M Options History — July 2016

In July 2016, M traded between $33.08 and $36.82. ATM implied volatility averaged 37.4%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 9.6% (HV 20d: 27.8%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-07-06: Highest Volume — 46,069 contracts
  • 2016-07-11: Largest IV spike — 14.6% change
  • 2016-07-13: Highest IV Rank — 45.2%
  • 2016-07-29: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.02$33.08$36.82$33.61$35.84
Max Pain$32.65$32.00$34.00$34.00$34.00
ATM IV37.4%32.5%40.1%32.5%39.3%
Expected Move11.2%9.1%12.3%9.1%12.3%
HV 20d27.8%22.9%32.8%31.6%24.3%
HV 60d43.2%42.7%43.8%42.9%43.6%
IV Rank37.9%24.8%45.2%24.8%42.8%
IV Percentile68.0%44.0%81.7%44.0%77.8%
Term Structure0.1%-2.5%8.7%0.1%-1.8%
VWIV39.1%32.0%42.1%32.0%42.1%
Skew 25d3.9%2.5%5.3%2.5%4.1%
Skew 10d6.9%-3.7%13.6%4.9%10.9%
Call IV 25d35.8%28.8%38.7%31.3%38.1%
Put IV 25d39.7%31.7%43.2%33.8%42.2%
Bid-Ask Spread %12.988.9934.299.4612.18
Gamma HHI0.230.080.300.180.08
Net GEX12.3M5.8M21.2M6.2M5.8M
Net DEX-155.3M-257.1M-5.0M-45.1M-147.5M
Net VEX-1.5M-1.5M-1.4M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.101.340.251.09
Total Volume23,071.3511,20546,06929,05419,588
Total OI320,949.7277,658370,092324,585297,863

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$33.61$34.0032.5%9.1%31.6%24.8%32.0%2.5%0.1%6.2M-45.1M-1.5M0.259.46N/AN/A23,1765,878195,291129,294
2016-07-05$33.08$32.0034.0%11.5%32.0%28.6%39.8%2.6%7.3%7.8M-5.0M-1.4M0.459.79N/AN/A10,0484,557198,418128,463
2016-07-06$33.61$32.0033.3%11.3%32.6%26.7%40.0%2.7%5.1%9.3M-44.5M-1.5M0.108.99N/AN/A41,7824,287200,788129,409
2016-07-07$33.60$32.0034.9%11.6%32.6%31.2%39.9%3.6%8.7%11.0M-66.0M-1.5M0.5911.59N/AN/A11,1916,598216,543129,816
2016-07-08$34.37$32.0033.0%11.0%32.8%26.1%37.4%3.0%7.9%11.2M-129.8M-1.5M0.369.50N/AN/A18,2036,606217,869132,948
2016-07-11$34.85$32.0037.8%11.1%32.7%39.0%38.6%4.9%-1.1%9.5M-170.8M-1.5M0.3310.31N/AN/A15,1975,031213,868131,391
2016-07-12$35.65$32.0039.1%10.8%26.4%42.3%38.3%4.6%-2.4%8.9M-257.1M-1.5M1.209.39N/AN/A10,14912,149218,537132,166
2016-07-13$35.09$32.0040.1%11.0%27.1%45.2%39.1%5.0%-1.7%8.5M-207.7M-1.5M0.7913.97N/AN/A9,5217,511220,572132,131
2016-07-14$34.84$32.0039.7%11.0%27.0%44.1%38.7%3.6%-1.3%6.0M-174.9M-1.4M0.2510.86N/AN/A26,1046,429219,044134,474
2016-07-15$34.74$32.0039.3%10.9%26.8%43.0%37.8%5.3%-2.2%16.1M-153.9M-1.4M0.3813.03N/AN/A16,9126,505235,121134,971
2016-07-18$35.26$32.0038.8%11.0%26.1%41.5%38.9%4.2%-1.7%18.3M-185.4M-1.4M0.6012.12N/AN/A17,29010,355186,31391,345
2016-07-19$34.85$32.0037.7%10.7%26.6%38.5%37.6%4.0%-1.4%19.7M-157.8M-1.4M1.3410.20N/AN/A9,20512,347195,44697,041
2016-07-20$35.33$33.0038.1%10.9%26.8%39.8%39.0%3.7%-2.2%20.7M-192.0M-1.4M0.6713.24N/AN/A12,4048,286198,161103,961
2016-07-21$35.51$33.0038.5%11.1%26.5%40.7%40.4%3.9%-2.2%21.2M-216.7M-1.4M0.5013.46N/AN/A16,9438,439202,187107,788
2016-07-22$35.27$33.0038.0%11.1%26.3%39.3%38.7%3.3%-2.5%11.5M-211.5M-1.5M0.5310.35N/AN/A13,3907,068207,397112,035
2016-07-25$36.40$33.0038.0%11.5%24.5%39.4%40.4%4.5%-1.6%12.2M-200.4M-1.5M0.539.91N/AN/A11,1505,911179,624107,851
2016-07-26$36.82$33.0038.2%11.5%22.9%40.0%40.9%4.1%-1.9%11.9M-230.5M-1.5M0.2213.81N/AN/A30,0786,528181,370108,628
2016-07-27$35.74$34.0038.9%12.0%25.7%41.7%40.7%4.0%-1.6%14.2M-151.3M-1.5M0.7534.29N/AN/A7,6515,755184,334109,844
2016-07-28$35.85$34.0039.1%12.1%24.3%42.5%42.1%3.9%-1.5%16.3M-157.9M-1.5M0.8623.16N/AN/A6,0265,179185,901110,791
2016-07-29$35.84$34.0039.3%12.3%24.3%42.8%42.1%4.1%-1.8%5.8M-147.5M-1.5M1.0912.18N/AN/A9,35010,238186,607111,256