M Options History — August 2016

In August 2016, M traded between $32.59 and $40.70. ATM implied volatility averaged 33.8%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 23.7% (HV 20d: 57.5%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.84.

Notable Days

2016-08-11: Highest Volume — 162,461 contracts
2016-08-11: Largest IV drop — 24.9% change
2016-08-03: Highest IV Rank — 61.2%
2016-08-03: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.55	$32.59	$40.70	$35.32	$36.21
Max Pain	$34.65	$34.00	$35.00	$34.00	$35.00
ATM IV	33.8%	26.5%	46.1%	39.3%	31.1%
Expected Move	10.0%	7.6%	15.9%	12.8%	9.5%
HV 20d	57.5%	25.1%	69.6%	25.1%	65.2%
HV 60d	43.7%	32.6%	47.0%	43.5%	47.0%
IV Rank	27.5%	6.5%	61.2%	42.8%	19.1%
IV Percentile	40.2%	5.2%	91.7%	77.4%	26.2%
Term Structure	-0.6%	-3.3%	0.5%	-1.6%	-0.1%
VWIV	35.7%	27.5%	56.0%	44.2%	33.3%
Skew 25d	3.7%	2.6%	4.6%	4.1%	3.5%
Skew 10d	6.3%	-0.0%	9.7%	5.9%	3.4%
Call IV 25d	32.2%	25.1%	44.9%	37.1%	29.8%
Put IV 25d	35.9%	28.3%	49.3%	41.2%	33.4%
Bid-Ask Spread %	25.90	9.08	66.81	11.62	14.93
Gamma HHI	0.08	0.07	0.11	0.08	0.08
Net GEX	6.7M	2.6M	10.8M	5.1M	4.2M
Net DEX	-230.6M	-578.7M	36.0M	-94.6M	-39.1M
Net VEX	-1.4M	-1.5M	-1.3M	-1.4M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.45	1.54	0.45	0.78
Total Volume	34,627.043	7,638	162,461	14,195	46,378
Total OI	308,152.913	244,357	406,569	282,246	261,623

