M Options History — March 2017

In March 2017, M traded between $27.95 and $33.14. ATM implied volatility averaged 33.6%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.2% (HV 20d: 31.3%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.90.

Notable Days

2017-03-21: Highest Volume — 45,344 contracts
2017-03-21: Largest IV spike — 13.1% change
2017-03-06: Highest IV Rank — 40.1%
2017-03-01: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.22	$27.95	$33.14	$33.03	$29.68
Max Pain	$31.28	$30.00	$32.00	$32.00	$30.00
ATM IV	33.6%	30.3%	36.9%	34.6%	31.9%
Expected Move	9.6%	8.7%	10.5%	10.5%	8.8%
HV 20d	31.3%	28.6%	36.9%	36.9%	30.7%
HV 60d	44.0%	42.9%	45.7%	44.3%	43.4%
IV Rank	29.6%	19.4%	40.1%	33.0%	22.8%
IV Percentile	45.3%	19.8%	68.3%	58.7%	26.2%
Term Structure	-0.2%	-1.2%	0.6%	-0.4%	0.4%
VWIV	33.8%	30.3%	36.8%	36.8%	32.3%
Skew 25d	1.4%	0.6%	2.5%	0.7%	0.7%
Skew 10d	1.8%	-1.5%	6.1%	0.4%	2.7%
Call IV 25d	33.4%	30.3%	36.8%	34.8%	31.7%
Put IV 25d	34.8%	31.6%	37.8%	35.5%	32.4%
Bid-Ask Spread %	45.44	12.29	81.63	61.21	56.45
Gamma HHI	0.09	0.06	0.12	0.10	0.06
Net GEX	839.8K	-3.1M	11.6M	10.0M	729.3K
Net DEX	46.8M	-128.5M	136.2M	-121.1M	30.5M
Net VEX	-1.5M	-1.7M	-1.3M	-1.7M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.24	1.89	0.61	0.86
Total Volume	22,032.783	12,378	45,344	13,891	15,037
Total OI	353,809.696	296,499	386,357	354,584	360,434

