M Options History — September 2017

In September 2017, M traded between $20.99 and $22.67. ATM implied volatility averaged 31.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 6.8% (HV 20d: 38.3%). Max pain ranged from $21.00 to $21.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2017-09-13: Highest Volume — 64,610 contracts
  • 2017-09-29: Largest IV spike — 8.2% change
  • 2017-09-06: Highest IV Rank — 20.7%
  • 2017-09-06: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.81$20.99$22.67$21.40$21.82
Max Pain$21.05$21.00$21.50$21.00$21.50
ATM IV31.5%29.5%33.9%31.1%32.0%
Expected Move9.0%8.2%9.8%9.2%9.5%
HV 20d38.3%33.6%51.3%46.6%35.8%
HV 60d41.5%39.6%42.0%40.2%41.1%
IV Rank12.3%5.1%20.7%10.9%14.0%
IV Percentile17.2%2.8%36.5%15.1%21.8%
Term Structure0.1%-3.0%1.3%-0.3%-3.0%
VWIV32.0%29.1%34.5%34.0%33.3%
Skew 25d1.0%-1.0%3.2%3.2%0.4%
Skew 10d1.4%-2.5%4.4%4.4%1.7%
Call IV 25d31.6%29.5%34.2%30.1%33.4%
Put IV 25d32.6%30.3%35.7%33.3%33.8%
Bid-Ask Spread %23.754.5074.9055.9774.90
Gamma HHI0.120.100.150.130.11
Net GEX-198.9K-2.4M3.0M-1.1M-1.3M
Net DEX64.8M-3.4M119.4M74.3M69.1M
Net VEX-1.4M-1.4M-1.3M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.231.440.541.44
Total Volume31,740.113,86164,61028,47856,338
Total OI457,102.2402,022497,114477,018451,513

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$21.40$21.0031.1%9.2%46.6%10.9%34.0%3.2%-0.3%-1.1M74.3M-1.3M0.5455.97N/AN/A18,5309,948238,464238,554
2017-09-05$20.99$21.0032.3%9.5%46.7%15.0%32.8%2.4%0.7%-1.9M112.6M-1.3M0.6910.16N/AN/A13,0438,957232,794233,777
2017-09-06$22.15$21.0033.9%9.8%51.3%20.7%34.5%2.3%0.2%751.9K21.8M-1.4M0.5617.62N/AN/A26,49014,905234,041237,437
2017-09-07$21.72$21.0032.5%9.3%51.2%16.0%33.3%2.2%0.1%-376.7K57.3M-1.3M0.8212.24N/AN/A15,65112,887239,467242,470
2017-09-08$21.32$21.0031.2%9.2%33.6%11.3%33.0%1.8%1.2%-2.4M88.4M-1.3M0.699.55N/AN/A13,9609,608240,512245,224
2017-09-11$21.53$21.0031.3%9.1%33.7%11.8%31.9%1.6%0.3%-2.0M80.3M-1.3M0.868.71N/AN/A12,59310,874234,036243,231
2017-09-12$22.20$21.0032.3%9.1%34.3%15.2%32.2%1.7%-0.6%282.9K23.6M-1.4M0.8115.37N/AN/A22,29618,111237,766247,512
2017-09-13$22.67$21.0032.0%9.2%34.7%14.0%34.2%1.0%0.1%1.5M-3.4M-1.4M0.239.33N/AN/A52,44412,166241,020256,094
2017-09-14$21.98$21.0029.5%8.5%36.8%5.1%30.1%0.8%0.5%-2.0M73.7M-1.4M0.707.26N/AN/A13,6029,575218,711260,383
2017-09-15$22.56$21.0030.9%8.7%36.1%10.3%30.8%0.4%-1.6%1.0M28.5M-1.4M0.3150.17N/AN/A27,3308,491221,120263,247
2017-09-18$22.11$21.0030.5%8.7%37.1%8.6%30.2%0.9%1.3%-400.0K61.5M-1.4M0.6732.15N/AN/A10,6387,080182,448219,574
2017-09-19$21.75$21.0032.8%9.4%37.8%17.0%32.7%0.7%-0.1%-1.2M81.8M-1.4M0.3342.15N/AN/A38,69712,819185,193222,543
2017-09-20$21.46$21.0033.0%9.5%35.6%17.8%33.5%-0.9%-0.5%-357.5K95.3M-1.4M0.5041.67N/AN/A20,0479,966200,816230,485
2017-09-21$21.17$21.0031.6%9.0%36.0%12.6%32.0%-1.0%0.8%-1.3M119.4M-1.3M0.6016.71N/AN/A18,13610,898204,517235,210
2017-09-22$21.52$21.0031.3%8.9%36.4%11.5%31.4%-0.7%1.1%-1.6M92.1M-1.4M0.2732.07N/AN/A27,8537,483208,488238,936
2017-09-25$21.79$21.0031.7%9.1%35.6%13.1%31.9%0.4%0.9%1.1M70.5M-1.4M0.3722.94N/AN/A17,8896,596197,467233,923
2017-09-26$21.87$21.0030.7%8.5%35.6%9.4%30.0%0.6%-0.7%1.6M63.8M-1.4M0.526.19N/AN/A9,0904,771201,891236,896
2017-09-27$22.16$21.0029.7%8.2%35.5%6.0%29.3%0.8%0.8%2.6M41.0M-1.4M0.645.36N/AN/A12,2877,806203,182237,709
2017-09-28$22.08$21.5029.5%8.3%35.4%5.4%29.1%0.9%0.8%3.0M44.8M-1.4M0.684.50N/AN/A14,87010,077205,058240,335
2017-09-29$21.82$21.5032.0%9.5%35.8%14.0%33.3%0.4%-3.0%-1.3M69.1M-1.4M1.4474.90N/AN/A23,08833,250207,456244,057