M Options History — September 2016

In September 2016, M traded between $34.69 and $37.16. ATM implied volatility averaged 31.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 6.7% (HV 20d: 38.1%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2016-09-07: Highest Volume — 43,551 contracts
  • 2016-09-13: Largest IV spike — 6.1% change
  • 2016-09-13: Highest IV Rank — 30.3%
  • 2016-09-14: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.99$34.69$37.16$36.29$37.14
Max Pain$36.05$36.00$37.00$36.00$36.00
ATM IV31.4%29.0%35.1%30.3%29.0%
Expected Move9.0%8.3%10.0%9.2%8.4%
HV 20d38.1%24.5%65.8%65.2%26.4%
HV 60d46.1%45.4%47.0%47.0%45.7%
IV Rank20.0%13.4%30.3%17.1%13.4%
IV Percentile27.6%13.5%54.0%23.0%13.5%
Term Structure-0.0%-0.7%0.4%0.1%0.2%
VWIV31.5%29.1%34.3%33.0%29.6%
Skew 25d3.4%2.6%3.9%3.8%3.9%
Skew 10d6.4%3.6%9.7%7.5%9.7%
Call IV 25d30.2%27.2%33.7%29.3%27.2%
Put IV 25d33.6%31.1%37.3%33.2%31.1%
Bid-Ask Spread %20.577.7852.1712.5916.78
Gamma HHI0.090.070.140.070.13
Net GEX6.3M3.1M11.0M3.5M11.0M
Net DEX-76.6M-149.2M910.0K-47.1M-149.2M
Net VEX-1.4M-1.4M-1.3M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.161.150.750.81
Total Volume18,410.57110,96543,55118,27514,849
Total OI285,219.429256,919323,128284,921275,423

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$36.29$36.0030.3%9.2%65.2%17.1%33.0%3.8%0.1%3.5M-47.1M-1.3M0.7512.59N/AN/A10,4217,854169,953114,968
2016-09-02$36.60$36.0029.2%8.7%65.1%14.0%30.7%3.4%0.1%5.5M-68.6M-1.4M0.7621.58N/AN/A9,2447,009173,563117,502
2016-09-06$36.17$37.0030.7%8.7%65.1%18.0%30.2%3.1%-0.0%5.0M-65.0M-1.3M0.8220.41N/AN/A8,1316,668169,655108,554
2016-09-07$37.16$36.0031.1%8.9%64.7%19.3%31.1%3.0%-0.1%6.8M-129.5M-1.4M0.1617.52N/AN/A37,4886,063173,304110,892
2016-09-08$36.06$36.0032.4%9.1%65.8%22.7%32.1%2.8%0.0%10.2M-84.2M-1.4M0.3518.54N/AN/A26,2519,080195,697111,754
2016-09-09$35.58$36.0032.6%9.4%28.9%23.3%32.3%3.7%0.3%3.1M-42.7M-1.4M0.5117.43N/AN/A12,7246,458199,077115,926
2016-09-12$35.64$36.0033.1%9.4%29.0%24.8%32.7%2.6%-0.4%4.5M-50.2M-1.4M0.4316.27N/AN/A21,1289,152186,685111,015
2016-09-13$34.69$36.0035.1%9.8%28.7%30.3%34.3%3.7%-0.7%3.8M910.0K-1.4M0.9820.68N/AN/A8,9828,763194,341115,162
2016-09-14$35.25$36.0034.9%10.0%29.6%29.7%34.0%3.8%-0.4%4.4M-34.5M-1.4M0.8949.25N/AN/A17,00315,077195,590115,659
2016-09-15$35.52$36.0033.6%9.5%30.0%25.9%33.4%3.5%-0.2%4.7M-53.7M-1.4M0.6519.98N/AN/A8,9445,844201,565120,442
2016-09-16$35.55$36.0033.0%9.4%30.1%24.3%33.5%3.5%-0.3%6.4M-53.2M-1.4M1.1541.18N/AN/A5,0935,872201,987121,141
2016-09-19$35.24$36.0032.8%9.4%30.0%23.8%32.4%3.6%-0.2%5.7M-59.4M-1.4M0.7652.17N/AN/A7,0885,410160,36996,550
2016-09-20$35.00$36.0031.7%9.1%29.4%20.8%31.3%3.6%-0.2%5.6M-47.1M-1.3M0.5612.29N/AN/A7,6124,246162,72597,853
2016-09-21$36.00$36.0030.5%8.7%30.8%17.5%30.7%3.4%-0.0%7.5M-94.6M-1.4M0.6426.24N/AN/A7,6284,897164,72698,839
2016-09-22$36.29$36.0029.0%8.3%31.1%13.5%29.1%3.2%0.2%8.4M-114.8M-1.4M0.498.36N/AN/A11,1665,473166,062100,158
2016-09-23$36.58$36.0029.7%8.5%31.4%15.4%29.5%2.7%0.4%8.2M-128.5M-1.4M0.788.84N/AN/A9,1347,081165,987101,346
2016-09-26$36.25$36.0030.7%8.9%30.9%18.0%30.6%3.5%0.1%6.8M-100.4M-1.3M0.6523.44N/AN/A7,6374,987163,221101,253
2016-09-27$36.57$36.0029.9%8.7%31.1%16.1%30.5%3.3%0.1%7.8M-116.0M-1.4M0.557.78N/AN/A8,1914,473164,983102,281
2016-09-28$36.01$36.0029.9%8.6%31.3%15.8%30.3%3.3%0.2%6.2M-82.5M-1.3M0.9410.62N/AN/A6,3365,930166,633103,644
2016-09-29$36.14$36.0030.1%8.7%24.5%16.4%30.1%3.7%0.0%6.5M-89.3M-1.3M0.8110.08N/AN/A6,2055,030167,746105,377
2016-09-30$37.14$36.0029.0%8.4%26.4%13.4%29.6%3.9%0.2%11.0M-149.2M-1.4M0.8116.78N/AN/A8,1836,666168,544106,879