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$33.03	$32.00	34.6%	10.5%	36.9%	33.0%	36.8%	0.7%	-0.4%	10.0M	-121.1M	-1.7M	0.61	61.21	N/A	N/A	8,615	5,276	195,419	159,165
2017-03-02	$33.14	$32.00	33.8%	10.1%	36.3%	30.5%	35.5%	1.4%	-0.2%	11.6M	-128.5M	-1.7M	0.81	12.29	N/A	N/A	6,843	5,535	199,007	158,661
2017-03-03	$31.71	$32.00	34.0%	10.2%	36.1%	31.1%	36.0%	1.0%	-0.6%	4.1M	-8.3M	-1.5M	1.18	70.22	N/A	N/A	18,960	22,333	199,160	158,885
2017-03-06	$30.72	$32.00	36.9%	10.2%	30.2%	40.1%	36.0%	0.9%	-0.4%	46.0K	54.8M	-1.5M	0.86	21.49	N/A	N/A	17,953	15,420	186,450	157,332
2017-03-07	$30.78	$32.00	34.3%	9.6%	28.9%	31.9%	33.9%	0.6%	-0.2%	-110.7K	56.9M	-1.6M	1.60	17.95	N/A	N/A	6,511	10,434	192,733	165,439
2017-03-08	$31.88	$32.00	35.6%	9.9%	30.2%	35.9%	34.7%	1.4%	-0.4%	3.5M	-20.3M	-1.6M	0.24	23.62	N/A	N/A	32,867	7,993	194,585	170,311
2017-03-09	$31.58	$32.00	35.8%	9.9%	29.1%	36.7%	34.9%	1.0%	-0.7%	3.2M	124.5K	-1.7M	0.65	22.67	N/A	N/A	8,582	5,570	206,341	171,806
2017-03-10	$31.75	$32.00	34.2%	9.7%	28.6%	31.5%	34.0%	1.4%	-0.2%	5.3M	-21.7M	-1.6M	0.77	17.85	N/A	N/A	11,117	8,555	206,598	173,058
2017-03-13	$30.86	$32.00	34.2%	9.6%	30.2%	31.7%	33.8%	2.1%	-0.3%	432.0K	38.8M	-1.6M	0.65	19.42	N/A	N/A	9,950	6,499	200,127	169,252
2017-03-14	$30.99	$32.00	33.8%	9.4%	29.6%	30.5%	33.0%	1.9%	-0.1%	1.4M	30.4M	-1.6M	0.35	81.63	N/A	N/A	12,774	4,420	202,125	170,319
2017-03-15	$30.32	$32.00	33.2%	9.5%	30.3%	28.3%	33.2%	0.9%	0.6%	-2.8M	77.7M	-1.5M	0.68	58.69	N/A	N/A	13,963	9,466	205,253	170,861
2017-03-16	$30.37	$32.00	31.7%	9.0%	30.3%	23.8%	31.6%	1.9%	-0.5%	-3.1M	74.2M	-1.5M	0.74	47.87	N/A	N/A	11,738	8,695	208,353	174,236
2017-03-17	$30.44	$32.00	30.3%	8.7%	29.2%	19.4%	30.3%	1.3%	-0.3%	-1.4M	69.7M	-1.5M	0.74	41.53	N/A	N/A	10,688	7,955	210,549	175,808
2017-03-20	$29.36	$31.00	30.7%	8.8%	30.8%	20.6%	31.0%	1.5%	0.3%	-2.1M	87.8M	-1.4M	1.89	46.96	N/A	N/A	8,912	16,848	150,546	145,953
2017-03-21	$28.45	$31.00	34.7%	9.9%	32.1%	33.2%	34.6%	1.1%	-0.3%	-2.5M	123.3M	-1.3M	0.70	56.22	N/A	N/A	26,704	18,640	154,413	148,152
2017-03-22	$28.29	$31.00	34.9%	10.0%	32.0%	33.8%	35.7%	2.5%	0.0%	-2.1M	127.4M	-1.4M	1.60	60.65	N/A	N/A	8,292	13,276	172,425	158,438
2017-03-23	$28.27	$30.50	34.1%	9.8%	31.8%	31.3%	34.1%	2.3%	-0.7%	-2.0M	129.3M	-1.4M	1.12	52.14	N/A	N/A	7,514	8,407	175,535	164,135
2017-03-24	$28.20	$30.00	33.5%	9.7%	30.0%	29.4%	34.0%	1.6%	-1.2%	-2.0M	136.2M	-1.4M	1.34	51.84	N/A	N/A	6,390	8,588	178,150	167,835
2017-03-27	$27.95	$30.00	33.7%	9.9%	29.4%	30.1%	34.4%	1.2%	0.5%	-2.1M	134.9M	-1.4M	1.03	56.99	N/A	N/A	8,759	9,046	172,609	161,922
2017-03-28	$28.50	$30.00	32.8%	9.5%	31.1%	27.2%	33.4%	1.2%	0.2%	-1.2M	103.5M	-1.4M	0.64	57.80	N/A	N/A	13,918	8,869	176,985	164,090
2017-03-29	$29.30	$30.00	31.6%	9.3%	33.5%	23.6%	32.4%	1.7%	0.3%	-139.4K	58.9M	-1.5M	0.61	54.29	N/A	N/A	15,522	9,519	180,982	165,835
2017-03-30	$29.46	$30.00	31.7%	8.9%	33.6%	23.8%	31.3%	1.0%	0.4%	648.0K	41.3M	-1.6M	0.94	55.43	N/A	N/A	7,105	6,696	188,234	169,117
2017-03-31	$29.68	$30.00	31.9%	8.8%	30.7%	22.8%	32.3%	0.7%	0.4%	729.3K	30.5M	-1.5M	0.86	56.45	N/A	N/A	8,071	6,966	189,210	171,224