M Options History — January 2017

In January 2017, M traded between $29.07 and $35.82. ATM implied volatility averaged 36.1%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 18.9% (HV 20d: 55.0%). Max pain ranged from $30.50 to $38.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-01-05: Highest Volume — 85,428 contracts
  • 2017-01-06: Largest IV drop — 10.8% change
  • 2017-01-31: Highest IV Rank — 70.2%
  • 2017-01-04: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.48$29.07$35.82$35.19$29.55
Max Pain$33.40$30.50$38.00$38.00$30.50
ATM IV36.1%31.6%42.1%39.2%42.1%
Expected Move9.6%8.1%13.2%12.7%9.3%
HV 20d55.0%35.6%61.5%35.6%55.5%
HV 60d41.8%31.1%43.6%31.1%42.6%
IV Rank46.8%29.4%70.2%59.1%70.2%
IV Percentile59.5%32.1%84.9%74.6%84.9%
Term Structure0.8%-1.7%8.0%-1.2%-1.6%
VWIV33.4%28.1%46.5%43.6%32.4%
Skew 25d2.5%1.4%3.6%3.6%2.9%
Skew 10d4.7%1.6%8.5%7.8%8.5%
Call IV 25d35.2%29.8%40.7%37.4%40.7%
Put IV 25d37.7%32.2%43.6%40.9%43.6%
Bid-Ask Spread %17.495.5553.7744.8811.10
Gamma HHI0.120.070.230.110.08
Net GEX-854.5K-4.9M2.9M-800.7K947.7K
Net DEX159.4M29.3M295.8M126.8M64.5M
Net VEX-812.8K-1.0M-522.3K-776.5K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.411.880.550.67
Total Volume35,028.5516,38085,42847,61716,380
Total OI301,687.5208,956381,436270,846247,031

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$35.19$38.0039.2%12.7%35.6%59.1%43.6%3.6%-1.2%-800.7K126.8M-776.5K0.5544.88N/AN/A30,74416,873139,663131,183
2017-01-04$35.82$37.5040.0%13.2%36.8%62.1%46.5%2.8%-1.4%1.5M73.5M-838.5K0.5253.77N/AN/A39,14820,303155,238140,528
2017-01-05$30.85$38.0038.4%10.8%61.5%55.9%38.0%2.9%-0.4%-4.4M295.8M-522.3K1.3310.02N/AN/A36,64748,781175,306150,649
2017-01-06$30.88$36.0034.3%9.7%60.4%39.7%34.0%2.0%-0.1%-3.5M267.0M-671.8K0.699.16N/AN/A20,02913,911194,711164,487
2017-01-09$30.47$35.0033.9%9.7%60.2%38.4%34.1%3.1%0.1%-3.4M239.1M-662.9K1.8813.30N/AN/A14,44527,151175,729150,220
2017-01-10$30.30$35.0034.3%9.8%60.3%39.8%34.6%2.7%0.0%-3.4M229.8M-743.6K1.0216.55N/AN/A16,02216,409180,560157,316
2017-01-11$29.92$35.0032.5%9.4%59.2%32.9%33.1%1.9%0.1%-3.8M239.8M-730.7K1.066.81N/AN/A18,13819,197183,642160,313
2017-01-12$29.96$34.0032.6%9.4%59.0%33.4%32.2%2.5%0.1%-4.9M238.4M-779.1K1.075.55N/AN/A12,07412,972190,412167,527
2017-01-13$29.84$34.0031.6%9.1%59.1%29.4%31.9%1.9%0.1%-4.9M240.1M-781.9K0.746.79N/AN/A16,60512,258194,090167,636
2017-01-17$29.89$34.0032.0%9.2%59.3%31.0%32.1%2.2%6.4%-2.8M228.1M-784.0K0.8010.31N/AN/A15,81812,628181,609164,602
2017-01-18$29.45$33.0033.4%9.6%55.3%36.5%33.2%2.3%6.5%-2.5M229.2M-775.1K0.4113.48N/AN/A45,92918,709186,913161,873
2017-01-19$29.39$31.0033.7%9.3%55.5%37.4%32.3%2.1%6.4%576.6K200.7M-850.9K0.655.80N/AN/A16,55210,763213,369166,084
2017-01-20$29.77$31.0033.3%8.7%54.6%36.0%30.6%2.4%8.0%1.2M191.7M-871.1K0.9310.97N/AN/A15,98214,899215,388166,048
2017-01-23$29.62$31.0036.6%8.6%54.6%48.7%30.6%2.8%-0.7%1.4M59.5M-849.9K0.7315.54N/AN/A11,6048,480114,99393,963
2017-01-24$29.97$31.0035.9%8.1%54.5%46.3%28.1%2.6%-0.4%2.0M43.5M-880.3K0.8018.51N/AN/A11,4859,227119,77397,494
2017-01-25$30.19$31.0037.6%8.1%54.5%52.7%28.6%2.3%-1.3%2.9M29.3M-917.9K1.0846.07N/AN/A10,67011,533124,133100,399
2017-01-26$29.96$31.0038.3%8.2%54.3%55.4%28.7%1.4%-1.4%2.9M41.7M-928.7K0.9012.57N/AN/A9,9498,919126,063104,968
2017-01-27$29.07$31.0040.0%8.9%54.7%62.1%31.5%3.0%-1.7%2.6M87.1M-904.0K1.1719.93N/AN/A13,75416,026128,744107,355
2017-01-30$29.48$31.0041.7%9.2%55.4%68.6%32.0%3.0%-1.6%1.4M61.7M-965.7K1.0918.60N/AN/A14,13715,420124,654109,084
2017-01-31$29.55$30.5042.1%9.3%55.5%70.2%32.4%2.9%-1.6%947.7K64.5M-1.0M0.6711.10N/AN/A9,8076,573127,626119,405