M Options History — April 2017

In April 2017, M traded between $28.66 and $30.00. ATM implied volatility averaged 39.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 13.8% (HV 20d: 25.5%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-04-06: Highest Volume — 28,891 contracts
  • 2017-04-17: Largest IV spike — 10.4% change
  • 2017-04-19: Highest IV Rank — 58.5%
  • 2017-04-28: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.27$28.66$30.00$29.64$29.15
Max Pain$31.47$30.00$32.00$30.00$31.00
ATM IV39.2%31.0%43.8%31.0%41.9%
Expected Move11.8%8.8%13.0%8.8%13.0%
HV 20d25.5%21.1%30.2%28.8%22.4%
HV 60d31.7%30.8%32.5%30.8%31.8%
IV Rank43.4%17.3%58.5%17.3%52.1%
IV Percentile70.2%19.8%91.3%19.8%81.7%
Term Structure0.2%-2.9%6.7%6.0%-2.0%
VWIV41.0%31.6%45.4%31.6%45.4%
Skew 25d1.5%0.1%3.9%0.9%1.7%
Skew 10d1.0%-16.8%10.3%3.3%2.3%
Call IV 25d38.7%31.4%43.2%31.4%41.8%
Put IV 25d40.2%32.3%45.0%32.3%43.6%
Bid-Ask Spread %31.7510.0674.9749.3138.74
Gamma HHI0.080.060.220.070.07
Net GEX-681.9K-4.6M5.9M287.2K-1.1M
Net DEX73.3M29.6M120.0M45.9M76.7M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.231.771.021.09
Total Volume16,794.68410,65128,89117,91324,129
Total OI358,866325,503378,247347,353330,719

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$29.64$30.0031.0%8.8%28.8%17.3%31.6%0.9%6.0%287.2K45.9M-1.5M1.0249.31N/AN/A8,8719,042180,119167,234
2017-04-04$28.83$30.0031.8%9.2%30.2%19.8%32.1%1.7%6.7%-1.4M94.6M-1.4M0.7666.18N/AN/A15,60911,790182,089169,335
2017-04-05$28.84$30.0032.3%9.3%26.6%21.6%32.6%1.1%2.4%-1.6M90.3M-1.5M0.2374.97N/AN/A16,7913,882186,906175,089
2017-04-06$29.37$32.0033.8%11.5%27.8%24.7%41.0%1.7%3.5%269.4K55.1M-1.5M1.7714.58N/AN/A10,43118,460193,155175,981
2017-04-07$29.13$32.0034.7%11.5%27.6%27.8%40.8%2.0%2.8%-1.2M78.0M-1.6M1.0512.87N/AN/A8,3298,765194,087182,397
2017-04-10$29.44$32.0037.4%11.7%26.6%37.0%41.7%1.4%2.7%-832.3K62.5M-1.6M0.7310.06N/AN/A7,3575,364185,339185,205
2017-04-11$29.66$32.0038.4%11.7%26.7%40.2%39.9%0.1%1.5%-248.8K52.5M-1.6M1.1310.27N/AN/A5,3566,032186,895187,293
2017-04-12$29.14$32.0041.5%12.0%26.3%50.7%42.8%3.9%-1.1%-2.4M82.3M-1.5M0.9210.17N/AN/A5,5575,094187,875187,731
2017-04-13$29.15$32.0039.6%11.9%26.3%44.3%41.2%1.3%1.9%-4.6M86.4M-1.5M1.5712.10N/AN/A8,90913,983188,555187,767
2017-04-17$29.03$32.0043.7%12.6%26.3%58.2%43.5%2.0%-2.4%-2.1M96.9M-1.5M0.5716.08N/AN/A8,6084,887184,533186,848
2017-04-18$28.66$32.0042.9%12.3%23.4%55.3%42.2%0.9%-2.5%-3.9M120.0M-1.4M0.8113.28N/AN/A7,8166,363186,804187,189
2017-04-19$29.06$32.0043.8%12.6%21.1%58.5%42.5%1.5%-2.9%-1.9M89.6M-1.5M0.5740.62N/AN/A10,4075,893187,336185,992
2017-04-20$30.00$32.0042.9%12.4%23.5%55.3%43.1%1.6%-2.3%3.4M29.6M-1.5M0.5443.92N/AN/A10,0845,495190,246186,895
2017-04-21$29.45$32.0043.0%12.5%24.7%55.7%43.3%2.1%-1.9%5.9M70.9M-1.5M0.7445.33N/AN/A10,1977,578191,551186,696
2017-04-24$29.20$32.0042.1%12.5%25.0%52.7%43.2%1.3%-2.4%-948.2K74.0M-1.4M0.8347.37N/AN/A6,5725,480159,631165,872
2017-04-25$29.31$31.0041.4%12.6%24.7%50.5%44.1%0.6%-1.9%-677.4K68.7M-1.4M1.0738.81N/AN/A6,5717,021160,995167,293
2017-04-26$29.46$31.0042.0%12.7%23.8%52.4%43.9%1.4%-1.9%-318.2K63.4M-1.4M0.8521.70N/AN/A6,2495,333162,647165,383
2017-04-27$29.60$31.0041.4%12.7%21.8%50.5%44.3%1.9%-2.3%431.7K54.8M-1.4M0.9836.92N/AN/A5,4395,355163,844164,928
2017-04-28$29.15$31.0041.9%13.0%22.4%52.1%45.4%1.7%-2.0%-1.1M76.7M-1.4M1.0938.74N/AN/A11,54412,585165,022165,697