M Options History — October 2017

In October 2017, M traded between $18.77 and $21.41. ATM implied volatility averaged 43.7%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 12.3% (HV 20d: 31.5%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2017-10-30: Highest Volume — 112,021 contracts
2017-10-16: Largest IV spike — 14.7% change
2017-10-30: Highest IV Rank — 81.5%
2017-10-30: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.46	$18.77	$21.41	$20.88	$18.77
Max Pain	$22.52	$21.00	$23.00	$22.00	$22.00
ATM IV	43.7%	33.6%	50.9%	34.3%	49.9%
Expected Move	13.2%	9.4%	17.2%	9.7%	16.8%
HV 20d	31.5%	25.2%	40.7%	37.9%	40.4%
HV 60d	38.9%	37.3%	42.1%	42.1%	41.2%
IV Rank	55.9%	19.7%	81.5%	22.1%	77.7%
IV Percentile	79.0%	33.7%	98.8%	42.5%	97.2%
Term Structure	1.1%	-3.4%	11.9%	9.3%	-1.6%
VWIV	46.5%	33.3%	61.8%	34.4%	59.9%
Skew 25d	0.5%	-1.9%	3.3%	2.3%	-0.1%
Skew 10d	1.7%	-3.5%	17.6%	5.6%	0.2%
Call IV 25d	44.2%	33.5%	51.7%	34.4%	50.8%
Put IV 25d	44.7%	33.8%	51.5%	36.7%	50.7%
Bid-Ask Spread %	16.42	2.84	63.54	63.54	16.77
Gamma HHI	0.16	0.12	0.28	0.12	0.14
Net GEX	-4.4M	-7.5M	-1.7M	-3.8M	-4.2M
Net DEX	176.5M	87.4M	273.4M	160.2M	268.4M
Net VEX	-1.5M	-1.6M	-1.4M	-1.4M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.34	1.93	0.87	0.54
Total Volume	40,142.182	18,481	112,021	63,375	47,805
Total OI	545,190.591	458,097	626,888	458,097	626,888

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
2017-10-02	$20.88	$22.00	34.3%	9.7%	37.9%	22.1%	34.4%	2.3%	9.3%	-3.8M	160.2M	-1.4M	0.87	63.54	N/A	N/A	33,889	29,486	193,799	264,298
2017-10-03	$21.04	$21.50	34.9%	9.4%	37.4%	24.6%	33.6%	1.4%	10.6%	-2.9M	143.9M	-1.5M	0.51	43.84	N/A	N/A	14,893	7,527	211,109	277,646
2017-10-04	$20.62	$21.00	33.6%	9.5%	32.1%	19.7%	33.3%	-0.4%	10.4%	-3.9M	175.3M	-1.4M	0.96	31.71	N/A	N/A	12,365	11,824	215,435	279,980
2017-10-05	$21.02	$23.00	35.2%	12.7%	32.5%	25.6%	44.2%	0.3%	11.9%	-2.1M	142.7M	-1.5M	0.55	4.00	N/A	N/A	19,294	10,521	219,171	285,794
2017-10-06	$20.82	$23.00	37.0%	12.5%	32.1%	31.8%	43.9%	0.2%	11.8%	-4.3M	166.6M	-1.5M	0.79	3.33	N/A	N/A	15,525	12,289	222,321	287,963
2017-10-09	$20.36	$23.00	40.6%	12.6%	32.6%	44.7%	44.2%	3.3%	0.7%	-5.4M	194.8M	-1.4M	0.75	4.13	N/A	N/A	17,606	13,142	216,458	285,059
2017-10-10	$20.66	$23.00	42.4%	12.2%	30.9%	51.0%	42.7%	2.6%	-1.0%	-4.3M	173.0M	-1.4M	0.74	4.07	N/A	N/A	16,058	11,879	223,934	292,268
2017-10-11	$20.51	$23.00	43.6%	12.2%	29.5%	55.4%	43.1%	1.5%	-1.2%	-4.8M	183.9M	-1.4M	0.56	3.30	N/A	N/A	15,097	8,496	231,065	297,623
2017-10-12	$20.23	$23.00	45.6%	12.5%	28.1%	62.4%	44.1%	1.9%	-2.0%	-5.8M	210.5M	-1.4M	1.93	4.43	N/A	N/A	18,506	35,688	234,149	299,550
2017-10-13	$20.16	$23.00	42.3%	12.5%	25.8%	50.8%	43.9%	-1.9%	1.5%	-6.6M	208.9M	-1.5M	0.83	8.85	N/A	N/A	22,165	18,378	239,978	315,723
2017-10-16	$19.86	$23.00	48.5%	13.8%	25.4%	72.8%	48.2%	-0.4%	-3.2%	-7.1M	240.3M	-1.5M	0.77	4.69	N/A	N/A	34,421	26,424	233,469	321,060
2017-10-17	$19.91	$23.00	47.2%	13.5%	25.2%	68.2%	47.0%	-0.5%	-3.4%	-6.6M	229.7M	-1.5M	0.64	2.97	N/A	N/A	15,898	10,180	248,716	331,117
2017-10-18	$20.15	$23.00	46.8%	13.4%	25.6%	66.8%	47.0%	-0.3%	-2.7%	-6.3M	204.5M	-1.5M	0.71	3.48	N/A	N/A	18,541	13,103	252,372	333,454
2017-10-19	$20.18	$23.00	45.2%	13.1%	25.4%	61.1%	45.8%	-0.5%	-2.1%	-7.5M	202.6M	-1.5M	0.70	3.32	N/A	N/A	10,992	7,662	255,889	335,706
2017-10-20	$21.17	$23.00	46.0%	13.4%	30.4%	64.0%	46.8%	-0.8%	-2.5%	-3.2M	91.0M	-1.6M	0.34	2.84	N/A	N/A	37,217	12,713	256,464	336,017
2017-10-23	$21.32	$23.00	47.7%	14.8%	30.2%	70.0%	51.3%	1.1%	-1.2%	-2.4M	98.1M	-1.6M	0.61	18.03	N/A	N/A	24,313	14,947	233,832	306,245
2017-10-24	$21.41	$22.00	47.4%	14.7%	30.2%	68.9%	51.3%	0.4%	-2.3%	-1.8M	87.4M	-1.6M	0.64	4.45	N/A	N/A	11,257	7,224	241,263	311,035
2017-10-25	$21.27	$22.00	47.6%	14.5%	29.8%	69.7%	50.9%	0.7%	-2.6%	-2.0M	100.0M	-1.6M	0.88	22.91	N/A	N/A	11,840	10,368	245,246	313,826
2017-10-26	$21.32	$22.00	45.7%	14.6%	29.8%	62.9%	51.0%	0.7%	-3.0%	-1.7M	100.0M	-1.6M	1.12	33.12	N/A	N/A	11,659	13,049	247,505	317,813
2017-10-27	$19.68	$22.00	49.9%	15.7%	40.7%	77.9%	55.1%	-0.4%	-1.9%	-4.8M	227.0M	-1.5M	0.84	33.83	N/A	N/A	47,185	39,681	249,669	322,741
2017-10-30	$18.84	$22.00	50.9%	17.2%	40.7%	81.5%	61.8%	0.9%	-1.9%	-5.1M	273.4M	-1.4M	1.00	43.64	N/A	N/A	56,058	55,963	251,935	328,608
2017-10-31	$18.77	$22.00	49.9%	16.8%	40.4%	77.7%	59.9%	-0.1%	-1.6%	-4.2M	268.4M	-1.5M	0.54	16.77	N/A	N/A	31,143	16,662	285,060	341,828