M Options History — December 2017

In December 2017, M traded between $24.15 and $26.85. ATM implied volatility averaged 46.8%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 1.8% (HV 20d: 48.6%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2017-12-13: Highest Volume — 207,790 contracts
2017-12-06: Largest IV spike — 22.1% change
2017-12-06: Highest IV Rank — 89.1%
2017-12-29: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.46	$24.15	$26.85	$24.15	$25.21
Max Pain	$23.95	$21.00	$25.00	$21.00	$25.00
ATM IV	46.8%	43.0%	53.2%	43.0%	49.6%
Expected Move	13.6%	12.7%	15.4%	12.9%	15.4%
HV 20d	48.6%	40.3%	58.9%	56.6%	44.6%
HV 60d	46.9%	45.0%	48.2%	45.0%	48.2%
IV Rank	64.9%	50.6%	89.1%	50.6%	75.6%
IV Percentile	83.2%	73.4%	98.4%	74.6%	92.5%
Term Structure	-0.7%	-8.9%	6.3%	4.0%	-2.4%
VWIV	49.2%	45.8%	62.2%	45.8%	52.9%
Skew 25d	2.9%	-2.1%	7.6%	0.0%	3.5%
Skew 10d	7.7%	-1.3%	34.7%	1.0%	7.4%
Call IV 25d	46.1%	41.3%	55.1%	42.6%	49.0%
Put IV 25d	48.9%	42.6%	53.0%	42.6%	52.5%
Bid-Ask Spread %	12.53	7.10	19.10	14.56	17.71
Gamma HHI	0.12	0.07	0.15	0.11	0.07
Net GEX	2.7M	-1.9M	5.6M	2.9M	54.9K
Net DEX	-164.8M	-319.3M	-8.9M	-216.2M	-34.3M
Net VEX	-1.8M	-1.9M	-1.6M	-1.9M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.09	2.82	0.44	1.20
Total Volume	54,491.4	22,004	207,790	44,851	41,306
Total OI	739,604.05	695,005	801,944	770,591	739,498

Daily Data (20 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
2017-12-01	$24.15	$21.00	43.0%	12.9%	56.6%	50.6%	45.8%	0.0%	4.0%	2.9M	-216.2M	-1.9M	0.44	14.56	N/A	N/A	31,225	13,626	313,147	457,444
2017-12-04	$25.79	$22.00	47.8%	13.9%	57.9%	68.6%	50.9%	3.2%	2.4%	4.1M	-319.3M	-1.8M	1.32	11.14	N/A	N/A	62,645	82,962	297,428	423,349
2017-12-05	$25.21	$23.00	43.6%	13.3%	58.9%	53.0%	47.2%	5.1%	0.1%	2.5M	-242.1M	-1.9M	0.58	8.61	N/A	N/A	22,887	13,177	300,253	448,126
2017-12-06	$25.06	$23.00	53.2%	13.9%	55.9%	89.1%	49.4%	-2.1%	-5.6%	2.7M	-223.7M	-1.9M	0.42	13.65	N/A	N/A	24,878	10,396	303,686	449,244
2017-12-07	$25.27	$23.00	52.5%	13.9%	55.8%	86.2%	49.1%	0.5%	-8.9%	4.5M	-259.8M	-1.9M	0.70	11.35	N/A	N/A	17,575	12,354	315,595	452,065
2017-12-08	$25.78	$23.00	46.4%	13.4%	43.3%	63.5%	48.0%	3.2%	3.6%	4.0M	-309.3M	-1.8M	0.58	7.10	N/A	N/A	24,503	14,320	318,337	455,044
2017-12-11	$25.91	$23.00	43.5%	13.0%	43.4%	52.5%	46.2%	4.1%	6.3%	4.5M	-296.4M	-1.8M	0.75	19.10	N/A	N/A	33,303	25,005	309,873	450,790
2017-12-12	$25.72	$23.00	45.1%	13.1%	40.3%	58.8%	46.4%	5.2%	3.9%	5.2M	-263.8M	-1.8M	0.50	12.03	N/A	N/A	22,568	11,212	326,813	467,565
2017-12-13	$25.85	$23.00	44.9%	12.7%	40.4%	57.9%	62.2%	6.2%	-1.1%	5.6M	-272.1M	-1.8M	0.09	14.89	N/A	N/A	189,835	17,955	330,995	470,949
2017-12-14	$24.86	$25.00	48.7%	13.6%	44.5%	72.1%	50.9%	2.4%	-2.6%	-1.3M	-16.3M	-1.9M	0.55	11.96	N/A	N/A	50,249	27,809	257,467	479,168
2017-12-15	$24.56	$25.00	48.3%	13.7%	45.2%	70.6%	48.0%	7.6%	0.1%	-1.9M	-8.9M	-1.9M	0.43	15.63	N/A	N/A	31,280	13,402	265,494	473,026
2017-12-18	$25.87	$25.00	47.3%	13.7%	47.6%	66.8%	49.1%	2.5%	-1.4%	2.6M	-114.5M	-1.8M	0.41	11.09	N/A	N/A	26,645	10,970	255,816	439,189
2017-12-19	$25.27	$25.00	45.9%	13.1%	49.1%	61.7%	46.8%	2.1%	-0.9%	1.9M	-74.9M	-1.8M	0.63	9.99	N/A	N/A	13,495	8,509	261,788	441,512
2017-12-20	$25.35	$25.00	44.9%	12.9%	47.8%	57.9%	46.3%	2.1%	-0.9%	2.6M	-80.1M	-1.7M	0.55	12.48	N/A	N/A	15,714	8,679	265,128	442,527
2017-12-21	$25.55	$25.00	45.4%	13.1%	47.8%	59.5%	45.8%	1.7%	-2.0%	3.8M	-102.9M	-1.6M	0.50	12.53	N/A	N/A	18,218	9,191	268,193	444,162
2017-12-22	$25.68	$25.00	46.2%	13.5%	47.8%	62.8%	46.5%	2.4%	-2.9%	2.6M	-106.7M	-1.7M	0.86	10.37	N/A	N/A	14,653	12,567	268,627	447,265
2017-12-26	$26.85	$25.00	45.8%	13.6%	49.3%	61.2%	49.9%	2.3%	-2.1%	3.9M	-192.5M	-1.7M	1.38	14.46	N/A	N/A	24,657	34,064	260,243	446,998
2017-12-27	$25.64	$25.00	44.6%	13.6%	52.1%	56.9%	47.5%	2.1%	-2.0%	2.0M	-84.1M	-1.6M	0.57	14.44	N/A	N/A	24,929	14,123	263,716	451,713
2017-12-28	$25.71	$25.00	49.0%	14.7%	43.9%	73.1%	54.9%	3.3%	-1.7%	1.8M	-78.9M	-1.8M	2.82	7.48	N/A	N/A	15,434	43,508	272,517	457,331
2017-12-29	$25.21	$25.00	49.6%	15.4%	44.6%	75.6%	52.9%	3.5%	-2.4%	54.9K	-34.3M	-1.7M	1.20	17.71	N/A	N/A	18,762	22,544	273,734	465,764