33.1%28.4%38.7%34.0%31.3%
Put IV 25d36.1%31.7%41.6%37.4%33.6%
Bid-Ask Spread %17.187.4329.047.4313.75
Gamma HHI0.140.090.200.090.14
Net GEX13.7K-4.5M5.3M1.8M5.3M
Net DEX143.3M-21.4M341.4M17.9M-21.4M
Net VEX-1.1M-1.6M-615.0K-1.1M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.241.650.590.30
Total Volume34,944.61914,76172,10714,76121,770
Total OI264,273.143202,708314,745202,708312,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$39.92$41.0036.2%12.2%22.8%41.3%42.6%3.4%-1.6%1.8M17.9M-1.1M0.597.43N/AN/A9,2755,486106,23596,473
2016-05-03$39.51$41.0037.6%13.1%22.3%44.9%45.9%2.5%-2.4%1.5M31.8M-1.1M0.6514.04N/AN/A15,81610,244110,80797,254
2016-05-04$38.67$41.0038.4%13.6%23.1%46.6%47.3%3.3%-2.3%-1.3M73.4M-1.1M0.6411.55N/AN/A10,5206,728120,618102,646
2016-05-05$37.89$40.0038.6%10.5%22.6%47.1%37.1%2.9%-2.4%-2.4M98.0M-1.0M1.0114.77N/AN/A7,6457,733122,477103,910
2016-05-06$37.64$40.0039.0%10.6%20.9%48.0%37.6%2.9%-2.5%-2.5M105.7M-1.0M0.7812.37N/AN/A22,40417,392124,667105,205
2016-05-09$37.74$40.0038.6%10.7%20.7%47.0%36.9%3.1%-0.4%-1.3M73.1M-1.1M1.4711.75N/AN/A7,78311,410115,485111,661
2016-05-10$36.98$40.0038.5%10.7%21.3%46.9%36.7%2.6%-0.8%-3.0M111.0M-1.0M1.5224.21N/AN/A28,10242,761117,162116,557
2016-05-11$31.44$37.0033.6%9.7%59.8%35.1%33.7%2.4%0.3%-4.2M341.4M-615.0K1.6514.89N/AN/A27,26244,845133,691138,078
2016-05-12$31.30$36.0032.5%9.8%59.8%32.5%33.9%1.3%1.8%-4.5M320.0M-721.9K1.1620.36N/AN/A20,93924,187147,465141,394
2016-05-13$31.20$35.0033.0%9.9%58.6%33.6%33.9%2.2%2.6%-3.2M310.7M-813.9K0.7022.25N/AN/A23,98316,817156,355148,036
2016-05-16$30.75$35.0034.1%9.9%58.2%36.4%34.8%2.9%-0.2%-2.5M252.4M-828.4K0.6920.85N/AN/A18,11512,505136,678127,224
2016-05-17$30.30$35.0035.2%10.2%57.5%39.0%34.8%3.7%-2.7%-1.7M254.1M-850.6K0.5823.50N/AN/A14,1968,214145,536131,180
2016-05-18$30.01$34.0034.6%9.9%57.0%37.5%33.4%4.1%-1.5%-1.6M261.3M-821.6K0.4126.51N/AN/A24,1329,819148,015132,165
2016-05-19$30.85$33.0035.1%10.1%58.7%38.7%35.7%3.1%0.4%-165.7K224.0M-971.3K0.6021.88N/AN/A25,70315,420160,608134,246
2016-05-20$31.29$33.0033.6%9.7%59.6%35.1%33.8%4.0%-0.9%1.2M190.5M-1.1M0.8313.74N/AN/A19,09815,927173,603141,142
2016-05-23$31.30$33.0032.5%9.6%59.8%32.6%32.9%3.9%-0.5%2.4M101.3M-1.1M0.7121.46N/AN/A31,52222,511135,885106,942
2016-05-24$31.23$32.0032.2%9.5%59.6%31.9%33.0%3.1%-0.5%3.6M97.5M-1.2M0.7012.36N/AN/A11,6158,149157,676117,521
2016-05-25$31.83$32.0030.4%9.1%60.0%27.4%32.0%3.9%-0.6%4.8M71.4M-1.3M0.539.76N/AN/A17,4119,267161,082119,487
2016-05-26$31.54$32.0029.9%8.8%60.0%26.3%30.2%3.3%-0.1%5.1M85.0M-1.3M0.4914.27N/AN/A20,2779,885167,882122,382
2016-05-27$32.72$32.0032.0%9.5%62.3%31.3%33.1%2.0%0.0%2.8M9.4M-1.5M0.2429.04N/AN/A45,76011,209175,546126,606
2016-05-31$33.21$32.0031.9%9.7%62.7%31.0%36.4%2.3%-0.6%5.3M-21.4M-1.6M0.3013.75N/AN/A16,6955,075188,140124,014