M Options History — June 2017

In June 2017, M traded between $21.58 and $24.05. ATM implied volatility averaged 32.4%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 16.8% (HV 20d: 49.1%). Max pain ranged from $23.00 to $24.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2017-06-06: Highest Volume — 57,644 contracts
2017-06-07: Largest IV drop — 6.4% change
2017-06-05: Highest IV Rank — 34.9%
2017-06-01: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.68	$21.58	$24.05	$24.05	$23.25
Max Pain	$23.14	$23.00	$24.50	$24.50	$23.00
ATM IV	32.4%	30.4%	36.8%	36.5%	30.6%
Expected Move	9.4%	8.6%	12.2%	12.2%	8.6%
HV 20d	49.1%	38.7%	76.5%	71.7%	40.8%
HV 60d	48.3%	45.6%	49.1%	46.4%	49.0%
IV Rank	19.9%	13.3%	34.9%	33.8%	13.9%
IV Percentile	26.6%	12.7%	59.5%	57.9%	13.5%
Term Structure	0.0%	-1.9%	1.3%	-1.4%	0.0%
VWIV	33.5%	30.6%	44.0%	43.0%	30.6%
Skew 25d	1.1%	-0.6%	2.0%	2.0%	1.0%
Skew 10d	1.9%	-0.6%	4.3%	1.1%	1.8%
Call IV 25d	32.7%	30.7%	37.1%	36.2%	30.8%
Put IV 25d	33.8%	31.7%	38.8%	38.2%	31.7%
Bid-Ask Spread %	15.38	4.60	59.64	58.54	8.64
Gamma HHI	0.09	0.07	0.12	0.10	0.07
Net GEX	263.4K	-3.3M	5.1M	5.1M	419.4K
Net DEX	138.4M	78.2M	225.5M	78.2M	87.4M
Net VEX	-1.3M	-1.4M	-1.1M	-1.4M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.41	1.46	0.75	1.46
Total Volume	26,309.364	15,083	57,644	23,528	25,192
Total OI	430,988.455	383,381	490,828	425,640	412,066

Daily Data (22 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
2017-06-01	$24.05	$24.50	36.5%	12.2%	71.7%	33.8%	43.0%	2.0%	-1.4%	5.1M	78.2M	-1.4M	0.75	58.54	N/A	N/A	13,477	10,051	234,595	191,045
2017-06-02	$23.82	$24.50	36.5%	12.2%	71.7%	33.9%	44.0%	1.7%	-1.9%	2.8M	97.4M	-1.4M	0.63	59.64	N/A	N/A	12,604	7,960	238,060	195,671
2017-06-05	$23.90	$23.00	36.8%	10.1%	71.7%	34.9%	35.5%	1.0%	-0.9%	3.2M	97.5M	-1.4M	0.60	12.88	N/A	N/A	19,869	11,924	231,530	193,604
2017-06-06	$21.96	$23.00	35.2%	9.7%	76.5%	29.6%	35.2%	-0.6%	1.2%	-2.3M	215.9M	-1.1M	1.09	21.41	N/A	N/A	27,574	30,070	245,155	200,891
2017-06-07	$21.86	$23.00	33.0%	9.4%	75.4%	22.0%	33.7%	1.7%	-0.0%	-3.3M	225.5M	-1.2M	0.79	7.39	N/A	N/A	18,232	14,389	253,257	209,664
2017-06-08	$21.81	$23.00	33.2%	9.6%	75.2%	22.7%	34.7%	1.6%	0.1%	-3.2M	224.9M	-1.1M	0.72	12.03	N/A	N/A	21,847	15,822	261,063	212,817
2017-06-09	$22.66	$23.00	32.6%	9.5%	39.9%	20.9%	34.1%	1.2%	0.4%	-925.5K	176.3M	-1.3M	0.50	19.57	N/A	N/A	23,193	11,514	270,784	220,044
2017-06-12	$22.63	$23.00	32.5%	9.4%	38.7%	20.5%	33.3%	0.1%	0.9%	478.6K	158.1M	-1.3M	0.45	6.96	N/A	N/A	19,132	8,683	255,472	210,382
2017-06-13	$22.26	$23.00	31.8%	9.1%	38.7%	17.9%	32.3%	1.5%	0.0%	-1.4M	173.8M	-1.3M	0.73	7.40	N/A	N/A	13,576	9,901	256,368	209,794
2017-06-14	$22.74	$23.00	30.9%	8.8%	39.2%	15.0%	31.3%	1.5%	-0.2%	701.6K	145.6M	-1.3M	0.95	7.70	N/A	N/A	10,804	10,244	260,076	210,988
2017-06-15	$22.73	$23.00	31.6%	9.1%	38.9%	17.5%	32.1%	0.9%	-0.1%	1.0M	145.7M	-1.3M	0.76	4.60	N/A	N/A	10,379	7,836	262,736	212,965
2017-06-16	$22.83	$23.00	30.4%	8.8%	38.8%	13.3%	30.8%	1.5%	0.1%	2.4M	139.1M	-1.4M	0.69	6.52	N/A	N/A	13,947	9,560	264,180	212,558
2017-06-19	$22.77	$23.00	30.7%	8.8%	38.7%	14.3%	31.4%	1.2%	0.1%	204.6K	110.5M	-1.3M	0.41	8.97	N/A	N/A	15,676	6,366	197,874	185,507
2017-06-20	$22.13	$23.00	30.8%	8.8%	39.2%	14.5%	31.4%	0.7%	-0.1%	-842.8K	138.1M	-1.3M	0.52	6.72	N/A	N/A	9,914	5,169	200,712	186,491
2017-06-21	$21.58	$23.00	31.8%	9.1%	39.7%	17.9%	32.5%	1.1%	-0.3%	-2.1M	163.0M	-1.2M	0.54	5.90	N/A	N/A	15,722	8,458	203,160	187,133
2017-06-22	$22.07	$23.00	31.8%	9.1%	40.6%	18.0%	32.4%	0.4%	-0.2%	-301.0K	135.3M	-1.3M	0.59	8.26	N/A	N/A	14,452	8,574	208,978	190,230
2017-06-23	$22.31	$23.00	31.1%	8.8%	40.7%	15.6%	31.4%	0.7%	1.3%	-960.8K	128.2M	-1.3M	0.64	5.03	N/A	N/A	12,329	7,899	210,584	193,053
2017-06-26	$22.51	$23.00	30.7%	8.7%	40.9%	14.2%	30.7%	1.1%	0.3%	-253.8K	122.2M	-1.3M	0.72	6.16	N/A	N/A	11,540	8,256	201,302	190,013
2017-06-27	$23.11	$23.00	30.9%	8.8%	42.0%	15.1%	31.5%	1.4%	0.5%	1.3M	89.2M	-1.4M	0.58	21.57	N/A	N/A	17,326	10,105	203,754	191,721
2017-06-28	$23.12	$23.00	30.8%	8.8%	41.9%	14.6%	32.0%	1.0%	0.1%	2.0M	91.0M	-1.3M	0.62	14.67	N/A	N/A	13,231	8,258	208,313	194,068
2017-06-29	$22.91	$23.00	31.8%	9.1%	40.4%	17.9%	32.1%	1.4%	0.4%	1.8M	102.0M	-1.3M	1.25	27.71	N/A	N/A	12,328	15,423	208,044	195,044
2017-06-30	$23.25	$23.00	30.6%	8.6%	40.8%	13.9%	30.6%	1.0%	0.0%	419.4K	87.4M	-1.4M	1.46	8.64	N/A	N/A	10,246	14,946	209,577	202,489