M Options History — October 2016

In October 2016, M traded between $35.17 and $38.02. ATM implied volatility averaged 40.7%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 15.3% (HV 20d: 25.5%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-10-06: Highest Volume — 26,100 contracts
  • 2016-10-10: Largest IV spike — 19.3% change
  • 2016-10-14: Highest IV Rank — 59.5%
  • 2016-10-31: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.43$35.17$38.02$36.24$36.42
Max Pain$35.14$35.00$36.00$36.00$35.00
ATM IV40.7%30.0%45.8%31.1%42.7%
Expected Move12.2%8.8%14.8%9.1%14.8%
HV 20d25.5%22.3%27.7%27.7%25.1%
HV 60d45.2%42.5%46.3%45.8%42.7%
IV Rank45.6%16.3%59.5%19.1%50.9%
IV Percentile73.0%18.3%90.9%25.0%82.5%
Term Structure0.7%-3.6%13.4%10.4%-2.1%
VWIV42.4%31.5%51.7%32.4%51.7%
Skew 25d3.8%2.6%4.7%2.6%4.4%
Skew 10d7.0%3.3%11.2%3.6%9.1%
Call IV 25d38.9%28.2%44.6%30.0%40.2%
Put IV 25d42.7%31.0%49.3%32.5%44.6%
Bid-Ask Spread %13.985.2555.9619.739.45
Gamma HHI0.090.070.230.080.08
Net GEX6.7M-1.4M12.8M6.7M6.2M
Net DEX-95.9M-204.6M-23.2M-91.9M-81.2M
Net VEX-1.2M-1.4M-1.0M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.421.490.720.77
Total Volume13,988.819,01926,10018,67311,774
Total OI282,081.095268,794295,866268,981271,885

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$36.24$36.0031.1%9.1%27.7%19.1%32.4%2.6%10.4%6.7M-91.9M-1.3M0.7219.73N/AN/A10,8687,805164,491104,490
2016-10-04$36.53$36.0030.7%9.0%27.5%18.1%31.5%3.5%10.8%6.6M-106.1M-1.3M1.1718.28N/AN/A5,5356,474166,377108,262
2016-10-05$37.42$36.0030.0%8.8%27.2%16.3%31.7%3.5%11.9%7.7M-158.3M-1.4M1.4919.02N/AN/A9,24713,804166,762110,827
2016-10-06$37.85$35.0032.6%11.8%24.9%23.3%39.8%3.5%13.0%6.2M-178.5M-1.3M0.5111.50N/AN/A17,2478,853166,045116,637
2016-10-07$38.02$35.0034.7%11.8%24.2%29.0%40.6%2.8%13.4%12.8M-204.6M-1.4M0.4210.60N/AN/A11,9245,030176,994115,408
2016-10-10$37.59$35.0041.4%11.8%24.8%47.3%40.7%3.3%-3.2%10.2M-173.2M-1.3M0.747.04N/AN/A7,2475,373176,814105,351
2016-10-11$37.24$35.0042.9%11.8%22.7%51.6%40.5%3.4%-3.6%9.6M-149.3M-1.3M0.675.25N/AN/A6,8064,544178,633106,802
2016-10-12$37.60$35.0044.7%11.8%22.3%56.5%41.7%3.2%-3.4%10.4M-171.7M-1.3M0.7810.71N/AN/A5,6034,353179,470107,398
2016-10-13$36.88$35.0044.9%12.1%23.6%56.9%42.1%3.2%-3.0%8.9M-122.9M-1.3M0.8410.57N/AN/A6,9515,822179,573108,248
2016-10-14$35.73$35.0045.8%12.5%26.5%59.5%43.6%4.6%-3.3%6.1M-51.8M-1.2M0.5812.05N/AN/A14,7708,521180,334109,220
2016-10-17$35.17$35.0044.7%12.6%26.9%56.4%43.3%3.8%-2.2%5.4M-24.0M-1.1M0.5410.70N/AN/A8,1314,384180,329107,911
2016-10-18$35.21$35.0045.0%12.8%26.8%57.1%44.5%4.7%-2.9%5.6M-23.2M-1.1M0.8012.70N/AN/A7,2065,791181,239108,479
2016-10-19$35.57$35.0043.4%12.5%25.0%52.9%43.9%4.4%-2.4%6.5M-38.9M-1.1M0.6712.51N/AN/A7,8315,208181,746110,122
2016-10-20$35.91$35.0043.0%12.5%25.1%51.6%43.6%3.9%-2.9%8.3M-59.8M-1.1M0.7213.22N/AN/A6,7994,887182,720111,720
2016-10-21$36.48$35.0043.0%12.7%25.6%51.7%43.3%4.2%-3.6%-1.4M-102.1M-1.2M0.666.39N/AN/A6,7784,480183,363112,503
2016-10-24$36.58$35.0042.4%13.0%25.4%50.2%44.2%4.5%-2.1%6.8M-93.0M-1.1M0.706.20N/AN/A6,5214,550165,721103,073
2016-10-25$35.85$35.0042.7%13.4%26.2%51.0%46.4%4.3%-2.2%5.5M-58.2M-1.1M0.8721.39N/AN/A5,7485,023167,212104,434
2016-10-26$36.00$35.0043.3%13.6%25.7%52.4%46.7%4.3%-2.4%5.5M-62.1M-1.1M0.847.07N/AN/A4,8994,120167,081105,451
2016-10-27$35.21$35.0043.5%14.0%26.8%53.0%48.1%4.0%-2.8%3.9M-24.0M-1.0M0.7013.33N/AN/A7,0674,916168,256106,193
2016-10-28$35.57$35.0043.2%14.1%25.0%52.2%49.5%4.1%-2.7%3.8M-38.8M-1.1M0.6755.96N/AN/A6,5064,369168,935107,194
2016-10-31$36.42$35.0042.7%14.8%25.1%50.9%51.7%4.4%-2.1%6.2M-81.2M-1.1M0.779.45N/AN/A6,6535,121166,365105,520