M Options History — January 2020

In January 2020, M traded between $15.89 and $18.16. ATM implied volatility averaged 50.6%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 17.1% (HV 20d: 33.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2020-01-08: Highest Volume — 103,453 contracts
  • 2020-01-31: Largest IV spike — 14.8% change
  • 2020-01-31: Highest IV Rank — 91.6%
  • 2020-01-31: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.17$15.89$18.16$16.45$15.89
Max Pain$16.76$16.00$17.00$16.00$17.00
ATM IV50.6%43.2%70.0%46.9%70.0%
Expected Move13.8%11.7%17.8%14.0%17.8%
HV 20d33.6%31.2%37.0%31.2%37.0%
HV 60d41.2%40.2%42.3%41.6%42.1%
IV Rank47.3%30.4%91.6%38.8%91.6%
IV Percentile74.1%50.8%98.0%66.3%98.0%
Term Structure-0.2%-4.2%6.2%5.1%-3.2%
VWIV48.4%41.9%62.4%49.4%62.4%
Skew 25d3.3%1.2%6.0%2.1%6.0%
Skew 10d5.2%2.9%10.7%8.6%10.7%
Call IV 25d48.8%41.7%67.3%43.4%67.3%
Put IV 25d52.1%44.2%73.3%45.5%73.3%
Bid-Ask Spread %4.372.229.903.935.92
Gamma HHI0.140.110.320.150.13
Net GEX151.0K-4.5M6.3M3.1M-2.1M
Net DEX-11.7M-147.9M107.1M16.9M107.1M
Net VEX-1.2M-1.2M-1.1M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.311.760.981.45
Total Volume44,146.33315,905103,45346,37976,567
Total OI616,713.857463,694730,769649,119557,493

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$16.45$16.0046.9%14.0%31.2%38.8%49.4%2.1%5.1%3.1M16.9M-1.1M0.983.93N/AN/A23,44122,938327,611321,508
2020-01-03$16.54$16.0047.7%14.5%31.2%40.6%51.0%2.0%5.5%6.3M9.1M-1.2M1.092.73N/AN/A18,55520,285335,432337,400
2020-01-06$17.12$16.0048.9%13.4%32.5%43.3%46.6%1.2%-2.0%987.0K-36.6M-1.2M0.813.46N/AN/A39,28831,732315,783332,501
2020-01-07$17.69$16.0049.8%13.1%33.6%45.4%47.0%3.1%-2.3%2.4M-100.7M-1.2M0.912.75N/AN/A35,55332,309335,891345,123
2020-01-08$18.16$16.0048.2%13.1%34.0%41.8%45.4%4.5%-1.3%2.9M-147.9M-1.2M0.563.04N/AN/A66,21037,243338,457360,889
2020-01-09$17.66$17.0046.1%12.6%36.1%36.9%44.8%2.3%-0.7%2.1M-85.4M-1.2M1.415.08N/AN/A19,06426,935347,396373,082
2020-01-10$17.72$17.0043.9%11.7%36.0%31.9%42.9%2.9%-2.0%773.4K-92.7M-1.2M1.674.35N/AN/A14,89324,845348,784381,985
2020-01-13$17.88$17.0043.2%11.9%36.0%30.4%41.9%2.6%-0.6%1.2M-83.5M-1.1M1.342.77N/AN/A11,44415,362324,245356,332
2020-01-14$17.84$17.0044.1%12.0%33.1%32.3%43.2%3.1%-1.9%529.4K-74.1M-1.1M1.114.46N/AN/A16,89618,785326,506364,089
2020-01-15$17.41$17.0048.5%13.1%34.3%42.5%45.6%3.5%-2.7%-1.8M-19.9M-1.2M1.763.31N/AN/A11,39620,001326,673371,038
2020-01-16$17.54$17.0044.8%11.9%33.3%33.9%41.9%3.8%-3.6%-2.3M-25.6M-1.2M0.545.37N/AN/A10,3045,601329,342384,993
2020-01-17$17.56$17.0045.4%12.2%31.7%35.3%43.3%2.8%-4.2%-4.5M-32.4M-1.1M0.342.22N/AN/A29,72810,166330,430383,935
2020-01-21$17.02$17.0048.8%13.9%32.2%43.2%47.6%2.1%5.9%-1.4M42.2M-1.1M0.823.48N/AN/A36,92730,188201,834261,860
2020-01-22$17.23$17.0048.6%13.9%32.3%42.8%48.4%3.5%5.5%-654.1K21.0M-1.2M0.833.66N/AN/A15,32412,762217,361278,938
2020-01-23$17.12$17.0049.7%13.9%32.5%45.2%48.3%2.6%5.6%-397.7K27.2M-1.2M0.632.76N/AN/A11,1016,998225,565281,013
2020-01-24$16.84$17.0052.5%14.4%33.1%51.5%50.1%3.5%6.2%-1.1M50.3M-1.2M0.498.51N/AN/A24,27511,822230,812282,934
2020-01-27$16.43$17.0058.4%15.5%33.1%65.0%54.4%4.1%-3.3%-1.4M74.8M-1.2M1.015.71N/AN/A23,41723,569226,765279,615
2020-01-28$16.88$17.0058.9%15.3%34.5%66.3%53.1%4.3%-4.1%-602.0K38.8M-1.2M0.314.49N/AN/A35,24810,948233,859288,739
2020-01-29$16.89$17.0058.3%15.2%33.7%64.7%52.9%3.9%-2.1%-306.8K29.7M-1.2M0.413.84N/AN/A13,8465,656247,149290,952
2020-01-30$16.79$17.0061.0%16.1%33.4%70.9%56.2%5.1%-3.7%-460.8K35.6M-1.2M1.259.90N/AN/A11,33114,120252,513294,164
2020-01-31$15.89$17.0070.0%17.8%37.0%91.6%62.4%6.0%-3.2%-2.1M107.1M-1.2M1.455.92N/AN/A31,27545,292257,817299,676