M Options History — November 2016

In November 2016, M traded between $36.80 and $44.98. ATM implied volatility averaged 34.3%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 8.6% (HV 20d: 25.7%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-11-09: Highest Volume — 84,373 contracts
  • 2016-11-10: Largest IV drop — 23.4% change
  • 2016-11-04: Highest IV Rank — 55.7%
  • 2016-11-02: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.90$36.80$44.98$36.80$42.26
Max Pain$36.71$35.00$38.00$35.00$38.00
ATM IV34.3%28.0%44.4%43.4%29.9%
Expected Move10.1%8.2%15.8%15.3%9.1%
HV 20d25.7%23.1%29.2%25.2%29.0%
HV 60d29.8%25.8%42.6%42.6%27.3%
IV Rank32.7%15.5%55.7%52.9%22.8%
IV Percentile42.0%11.9%91.3%87.3%21.0%
Term Structure0.1%-2.6%4.9%-2.2%4.8%
VWIV35.5%28.3%54.5%53.3%33.2%
Skew 25d3.6%2.5%4.8%4.8%2.9%
Skew 10d6.6%3.3%9.7%7.8%6.0%
Call IV 25d32.7%26.4%43.2%41.4%28.9%
Put IV 25d36.4%29.6%47.8%46.2%31.8%
Bid-Ask Spread %23.526.9148.7413.4221.03
Gamma HHI0.170.080.590.080.17
Net GEX12.0M2.7M36.0M7.1M2.7M
Net DEX-275.2M-512.5M-102.1M-102.1M-158.8M
Net VEX-1.1M-1.1M-983.2K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.271.950.531.95
Total Volume25,92612,12984,37319,40917,276
Total OI284,696.952234,094341,406276,504253,878

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$36.80$35.0043.4%15.3%25.2%52.9%53.3%4.8%-2.2%7.1M-102.1M-1.1M0.5313.42N/AN/A12,7236,686168,783107,721
2016-11-02$36.92$35.0044.0%15.8%23.7%54.4%54.5%4.3%-2.6%7.6M-105.5M-1.1M0.6915.53N/AN/A9,8026,801169,955109,303
2016-11-03$36.88$36.0043.6%11.7%23.2%53.3%41.0%4.8%-2.6%7.8M-107.6M-1.1M1.236.91N/AN/A5,4426,687172,982112,022
2016-11-04$36.85$36.0044.4%11.9%23.1%55.7%41.9%4.5%-2.4%8.4M-106.8M-1.1M1.587.17N/AN/A5,1998,233174,139113,285
2016-11-07$37.62$36.0043.5%11.8%24.1%53.1%41.8%4.0%-1.8%7.5M-136.4M-1.1M0.6714.85N/AN/A11,8277,962169,039114,018
2016-11-08$37.99$37.0041.8%11.6%24.1%48.4%41.8%4.2%-0.9%8.7M-165.6M-1.1M0.2717.65N/AN/A30,3378,294173,568115,734
2016-11-09$38.40$37.0040.6%11.7%24.1%50.8%38.9%3.1%0.0%10.6M-201.8M-1.1M0.6422.67N/AN/A51,54032,833181,326117,614
2016-11-10$40.49$37.0031.1%9.2%29.2%27.2%31.4%3.9%1.2%21.1M-396.0M-1.1M0.5218.93N/AN/A36,55819,088204,103136,433
2016-11-11$41.36$37.0030.1%8.9%26.3%23.4%32.0%3.1%1.7%18.0M-455.1M-1.1M1.0512.51N/AN/A9,4869,965205,274136,132
2016-11-14$41.60$37.0033.1%9.4%24.9%35.2%33.8%3.8%0.7%16.8M-416.9M-1.1M0.6713.35N/AN/A26,18517,626186,730118,864
2016-11-15$41.33$37.0031.5%9.1%25.3%29.0%32.5%4.0%-0.5%17.4M-367.3M-1.1M1.4411.39N/AN/A6,8369,816190,606126,233
2016-11-16$41.88$37.0030.3%8.7%25.4%24.2%30.3%3.5%-0.5%17.6M-410.6M-1.0M0.9910.47N/AN/A6,9556,909190,753127,356
2016-11-17$43.03$37.0029.6%8.5%26.3%21.4%28.6%2.5%-0.0%17.0M-497.1M-983.2K0.4924.56N/AN/A17,2308,528190,897127,154
2016-11-18$43.04$37.0029.4%8.5%26.3%20.7%29.3%3.2%-0.2%36.0M-512.5M-1.0M1.0724.96N/AN/A13,39114,354200,504128,530
2016-11-21$43.17$37.0028.0%8.2%26.3%15.5%28.3%3.2%-0.6%9.0M-263.1M-1.0M1.2230.63N/AN/A10,39512,651134,68899,406
2016-11-22$44.67$37.0028.1%8.3%25.6%15.6%29.6%3.1%0.1%9.8M-330.0M-1.0M0.5343.47N/AN/A15,6018,281136,521100,064
2016-11-23$44.98$37.0028.4%8.3%25.5%17.0%29.8%3.3%-0.5%10.0M-343.3M-1.0M0.6543.70N/AN/A7,9315,172139,025104,088
2016-11-25$44.14$37.0029.3%8.6%24.9%20.2%30.0%3.6%-0.6%7.8M-293.9M-1.1M0.7848.74N/AN/A10,8508,501140,022106,589
2016-11-28$43.05$37.0029.8%9.0%28.1%22.4%31.4%3.3%3.8%7.2M-230.7M-1.1M1.0643.44N/AN/A12,19712,984138,645107,029
2016-11-29$42.49$37.0029.8%9.1%28.7%22.5%32.3%3.2%4.9%4.0M-177.3M-1.1M1.5848.45N/AN/A5,9399,375134,946114,677
2016-11-30$42.26$38.0029.9%9.1%29.0%22.8%33.2%2.9%4.8%2.7M-158.8M-1.1M1.9521.03N/AN/A5,85011,426135,806118,072