M Options History — August 2017 In August 2017, M traded between $19.56 and $23.96. ATM implied volatility averaged 38.8%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 5.9% (HV 20d: 44.7%). Max pain ranged from $20.50 to $25.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.94.
Notable Days 2017-08-10 : Highest Volume — 145,265 contracts2017-08-10 : Largest IV drop — 27.1% change2017-08-09 : Highest IV Rank — 95.3%2017-08-02 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $21.38 $19.56 $23.96 $23.96 $20.78 Max Pain $22.28 $20.50 $25.00 $25.00 $21.00 ATM IV 38.8% 32.0% 54.8% 44.8% 32.0% Expected Move 11.3% 9.4% 16.3% 14.9% 9.4% HV 20d 44.7% 32.2% 49.7% 42.2% 44.9% HV 60d 43.6% 36.4% 53.7% 53.4% 39.7% IV Rank 41.0% 14.2% 95.3% 61.8% 14.2% IV Percentile 59.5% 22.2% 99.6% 88.5% 22.2% Term Structure -0.6% -3.0% 1.6% -2.3% 0.4% VWIV 39.9% 33.8% 56.8% 51.9% 36.3% Skew 25d 2.4% 1.7% 3.4% 1.7% 3.0% Skew 10d 3.9% 1.5% 7.2% 4.4% 4.5% Call IV 25d 37.7% 30.9% 54.0% 43.8% 30.9% Put IV 25d 40.1% 33.9% 56.6% 45.5% 33.9% Bid-Ask Spread % 20.04 5.33 52.97 15.33 5.75 Gamma HHI 0.13 0.07 0.27 0.07 0.13 Net GEX -2.4M -8.3M 116.7K -164.9K -1.7M Net DEX 160.3M 66.3M 300.1M 66.3M 124.2M Net VEX -1.3M -1.4M -1.1M -1.4M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.36 2.18 0.70 0.85 Total Volume 39,126.087 11,163 145,265 11,163 15,443 Total OI 462,704.391 405,682 546,470 405,682 475,845
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 2017-08-01 $23.96 $25.00 44.8% 14.9% 42.2% 61.8% 51.9% 1.7% -2.3% -164.9K 66.3M -1.4M 0.70 15.33 N/A N/A 6,558 4,605 189,159 216,523 2017-08-02 $23.14 $25.00 46.4% 16.3% 43.8% 67.3% 56.8% 2.4% -2.2% -1.3M 107.3M -1.3M 1.46 15.45 N/A N/A 10,853 15,847 190,789 217,381 2017-08-03 $23.58 $24.00 46.7% 12.8% 42.8% 68.3% 44.2% 2.2% -2.7% -600.8K 80.7M -1.4M 2.18 18.35 N/A N/A 11,940 26,010 193,513 219,604 2017-08-04 $23.37 $24.00 46.9% 13.1% 43.0% 69.1% 44.9% 2.0% -3.0% -1.5M 103.5M -1.3M 0.50 20.33 N/A N/A 15,267 7,666 195,981 230,329 2017-08-07 $23.54 $24.00 47.0% 13.0% 32.2% 69.3% 45.3% 2.4% -1.2% -2.0M 95.5M -1.3M 1.25 13.96 N/A N/A 10,822 13,516 190,574 228,509 2017-08-08 $23.50 $24.00 50.2% 13.7% 32.3% 80.1% 46.9% 2.7% -1.1% -1.6M 91.5M -1.3M 0.99 8.36 N/A N/A 21,242 20,970 194,900 228,385 2017-08-09 $23.01 $24.00 54.8% 15.4% 33.6% 95.3% 52.8% 2.6% -0.5% -2.2M 116.1M -1.3M 0.87 24.93 N/A N/A 47,230 40,969 204,575 241,121 2017-08-10 $20.65 $23.00 39.9% 11.9% 49.7% 45.3% 42.5% 2.6% 1.0% -8.3M 300.1M -1.1M 1.38 18.83 N/A N/A 60,930 84,335 233,940 270,900 2017-08-11 $20.72 $22.00 35.1% 10.2% 49.3% 29.0% 36.8% 2.3% 0.2% -5.6M 292.1M -1.2M 1.07 33.25 N/A N/A 27,447 29,413 266,248 280,222 2017-08-14 $20.34 $22.00 34.5% 10.0% 48.2% 27.1% 34.8% 1.8% -1.0% -5.5M 269.7M -1.1M 0.53 7.82 N/A N/A 23,398 12,300 245,178 256,711 2017-08-15 $20.32 $22.00 35.3% 10.2% 48.1% 29.7% 36.0% 2.5% -0.4% -5.0M 262.7M -1.2M 0.65 48.62 N/A N/A 18,872 12,198 252,695 258,510 2017-08-16 $20.20 $22.00 34.5% 9.9% 47.7% 27.1% 35.3% 2.2% 0.5% -4.8M 271.0M -1.1M 0.84 18.43 N/A N/A 13,353 11,270 259,921 260,093 2017-08-17 $19.73 $22.00 37.0% 10.7% 47.8% 35.4% 37.9% 2.5% -0.5% -4.5M 295.9M -1.1M 0.49 48.54 N/A N/A 30,133 14,682 262,757 262,447 2017-08-18 $19.61 $21.00 34.9% 9.9% 47.3% 28.3% 34.5% 1.8% 1.6% -3.0M 297.2M -1.1M 0.78 29.96 N/A N/A 22,546 17,476 276,227 267,752 2017-08-21 $19.56 $21.00 34.5% 10.0% 46.7% 27.1% 34.7% 2.7% 0.2% -2.0M 180.3M -1.1M 0.58 5.66 N/A N/A 15,629 9,005 204,300 203,181 2017-08-22 $20.42 $21.00 34.3% 9.9% 47.7% 26.3% 35.0% 2.3% -0.3% -1.3M 129.3M -1.2M 0.36 35.45 N/A N/A 38,893 14,107 210,017 206,344 2017-08-23 $20.60 $21.00 34.6% 10.1% 48.0% 27.6% 37.1% 2.2% -0.7% -217.1K 108.3M -1.3M 0.48 10.73 N/A N/A 18,640 9,012 226,916 209,024 2017-08-24 $20.65 $20.50 34.9% 10.1% 45.8% 27.0% 36.0% 2.7% -0.3% 116.7K 102.8M -1.3M 0.65 8.77 N/A N/A 34,895 22,751 232,189 212,086 2017-08-25 $21.16 $21.00 33.3% 9.5% 47.1% 20.7% 33.8% 2.2% -0.5% -496.9K 69.6M -1.4M 0.87 52.97 N/A N/A 15,499 13,479 244,792 226,084 2017-08-28 $21.15 $21.00 33.9% 9.8% 47.1% 22.9% 34.3% 2.5% -0.5% -622.1K 89.0M -1.3M 1.64 5.80 N/A N/A 8,200 13,451 232,740 224,872 2017-08-29 $20.90 $21.00 34.0% 10.0% 46.9% 23.3% 35.8% 2.1% -0.7% -1.5M 112.5M -1.3M 1.24 5.33 N/A N/A 8,745 10,812 234,254 231,751 2017-08-30 $20.78 $21.00 33.4% 9.9% 45.7% 21.0% 34.8% 3.4% -0.3% -1.6M 120.7M -1.3M 1.15 8.21 N/A N/A 9,063 10,428 236,514 236,348 2017-08-31 $20.78 $21.00 32.0% 9.4% 44.9% 14.2% 36.3% 3.0% 0.4% -1.7M 124.2M -1.3M 0.85 5.75 N/A N/A 8,332 7,111 238,110 237,735
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