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$35.32	$34.00	39.3%	12.8%	25.1%	42.8%	44.2%	4.1%	-1.6%	5.1M	-94.6M	-1.4M	0.45	11.62	N/A	N/A	9,767	4,428	169,953	112,293
2016-08-02	$32.59	$34.00	44.7%	15.1%	38.4%	57.3%	50.9%	4.0%	-2.2%	2.6M	36.0M	-1.3M	0.46	9.08	N/A	N/A	21,667	10,007	170,790	112,758
2016-08-03	$33.37	$34.00	46.1%	15.9%	38.9%	61.2%	56.0%	4.4%	-3.3%	3.1M	-10.3M	-1.4M	0.45	18.48	N/A	N/A	26,743	11,930	182,643	118,292
2016-08-04	$33.67	$35.00	44.2%	11.7%	39.0%	56.1%	41.4%	4.6%	-1.4%	4.9M	-43.2M	-1.5M	0.85	48.10	N/A	N/A	11,268	9,555	193,331	121,803
2016-08-05	$34.14	$35.00	42.6%	11.6%	38.5%	51.7%	41.7%	3.7%	-2.3%	5.7M	-71.2M	-1.5M	0.89	39.68	N/A	N/A	9,235	8,262	194,823	123,126
2016-08-08	$34.72	$34.00	40.1%	11.2%	38.7%	45.2%	39.6%	4.2%	-0.4%	6.4M	-102.9M	-1.5M	0.71	39.47	N/A	N/A	15,334	10,955	187,093	119,492
2016-08-09	$33.76	$34.00	42.9%	11.9%	38.9%	52.6%	41.5%	4.4%	-1.2%	5.4M	-48.0M	-1.5M	0.55	47.56	N/A	N/A	49,165	26,805	191,447	122,527
2016-08-10	$34.03	$34.00	43.3%	12.3%	38.7%	53.6%	42.2%	4.6%	0.2%	7.5M	-90.7M	-1.5M	0.62	44.74	N/A	N/A	56,580	35,222	220,770	140,274
2016-08-11	$39.99	$34.00	32.5%	9.4%	69.5%	24.8%	37.0%	2.8%	0.1%	10.4M	-578.7M	-1.5M	0.74	12.62	N/A	N/A	93,303	69,158	235,188	153,903
2016-08-12	$39.78	$34.00	31.0%	9.0%	69.5%	20.8%	34.4%	3.6%	0.3%	8.6M	-524.5M	-1.5M	0.96	23.41	N/A	N/A	28,676	27,511	235,350	171,219
2016-08-15	$40.46	$35.00	31.7%	9.2%	69.6%	22.6%	35.4%	4.2%	-1.1%	10.4M	-484.8M	-1.5M	1.06	22.74	N/A	N/A	13,455	14,292	214,134	134,617
2016-08-16	$40.70	$35.00	30.0%	8.6%	69.2%	18.1%	33.4%	3.5%	0.5%	10.8M	-500.7M	-1.5M	0.52	42.94	N/A	N/A	21,900	11,427	216,169	133,815
2016-08-17	$40.41	$35.00	30.3%	8.7%	69.4%	18.8%	32.1%	4.4%	-0.8%	9.7M	-464.0M	-1.4M	1.21	43.12	N/A	N/A	4,442	5,376	213,083	135,085
2016-08-18	$40.25	$35.00	29.4%	8.4%	69.5%	16.3%	30.3%	3.5%	-0.3%	9.4M	-456.7M	-1.4M	0.87	16.25	N/A	N/A	5,982	5,194	212,299	135,477
2016-08-19	$40.30	$35.00	27.7%	8.0%	69.3%	9.9%	27.8%	2.9%	-0.4%	6.4M	-466.2M	-1.4M	0.95	20.68	N/A	N/A	12,004	11,454	213,269	137,631
2016-08-22	$39.40	$35.00	27.6%	7.9%	69.4%	9.7%	28.1%	3.3%	0.0%	6.2M	-207.3M	-1.3M	1.54	10.13	N/A	N/A	6,732	10,357	144,027	100,330
2016-08-23	$40.07	$35.00	26.5%	7.6%	69.5%	6.5%	29.3%	2.6%	0.2%	6.6M	-239.5M	-1.3M	0.68	9.69	N/A	N/A	18,286	12,429	145,154	102,495
2016-08-24	$39.73	$35.00	27.1%	7.8%	68.6%	8.3%	27.5%	3.6%	0.2%	6.9M	-233.6M	-1.4M	0.80	12.66	N/A	N/A	4,240	3,398	156,628	105,569
2016-08-25	$39.30	$35.00	27.7%	8.0%	68.8%	9.9%	28.1%	3.3%	0.0%	5.8M	-207.6M	-1.4M	0.91	14.47	N/A	N/A	9,656	8,773	154,560	107,376
2016-08-26	$38.56	$35.00	27.5%	8.1%	69.3%	9.4%	28.3%	3.4%	-0.2%	6.3M	-159.6M	-1.4M	1.10	66.81	N/A	N/A	6,736	7,423	158,488	109,914
2016-08-29	$38.68	$35.00	27.5%	8.1%	68.9%	9.4%	29.3%	3.3%	-0.2%	5.9M	-171.3M	-1.3M	0.97	9.28	N/A	N/A	5,246	5,065	152,998	105,332
2016-08-30	$38.27	$35.00	27.3%	8.2%	61.6%	8.8%	29.4%	3.6%	-0.1%	5.9M	-145.4M	-1.3M	1.17	17.25	N/A	N/A	4,892	5,714	154,423	105,946
2016-08-31	$36.21	$35.00	31.1%	9.5%	65.2%	19.1%	33.3%	3.5%	-0.1%	4.2M	-39.1M	-1.3M	0.78	14.93	N/A	N/A	26,013	20,365	154,918	106,705