M Options History — September 2019

In September 2019, M traded between $14.43 and $17.72. ATM implied volatility averaged 41.2%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 10.7% (HV 20d: 51.9%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2019-09-11: Highest Volume — 178,507 contracts
  • 2019-09-04: Largest IV drop — 7.5% change
  • 2019-09-27: Highest IV Rank — 49.7%
  • 2019-09-27: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.96$14.43$17.72$14.43$15.53
Max Pain$15.93$15.00$17.00$17.00$16.00
ATM IV41.2%38.1%44.7%41.9%44.3%
Expected Move11.8%11.0%12.7%12.7%12.3%
HV 20d51.9%45.7%66.3%52.5%46.0%
HV 60d45.9%42.4%47.3%43.5%47.0%
IV Rank38.4%28.1%49.7%40.5%48.1%
IV Percentile50.1%43.3%58.7%52.4%57.9%
Term Structure-0.2%-1.5%1.6%0.4%-0.5%
VWIV41.7%38.6%44.5%44.4%42.9%
Skew 25d2.9%1.4%5.0%4.4%2.9%
Skew 10d6.2%3.6%9.9%7.7%6.9%
Call IV 25d40.2%36.7%44.2%40.0%43.1%
Put IV 25d43.1%40.1%46.1%44.4%46.0%
Bid-Ask Spread %5.962.4510.573.336.32
Gamma HHI0.140.070.210.080.16
Net GEX-89.6K-1.8M2.4M-40.8K-278.6K
Net DEX121.0M35.5M175.3M160.4M109.8M
Net VEX-860.4K-1.0M-595.0K-595.0K-905.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.133.720.490.57
Total Volume43,058.8514,807178,50723,74814,807
Total OI427,081.95392,663462,623392,663439,479

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$14.43$17.0041.9%12.7%52.5%40.5%44.4%4.4%0.4%-40.8K160.4M-595.0K0.493.33N/AN/A15,8977,851207,699184,964
2019-09-04$14.93$16.5038.7%11.4%55.3%30.1%40.4%5.0%0.5%759.8K142.5M-655.0K0.334.07N/AN/A13,9374,579216,803187,763
2019-09-05$15.38$15.0038.1%11.0%57.6%28.1%38.7%2.9%-0.2%1.7M121.0M-698.4K0.333.06N/AN/A33,58910,922222,053188,460
2019-09-06$15.41$15.0040.5%11.2%57.9%36.0%38.6%2.7%-1.5%924.5K122.4M-721.8K0.835.20N/AN/A25,69821,231224,423191,665
2019-09-09$16.24$15.0039.3%11.1%61.1%32.0%39.2%3.3%-1.0%1.1M106.6M-872.9K0.302.45N/AN/A35,20310,390217,190200,231
2019-09-10$17.05$15.0040.5%11.4%64.4%35.9%40.7%2.7%-0.9%1.9M64.1M-957.0K0.363.40N/AN/A58,43120,904226,485205,086
2019-09-11$17.72$16.0039.8%11.1%66.3%33.6%44.4%4.6%-1.1%2.4M35.5M-1.0M0.134.10N/AN/A158,33820,169232,755210,424
2019-09-12$17.05$16.0041.0%11.6%51.3%37.6%41.1%2.1%-0.6%-213.0K104.4M-1.0M0.566.59N/AN/A35,21219,677202,640219,466
2019-09-13$17.20$16.0040.4%11.5%47.3%35.7%39.9%2.7%-0.2%230.3K90.6M-1.0M0.615.34N/AN/A18,09111,050210,829222,685
2019-09-16$17.35$16.0040.5%11.6%47.1%36.2%40.7%3.3%-1.4%321.1K87.2M-1.0M1.015.35N/AN/A7,7847,836201,587208,344
2019-09-17$16.54$17.0041.2%11.8%50.5%38.4%41.9%1.9%0.5%-829.9K120.4M-939.0K0.829.04N/AN/A16,28113,431204,154211,140
2019-09-18$16.24$16.0040.9%11.7%48.2%37.3%41.9%1.4%-0.5%-1.1M134.4M-865.5K1.298.84N/AN/A11,72415,083210,122212,603
2019-09-19$15.73$16.0041.7%11.9%49.7%40.1%42.3%2.6%1.6%-1.5M155.4M-818.3K3.727.51N/AN/A16,64161,843213,941216,920
2019-09-20$15.44$16.0041.8%12.0%50.0%40.2%41.6%2.9%-0.2%-1.8M175.3M-817.3K1.314.88N/AN/A14,75819,324222,986239,637
2019-09-23$15.53$16.0041.0%11.7%47.2%37.8%41.1%2.8%0.6%-1.7M148.3M-804.2K0.745.10N/AN/A13,4809,956192,122214,018
2019-09-24$15.28$16.0041.9%12.2%47.3%40.2%43.2%3.1%0.3%-1.3M151.8M-812.4K0.539.88N/AN/A29,47515,577204,128218,290
2019-09-25$15.53$16.0042.9%12.2%46.2%43.6%42.6%2.3%0.2%-625.4K128.1M-901.2K0.7210.57N/AN/A17,69012,808222,261220,925
2019-09-26$15.31$16.0043.8%12.4%46.2%46.4%43.6%2.4%0.3%-956.6K131.0M-895.7K0.666.66N/AN/A11,5357,632233,277222,471
2019-09-27$15.24$16.0044.7%12.7%45.7%49.7%44.5%1.9%0.2%-690.2K131.0M-887.8K0.637.51N/AN/A13,6988,645238,395223,218
2019-09-30$15.53$16.0044.3%12.3%46.0%48.1%42.9%2.9%-0.5%-278.6K109.8M-905.9K0.576.32N/AN/A9,4545,353226,760212,719