M Options History — September 2018

In September 2018, M traded between $34.47 and $36.38. ATM implied volatility averaged 32.0%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 9.0% (HV 20d: 41.0%). Max pain ranged from $35.50 to $36.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.81.

Notable Days

  • 2018-09-26: Highest Volume — 143,826 contracts
  • 2018-09-24: Largest IV spike — 6.8% change
  • 2018-09-05: Highest IV Rank — 12.5%
  • 2018-09-05: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.49$34.47$36.38$36.35$34.76
Max Pain$35.95$35.50$36.00$35.50$36.00
ATM IV32.0%29.6%34.3%33.0%30.9%
Expected Move9.2%8.4%10.4%9.7%8.7%
HV 20d41.0%20.4%69.0%69.0%22.6%
HV 60d45.5%44.3%46.7%46.6%44.3%
IV Rank6.4%0.3%12.5%9.2%3.5%
IV Percentile6.4%0.4%18.7%10.7%1.6%
Term Structure0.2%-0.4%0.9%-0.3%0.3%
VWIV32.5%29.6%38.1%35.1%31.5%
Skew 25d2.3%1.8%2.8%2.3%2.6%
Skew 10d4.6%4.0%5.7%4.5%5.7%
Call IV 25d31.4%29.1%33.8%32.4%30.1%
Put IV 25d33.7%31.3%36.3%34.6%32.7%
Bid-Ask Spread %7.573.3517.134.683.47
Gamma HHI0.120.090.280.110.12
Net GEX5.1M-4.1M11.7M11.7M-3.7M
Net DEX-47.1M-143.9M43.3M-143.9M29.9M
Net VEX-1.7M-1.8M-1.6M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.451.680.991.27
Total Volume31,833.31618,697143,82625,84223,645
Total OI486,093.421402,856523,801499,943443,332

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$36.35$35.5033.0%9.7%69.0%9.2%35.1%2.3%-0.3%11.7M-143.9M-1.8M0.994.68N/AN/A13,00012,842244,264255,679
2018-09-05$35.80$35.5034.3%10.4%68.6%12.5%38.1%2.6%0.1%9.6M-88.2M-1.8M0.7011.84N/AN/A15,54810,943251,534264,844
2018-09-06$35.46$36.0033.2%9.6%68.4%9.6%35.1%2.1%0.1%7.4M-47.8M-1.8M0.5617.13N/AN/A16,9789,479254,311268,687
2018-09-07$35.58$36.0033.3%9.6%68.1%9.8%33.8%2.3%0.3%4.7M-46.8M-1.8M0.908.32N/AN/A13,15711,867252,921270,880
2018-09-10$35.90$36.0033.6%9.6%68.3%10.6%33.3%2.5%-0.4%6.0M-69.7M-1.7M0.7511.67N/AN/A12,1849,105234,880265,127
2018-09-11$36.38$36.0033.1%9.6%68.5%9.4%33.5%2.2%0.3%8.9M-107.9M-1.7M0.884.57N/AN/A9,9338,764237,537265,562
2018-09-12$36.35$36.0033.1%9.6%66.4%9.3%33.9%2.0%0.5%9.0M-103.9M-1.7M0.544.68N/AN/A19,92710,788238,519266,597
2018-09-13$35.69$36.0032.1%9.2%30.6%6.7%32.3%1.8%0.0%5.6M-42.0M-1.7M0.458.98N/AN/A24,08710,843231,162268,321
2018-09-14$36.25$36.0030.5%8.8%31.0%2.6%30.6%2.2%0.3%10.8M-106.1M-1.7M0.644.65N/AN/A19,96512,782239,844268,426
2018-09-17$35.14$36.0032.3%9.3%32.8%7.2%32.3%2.8%-0.2%3.5M-18.1M-1.7M0.463.35N/AN/A22,50110,281235,780265,112
2018-09-18$35.59$36.0030.9%8.9%24.8%3.6%31.1%2.2%0.3%7.7M-61.0M-1.7M0.464.94N/AN/A16,5827,694243,330267,477
2018-09-19$35.56$36.0030.8%8.8%24.7%3.2%31.0%2.4%0.5%6.5M-46.9M-1.7M0.687.78N/AN/A13,6859,367243,749268,226
2018-09-20$35.10$36.0030.9%8.8%24.7%3.6%30.9%2.2%0.6%1.8M-1.5M-1.7M0.753.86N/AN/A13,70010,273245,115269,121
2018-09-21$35.56$36.0029.6%8.4%24.6%0.3%29.6%2.2%0.9%10.9M-45.5M-1.6M0.6212.04N/AN/A16,49510,224243,976270,648
2018-09-24$34.91$36.0031.7%9.1%20.4%5.5%31.6%2.3%0.1%183.8K-20.0M-1.6M0.806.00N/AN/A11,5319,176153,353249,503
2018-09-25$34.49$36.0031.5%8.9%20.7%5.0%31.3%2.4%0.1%-737.3K7.0M-1.6M0.984.14N/AN/A11,04210,874156,704252,348
2018-09-26$35.05$36.0031.2%8.9%21.7%4.4%31.1%2.5%0.6%290.0K-26.9M-1.6M1.6814.65N/AN/A53,76190,065158,087254,133
2018-09-27$34.47$36.0031.5%9.0%22.4%5.0%31.6%2.5%0.5%-4.1M43.3M-1.7M1.367.03N/AN/A9,19612,549146,368290,318
2018-09-28$34.76$36.0030.9%8.7%22.6%3.5%31.5%2.6%0.3%-3.7M29.9M-1.7M1.273.47N/AN/A10,40013,245148,033295,299