M Options History — June 2016

In June 2016, M traded between $31.31 and $34.38. ATM implied volatility averaged 32.8%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 8.2% (HV 20d: 41.0%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2016-06-02: Highest Volume — 62,503 contracts
  • 2016-06-13: Largest IV spike — 9.2% change
  • 2016-06-27: Highest IV Rank — 43.9%
  • 2016-06-27: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.07$31.31$34.38$33.02$33.53
Max Pain$33.95$32.00$35.00$32.00$34.00
ATM IV32.8%29.2%37.8%31.7%33.3%
Expected Move9.5%8.6%11.0%9.5%9.8%
HV 20d41.0%26.8%64.9%62.7%31.5%
HV 60d41.6%39.8%43.1%39.8%43.1%
IV Rank32.1%24.6%43.9%30.6%26.8%
IV Percentile48.8%32.5%71.0%44.8%46.8%
Term Structure-0.0%-0.7%0.9%-0.3%0.9%
VWIV33.5%30.1%38.6%35.3%33.8%
Skew 25d3.1%2.2%4.0%2.7%3.1%
Skew 10d5.6%2.9%9.2%4.0%6.2%
Call IV 25d31.9%28.9%36.0%30.7%32.1%
Put IV 25d34.9%31.8%40.1%33.3%35.2%
Bid-Ask Spread %12.648.6318.9915.3315.83
Gamma HHI0.150.110.190.130.19
Net GEX5.4M2.2M7.5M5.7M6.6M
Net DEX-6.9M-94.7M116.2M-8.9M-34.0M
Net VEX-1.6M-1.7M-1.4M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.201.280.420.22
Total Volume21,870.95511,34462,50317,37327,748
Total OI326,794.455309,480350,375313,718318,220

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$33.02$32.0031.7%9.5%62.7%30.6%35.3%2.7%-0.3%5.7M-8.9M-1.6M0.4215.33N/AN/A12,2555,118189,252124,466
2016-06-02$34.38$35.0031.1%9.0%64.9%29.2%32.0%3.0%-0.3%5.0M-87.3M-1.7M0.3112.06N/AN/A47,81614,687190,446125,152
2016-06-03$34.36$34.0030.8%8.9%64.7%28.4%31.6%2.4%-0.3%6.0M-94.7M-1.7M0.6011.24N/AN/A11,7817,097203,037133,927
2016-06-06$34.24$34.0031.3%8.9%64.7%29.7%31.6%2.5%-0.1%6.5M-78.5M-1.7M0.628.88N/AN/A8,9185,566200,707131,912
2016-06-07$34.35$34.0029.7%8.7%64.7%25.9%31.4%2.6%0.6%6.9M-84.8M-1.7M0.6911.75N/AN/A9,8066,774201,804132,500
2016-06-08$34.31$34.0029.2%8.6%64.4%24.6%30.1%3.2%0.4%7.2M-83.3M-1.6M0.878.63N/AN/A8,5087,372202,948133,361
2016-06-09$33.62$34.0030.3%8.7%26.8%27.2%31.5%2.2%-0.0%6.9M-28.9M-1.6M1.279.10N/AN/A7,3489,338203,084133,615
2016-06-10$33.24$34.0030.7%8.9%27.2%28.2%31.2%2.7%0.9%7.5M-4.9M-1.6M0.4214.61N/AN/A12,9295,422203,258137,613
2016-06-13$31.56$34.0033.5%9.6%33.4%35.0%33.3%2.5%-0.0%3.1M96.8M-1.5M0.5210.44N/AN/A10,9485,739194,965136,282
2016-06-14$31.31$34.0033.4%9.6%33.1%34.8%32.5%3.1%-0.3%2.2M116.2M-1.4M0.2910.77N/AN/A25,1907,213195,831137,411
2016-06-15$31.92$34.0032.7%9.4%33.2%33.1%32.2%3.2%-0.7%6.2M61.7M-1.5M0.2217.24N/AN/A31,2626,947213,162137,213
2016-06-16$32.37$34.0033.5%9.6%33.1%34.9%32.9%3.3%-0.5%5.8M43.2M-1.5M0.8112.55N/AN/A9,5147,725200,774137,944
2016-06-17$33.16$34.0034.2%9.9%32.8%36.7%34.1%2.9%-0.5%3.7M-23.9M-1.6M0.2013.40N/AN/A33,1346,504201,780136,171
2016-06-20$33.19$34.0033.7%9.9%32.5%35.5%33.6%3.7%0.0%5.3M-22.4M-1.6M0.4712.44N/AN/A13,6456,390184,087125,393
2016-06-21$33.09$34.0033.5%9.7%32.6%34.9%34.3%4.0%-0.3%5.1M-10.8M-1.5M0.649.12N/AN/A7,3944,716186,501127,995
2016-06-22$32.83$34.0033.5%9.9%32.8%34.8%35.3%3.6%-0.4%4.8M4.6M-1.5M0.5712.37N/AN/A7,4664,229187,766128,721
2016-06-23$33.37$34.0033.4%9.7%32.6%34.5%34.3%3.5%-0.4%5.7M-28.9M-1.6M0.3515.31N/AN/A15,0425,198188,230129,262
2016-06-24$32.27$34.0035.5%10.4%34.8%38.5%37.1%3.9%-0.3%4.4M41.8M-1.5M1.2818.99N/AN/A9,82212,538191,660129,973
2016-06-27$31.71$34.0037.8%11.0%32.7%43.9%38.6%4.0%0.1%3.6M68.3M-1.4M0.6513.78N/AN/A6,8794,465187,491127,531
2016-06-28$32.43$34.0035.6%10.3%33.3%33.0%37.1%2.6%0.5%4.9M31.3M-1.5M0.6314.48N/AN/A7,2644,551189,238128,392
2016-06-29$33.33$34.0033.0%9.5%34.8%26.0%34.0%2.8%-0.0%6.5M-24.0M-1.5M0.499.77N/AN/A12,6536,250191,073129,330
2016-06-30$33.53$34.0033.3%9.8%31.5%26.8%33.8%3.1%0.9%6.6M-34.0M-1.5M0.2215.83N/AN/A22,7325,016189,553128,667