M Options History — July 2017

In July 2017, M traded between $21.13 and $24.29. ATM implied volatility averaged 44.2%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 5.1% (HV 20d: 39.1%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-07-06: Highest Volume — 60,392 contracts
  • 2017-07-10: Largest IV spike — 17.8% change
  • 2017-07-24: Highest IV Rank — 80.6%
  • 2017-07-24: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.89$21.13$24.29$23.84$23.78
Max Pain$25.00$23.00$26.00$23.00$25.00
ATM IV44.2%31.9%50.4%31.9%45.1%
Expected Move13.4%9.3%15.3%9.3%14.9%
HV 20d39.1%28.0%43.2%41.8%43.1%
HV 60d51.7%49.1%53.3%49.1%53.3%
IV Rank59.9%18.4%80.6%18.4%62.7%
IV Percentile85.0%26.6%99.2%26.6%89.7%
Term Structure0.7%-3.3%9.8%9.8%-2.3%
VWIV47.2%33.1%54.1%33.1%51.5%
Skew 25d1.6%-0.6%2.9%1.2%2.2%
Skew 10d3.4%-6.8%11.4%3.3%4.0%
Call IV 25d44.4%32.1%48.8%32.1%44.2%
Put IV 25d46.0%33.4%50.6%33.4%46.4%
Bid-Ask Spread %24.604.8962.5550.0411.97
Gamma HHI0.100.070.250.070.07
Net GEX-404.0K-2.9M2.3M1.7M-730.1K
Net DEX105.7M45.3M184.1M60.9M78.7M
Net VEX-1.4M-1.4M-1.2M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.281.300.590.38
Total Volume28,975.5512,47560,39227,09317,184
Total OI414,736.9388,677441,245396,078399,662

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$23.84$23.0031.9%9.3%41.8%18.4%33.1%1.2%9.8%1.7M60.9M-1.4M0.5950.04N/AN/A17,06410,029200,369195,709
2017-07-05$23.55$23.0036.0%10.3%28.0%32.1%38.1%0.4%6.7%2.2M65.2M-1.4M0.4438.11N/AN/A40,19217,704207,030196,970
2017-07-06$22.83$26.0036.1%12.6%30.5%32.4%47.0%1.2%8.8%94.7K114.3M-1.4M0.288.95N/AN/A47,10213,290225,077203,519
2017-07-07$22.77$26.0036.5%12.3%30.5%33.8%45.4%1.5%7.6%-922.0K122.9M-1.3M0.289.23N/AN/A22,0116,270205,635201,605
2017-07-10$21.13$26.0043.0%12.7%38.2%55.7%45.2%-0.6%-0.2%-2.9M183.0M-1.2M1.0212.53N/AN/A27,47728,085190,619198,058
2017-07-11$21.17$26.0045.1%12.9%38.2%62.9%45.6%2.1%-1.3%-2.8M184.1M-1.2M0.686.36N/AN/A19,17513,110204,260211,068
2017-07-12$21.22$25.0044.1%13.5%37.9%59.5%46.9%2.5%2.9%-2.6M175.1M-1.3M0.568.71N/AN/A15,1858,448209,136213,070
2017-07-13$22.12$25.0044.6%13.4%40.2%61.1%47.0%2.9%4.9%-503.4K126.7M-1.3M0.5210.05N/AN/A31,16416,123211,606213,824
2017-07-14$22.43$25.0045.8%13.0%40.6%65.3%46.4%0.6%-0.9%2.3M113.7M-1.4M0.484.89N/AN/A18,8639,022216,839218,172
2017-07-17$23.04$25.0046.8%13.3%41.7%68.5%47.1%0.7%-0.8%204.6K91.1M-1.4M1.005.31N/AN/A16,70016,656206,195212,877
2017-07-18$22.69$25.0047.4%13.5%42.1%70.6%47.6%2.1%-2.4%-767.8K116.5M-1.4M0.426.72N/AN/A12,0815,075209,360219,394
2017-07-19$22.96$25.0045.6%13.1%40.9%64.7%45.6%2.4%-1.8%-125.5K98.5M-1.4M0.755.61N/AN/A7,1125,363212,206220,248
2017-07-20$23.11$25.0047.2%13.7%39.7%69.9%48.0%1.5%-2.4%21.2K89.8M-1.4M1.3062.55N/AN/A8,13710,595213,368221,330
2017-07-21$23.34$25.0047.1%13.8%39.1%69.5%48.2%0.7%-2.9%-1.4M78.8M-1.4M0.6316.44N/AN/A9,8336,156215,114226,131
2017-07-24$22.67$25.0050.4%15.3%40.6%80.6%52.9%1.6%-3.3%-1.9M126.9M-1.3M0.9756.11N/AN/A12,79212,386176,818212,264
2017-07-25$23.49$25.0049.6%15.0%42.3%78.1%52.9%2.3%-2.5%-1.0M89.1M-1.4M0.7436.21N/AN/A11,3508,386181,425218,908
2017-07-26$23.49$25.0048.5%15.0%41.4%74.2%52.3%2.2%-2.0%-746.3K86.8M-1.4M0.8256.62N/AN/A7,8786,425184,640221,457
2017-07-27$24.29$25.0047.7%15.2%43.0%71.6%54.1%2.1%-2.5%-7.3K45.3M-1.4M0.7645.05N/AN/A15,30011,619184,842223,236
2017-07-28$23.92$25.0046.1%14.3%43.2%66.3%49.6%2.4%-2.1%1.9M67.4M-1.4M0.4840.52N/AN/A12,3175,852188,338224,359
2017-07-31$23.78$25.0045.1%14.9%43.1%62.7%51.5%2.2%-2.3%-730.1K78.7M-1.4M0.3811.97N/AN/A12,4214,763184,136215,526