M Options History — February 2017

In February 2017, M traded between $29.20 and $33.47. ATM implied volatility averaged 44.4%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 5.0% (HV 20d: 39.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-02-03: Highest Volume — 84,340 contracts
  • 2017-02-03: Largest IV spike — 27.4% change
  • 2017-02-03: Highest IV Rank — 100.0%
  • 2017-02-03: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.17$29.20$33.47$29.20$33.15
Max Pain$31.13$30.00$32.00$30.50$32.00
ATM IV44.4%35.3%56.1%41.7%35.5%
Expected Move12.6%9.2%14.3%9.2%10.8%
HV 20d39.4%34.1%59.0%55.5%36.7%
HV 60d44.7%42.7%46.3%42.7%44.3%
IV Rank65.0%34.9%100.0%68.8%35.7%
IV Percentile86.7%63.5%100.0%84.1%63.5%
Term Structure-0.6%-2.9%8.0%-1.6%-0.6%
VWIV43.8%31.8%50.4%31.8%38.2%
Skew 25d1.1%-1.3%4.0%2.8%1.7%
Skew 10d1.6%-4.9%8.1%1.2%5.7%
Call IV 25d44.0%34.4%52.5%40.7%35.0%
Put IV 25d45.1%36.1%56.4%43.5%36.6%
Bid-Ask Spread %33.8215.8164.6023.5364.60
Gamma HHI0.090.060.110.090.10
Net GEX5.1M-426.1K9.9M880.4K9.4M
Net DEX-79.3M-168.1M79.5M79.5M-124.8M
Net VEX-1.5M-1.7M-1.0M-1.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.471.500.980.64
Total Volume35,776.05313,40884,34015,72213,408
Total OI338,445.105251,598410,560251,598352,032

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$29.20$30.5041.7%9.2%55.5%68.8%31.8%2.8%-1.6%880.4K79.5M-1.0M0.9823.53N/AN/A7,9567,766130,524121,074
2017-02-02$30.79$30.0044.1%12.2%59.0%77.9%42.1%2.4%-2.1%2.2M-4.4M-1.1M0.5715.81N/AN/A48,58427,514132,366124,145
2017-02-03$32.75$30.0056.1%14.3%34.1%100.0%48.9%4.0%8.0%3.5M-104.0M-1.3M0.6036.10N/AN/A52,56631,774151,791137,682
2017-02-06$31.88$31.0051.2%14.1%35.7%84.7%48.3%0.6%-0.2%2.5M-41.0M-1.3M0.7819.74N/AN/A27,87721,626156,145141,767
2017-02-07$31.08$31.0047.9%13.4%36.6%74.5%46.6%0.9%0.0%1.6M1.1M-1.4M0.9528.40N/AN/A12,99212,396173,327151,251
2017-02-08$31.88$31.0047.8%13.8%37.5%74.0%47.8%0.2%0.1%3.3M-52.0M-1.4M0.9728.74N/AN/A8,7398,495181,776155,608
2017-02-09$32.35$31.0048.6%13.9%37.3%76.4%48.2%0.2%0.1%4.5M-90.4M-1.4M0.7428.58N/AN/A9,5307,012182,594156,540
2017-02-10$32.13$31.0049.2%13.9%37.5%78.3%48.4%-1.3%-1.0%4.9M-84.8M-1.4M0.4725.96N/AN/A15,4097,211188,569157,151
2017-02-13$32.63$31.0049.5%13.9%37.6%79.5%48.5%1.1%-1.7%6.0M-115.6M-1.4M0.8325.79N/AN/A27,34222,746190,054153,855
2017-02-14$32.62$31.0048.9%13.9%37.6%77.3%48.9%-0.6%-2.3%5.8M-112.3M-1.5M0.7820.77N/AN/A10,3558,090202,950166,954
2017-02-15$32.67$31.0049.6%14.2%37.0%79.8%50.4%1.8%-2.9%5.3M-115.2M-1.5M1.5028.79N/AN/A13,55820,282207,843171,280
2017-02-16$31.82$31.0047.5%13.8%38.6%73.2%47.9%0.2%-2.6%2.9M-45.8M-1.5M1.0328.30N/AN/A19,66720,184211,902182,738
2017-02-17$32.28$31.0047.5%13.9%38.6%73.0%48.3%0.4%-2.7%-426.1K-99.7M-1.6M0.6219.36N/AN/A29,07118,014222,353188,207
2017-02-21$32.40$31.0036.6%10.9%38.5%39.1%37.5%1.6%0.1%6.7M-81.5M-1.6M0.6152.93N/AN/A39,72024,151168,667152,922
2017-02-22$32.37$32.0035.6%10.6%38.4%35.8%37.1%1.7%-0.8%9.9M-95.9M-1.6M0.9657.99N/AN/A11,54711,094196,706160,170
2017-02-23$32.51$32.0035.8%10.7%38.4%36.6%37.4%1.5%-0.9%9.6M-103.2M-1.6M0.7136.07N/AN/A12,9439,237190,880161,881
2017-02-24$33.24$32.0035.3%10.6%38.7%34.9%36.9%1.5%-0.5%7.7M-168.1M-1.7M0.4842.92N/AN/A28,82113,782194,481165,463
2017-02-27$33.47$32.0035.3%10.8%36.4%35.0%38.4%1.1%-0.5%9.9M-149.5M-1.7M0.6258.27N/AN/A11,3156,971189,731157,078
2017-02-28$33.15$32.0035.5%10.8%36.7%35.7%38.2%1.7%-0.6%9.4M-124.8M-1.7M0.6464.60N/AN/A8,1865,222192,974159,058