M Options History — December 2016

In December 2016, M traded between $35.77 and $43.17. ATM implied volatility averaged 35.1%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 2.7% (HV 20d: 32.4%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-12-22: Highest Volume — 45,502 contracts
  • 2016-12-16: Largest IV spike — 15.5% change
  • 2016-12-16: Highest IV Rank — 57.7%
  • 2016-12-30: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.39$35.77$43.17$42.37$35.77
Max Pain$39.50$38.00$41.00$38.00$38.50
ATM IV35.1%31.6%38.9%31.6%37.3%
Expected Move10.0%9.0%11.3%9.4%11.3%
HV 20d32.4%25.1%37.9%29.0%35.6%
HV 60d28.9%25.4%32.2%26.8%31.0%
IV Rank42.9%29.2%57.7%29.2%51.5%
IV Percentile54.2%31.7%71.8%31.7%64.3%
Term Structure-0.2%-1.3%5.3%5.0%-1.0%
VWIV36.0%31.1%41.0%31.1%39.1%
Skew 25d2.8%1.8%4.7%3.2%3.3%
Skew 10d4.8%-0.5%8.6%3.6%1.2%
Call IV 25d34.2%29.3%38.9%29.6%36.2%
Put IV 25d37.0%32.3%40.7%32.8%39.5%
Bid-Ask Spread %16.075.9453.9420.8653.94
Gamma HHI0.140.060.390.170.11
Net GEX2.2M-9.6M5.4M3.1M2.4M
Net DEX-31.8M-212.4M114.4M-166.1M108.8M
Net VEX-912.9K-1.1M-803.7K-1.1M-815.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.281.810.490.67
Total Volume21,992.5719,89645,50229,94916,371
Total OI256,177.095233,637287,674253,821287,674

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$42.37$38.0031.6%9.4%29.0%29.2%31.1%3.2%5.0%3.1M-166.1M-1.1M0.4920.86N/AN/A20,0409,909136,106117,715
2016-12-02$42.40$38.0032.1%9.1%29.0%31.3%32.9%3.0%5.3%-2.1M-163.0M-1.0M1.8148.08N/AN/A5,0379,113134,675120,995
2016-12-05$41.77$39.0033.6%9.5%29.9%37.0%34.7%2.9%-0.5%4.0M-141.2M-983.5K0.5811.04N/AN/A11,9086,849131,229113,818
2016-12-06$42.34$39.0034.2%9.4%29.5%39.5%35.0%2.6%-0.9%4.4M-170.1M-995.6K1.658.73N/AN/A5,2558,687129,363115,491
2016-12-07$43.17$39.0034.1%9.4%29.9%39.0%33.8%2.2%-0.3%5.2M-212.4M-985.4K1.036.56N/AN/A4,8655,031130,035115,593
2016-12-08$43.08$39.0033.4%9.4%30.0%36.3%33.3%2.3%-0.4%5.3M-210.4M-979.1K1.097.56N/AN/A6,5927,191130,539115,779
2016-12-09$42.44$39.0032.1%9.0%25.1%31.5%33.8%3.0%-0.0%3.2M-174.1M-987.3K1.068.40N/AN/A6,8777,256132,780117,743
2016-12-12$40.48$39.0033.9%9.5%29.6%38.2%32.1%2.5%-1.3%2.9M-84.2M-899.4K0.287.45N/AN/A27,6607,872130,918116,254
2016-12-13$40.72$41.0034.4%9.4%29.6%40.4%31.6%2.4%-1.1%3.5M-57.2M-950.6K0.615.94N/AN/A13,0407,939127,211119,981
2016-12-14$40.36$41.0034.0%9.5%29.7%38.5%41.0%2.6%-0.9%3.7M-40.0M-929.8K0.6511.59N/AN/A10,9317,087128,366120,661
2016-12-15$40.26$41.0033.7%9.5%29.2%37.4%33.1%2.1%-0.8%4.1M-32.6M-905.6K0.866.59N/AN/A10,4248,963129,069121,077
2016-12-16$37.47$41.0038.9%10.9%36.4%57.7%38.9%1.9%-1.2%289.2K80.5M-831.1K1.0910.73N/AN/A18,74320,363134,040122,836
2016-12-19$37.03$40.0036.4%10.3%36.3%48.0%38.7%2.4%-0.8%-1.5M91.0M-803.7K0.6011.83N/AN/A13,1037,903118,399115,238
2016-12-20$37.95$40.0036.3%10.3%37.9%47.6%37.2%2.6%-0.9%83.1K44.3M-874.7K0.3319.15N/AN/A22,8487,519124,072117,815
2016-12-21$37.56$40.0035.0%10.0%34.8%42.7%34.4%1.8%-0.5%2.9M40.1M-859.5K0.9012.86N/AN/A10,7209,693136,803118,601
2016-12-22$36.22$40.0036.8%10.6%35.6%49.4%39.8%2.6%-0.8%1.4K114.4M-818.8K0.5514.53N/AN/A29,37216,130139,918122,910
2016-12-23$36.46$40.0037.6%10.9%36.0%52.7%38.0%3.0%-1.0%-9.6M103.0M-872.7K0.6232.89N/AN/A16,79210,345146,527132,932
2016-12-27$36.61$39.0037.4%11.0%35.8%51.8%39.2%4.7%-1.2%4.0M59.7M-866.2K0.7213.81N/AN/A9,1786,634144,682126,766
2016-12-28$36.35$39.0037.0%11.0%35.7%50.3%38.3%4.1%-1.2%4.2M69.5M-862.4K0.6513.13N/AN/A7,9205,111148,145128,517
2016-12-29$36.28$39.0037.2%11.3%35.8%51.1%39.4%3.5%-0.3%5.4M72.5M-841.8K0.5111.90N/AN/A16,2578,316149,408129,038
2016-12-30$35.77$38.5037.3%11.3%35.6%51.5%39.1%3.3%-1.0%2.4M108.8M-815.4K0.6753.94N/AN/A9,7906,581154,661133,013