M Options History — January 2018

In January 2018, M traded between $24.39 and $27.35. ATM implied volatility averaged 41.7%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 1.2% (HV 20d: 42.9%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2018-01-04: Highest Volume — 102,523 contracts
2018-01-04: Largest IV drop — 19.9% change
2018-01-31: Highest IV Rank — 90.2%
2018-01-03: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.18	$24.39	$27.35	$26.30	$25.98
Max Pain	$25.36	$25.00	$27.00	$25.00	$26.00
ATM IV	41.7%	36.6%	53.5%	49.5%	53.5%
Expected Move	11.7%	10.6%	17.4%	16.4%	11.8%
HV 20d	42.9%	37.2%	46.9%	46.6%	37.2%
HV 60d	49.3%	46.5%	50.9%	48.7%	47.5%
IV Rank	45.7%	26.9%	90.2%	75.0%	90.2%
IV Percentile	61.4%	42.1%	98.4%	91.7%	98.4%
Term Structure	2.0%	-3.5%	13.3%	-1.8%	-3.5%
VWIV	41.7%	37.9%	61.5%	58.1%	42.1%
Skew 25d	2.2%	0.5%	3.9%	3.3%	2.0%
Skew 10d	3.6%	-0.9%	8.0%	8.0%	-0.9%
Call IV 25d	41.0%	36.3%	52.4%	47.5%	52.4%
Put IV 25d	43.2%	37.6%	55.2%	50.8%	54.4%
Bid-Ask Spread %	6.90	2.12	17.93	9.95	15.27
Gamma HHI	0.10	0.06	0.30	0.07	0.08
Net GEX	2.3M	-4.8M	7.0M	1.4M	1.1M
Net DEX	-100.0M	-259.9M	51.3M	-132.1M	-28.6M
Net VEX	-1.6M	-1.8M	-1.5M	-1.7M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.43	2.28	1.20	0.65
Total Volume	42,927.524	20,320	102,523	56,183	24,285
Total OI	661,526	426,848	822,097	736,356	467,238

Daily Data (21 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
2018-01-02	$26.30	$25.00	49.5%	16.4%	46.6%	75.0%	58.1%	3.3%	-1.8%	1.4M	-132.1M	-1.7M	1.20	9.95	N/A	N/A	25,562	30,621	272,819	463,537
2018-01-03	$25.39	$25.00	51.3%	17.4%	42.6%	81.7%	61.5%	3.9%	-2.4%	-324.0K	-51.3M	-1.8M	1.56	17.93	N/A	N/A	26,547	41,459	279,513	472,422
2018-01-04	$24.48	$25.00	41.1%	11.6%	43.8%	43.6%	39.9%	3.3%	0.1%	-4.8M	50.0M	-1.7M	1.10	17.62	N/A	N/A	48,882	53,641	292,600	499,331
2018-01-05	$24.46	$25.00	37.9%	10.8%	43.8%	31.5%	38.5%	1.9%	0.4%	-1.5M	51.3M	-1.7M	0.81	11.82	N/A	N/A	25,167	20,262	303,332	518,765
2018-01-08	$24.39	$25.00	38.9%	11.3%	43.6%	35.3%	40.1%	2.0%	0.4%	-1.0M	43.2M	-1.6M	1.02	8.94	N/A	N/A	20,852	21,179	280,546	485,234
2018-01-09	$24.70	$25.00	37.0%	10.6%	43.2%	28.4%	38.4%	2.0%	-0.2%	330.7K	2.4M	-1.6M	2.24	3.33	N/A	N/A	18,002	40,342	287,680	488,972
2018-01-10	$25.65	$25.00	37.8%	10.9%	45.4%	31.3%	39.7%	2.5%	0.2%	3.4M	-110.8M	-1.6M	2.28	10.94	N/A	N/A	24,280	55,453	293,562	511,945
2018-01-11	$26.30	$25.00	38.1%	11.2%	46.2%	32.5%	40.1%	2.4%	0.9%	4.5M	-182.1M	-1.7M	1.03	5.49	N/A	N/A	17,417	17,921	296,154	500,379
2018-01-12	$26.92	$25.00	38.9%	11.1%	46.9%	35.2%	39.8%	2.0%	-0.1%	4.4M	-259.9M	-1.6M	0.45	4.00	N/A	N/A	37,834	16,912	298,939	504,442
2018-01-16	$25.92	$25.00	39.5%	11.3%	46.7%	37.7%	39.9%	1.7%	-0.9%	2.3M	-113.6M	-1.6M	0.58	2.18	N/A	N/A	28,922	16,720	289,773	498,946
2018-01-17	$26.26	$25.00	39.8%	11.4%	46.6%	38.7%	40.7%	2.0%	-1.0%	3.5M	-152.7M	-1.5M	0.92	2.65	N/A	N/A	12,842	11,847	291,271	502,885
2018-01-18	$26.59	$25.00	38.8%	11.1%	43.1%	35.0%	39.8%	1.0%	-0.6%	4.9M	-198.9M	-1.5M	0.85	2.12	N/A	N/A	18,097	15,459	292,782	505,322
2018-01-19	$26.99	$25.00	37.1%	10.7%	42.3%	28.6%	38.1%	1.1%	-0.5%	7.0M	-231.2M	-1.5M	0.43	2.79	N/A	N/A	30,858	13,323	296,745	512,231
2018-01-22	$27.25	$25.00	36.7%	10.6%	42.4%	27.1%	38.2%	1.1%	9.3%	3.6M	-127.9M	-1.5M	0.74	2.99	N/A	N/A	20,146	14,994	169,619	257,229
2018-01-23	$27.35	$27.00	36.6%	10.7%	42.3%	26.9%	37.9%	0.5%	10.5%	3.0M	-108.9M	-1.7M	0.66	3.01	N/A	N/A	12,891	8,522	181,292	279,163
2018-01-24	$27.23	$25.50	37.8%	11.1%	42.4%	31.2%	39.2%	2.2%	12.2%	4.3M	-138.3M	-1.6M	0.48	7.64	N/A	N/A	21,915	10,474	186,279	267,546
2018-01-25	$26.62	$26.00	40.7%	11.3%	40.3%	42.2%	40.3%	1.5%	10.8%	4.6M	-88.4M	-1.7M	0.67	3.31	N/A	N/A	13,645	9,100	191,980	271,494
2018-01-26	$27.34	$26.00	42.1%	11.0%	37.6%	47.2%	38.8%	3.0%	13.3%	3.2M	-152.5M	-1.6M	0.59	2.69	N/A	N/A	17,785	10,556	195,674	274,938
2018-01-29	$27.35	$26.00	49.7%	11.9%	37.6%	75.8%	41.7%	2.5%	-2.0%	3.4M	-120.4M	-1.6M	0.53	6.53	N/A	N/A	13,265	7,055	180,556	270,490
2018-01-30	$26.26	$26.00	52.3%	12.1%	39.9%	85.4%	42.5%	3.6%	-2.6%	1.7M	-49.6M	-1.6M	0.71	3.79	N/A	N/A	15,463	10,981	185,518	272,903
2018-01-31	$25.98	$26.00	53.5%	11.8%	37.2%	90.2%	42.1%	2.0%	-3.5%	1.1M	-28.6M	-1.6M	0.65	15.27	N/A	N/A	14,761	9,524	189,544	277,694