M Options History — August 2020

In August 2020, M traded between $6.11 and $7.21. ATM implied volatility averaged 97.4%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 27.4%. IV traded above realized volatility by 35.6% (HV 20d: 61.8%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-08-14: Highest Volume — 212,505 contracts
  • 2020-08-04: Largest IV drop — 15.8% change
  • 2020-08-03: Highest IV Rank — 41.9%
  • 2020-08-14: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.67$6.11$7.21$6.11$6.95
Max Pain$7.43$7.00$10.00$10.00$7.00
ATM IV97.4%89.3%115.5%115.5%89.3%
Expected Move27.4%24.4%30.1%26.4%28.0%
HV 20d61.8%56.7%70.1%62.9%57.9%
HV 60d91.7%76.5%99.3%98.7%76.5%
IV Rank32.1%27.6%41.9%41.9%27.6%
IV Percentile64.8%54.0%82.9%82.9%54.0%
Term Structure-0.7%-6.5%14.7%14.7%7.9%
VWIV96.3%84.5%104.9%90.6%99.9%
Skew 25d8.5%-3.6%18.8%4.1%9.1%
Skew 10d9.3%-36.7%52.6%52.6%15.0%
Call IV 25d93.0%83.9%104.8%104.8%89.5%
Put IV 25d101.4%89.9%108.9%108.9%98.6%
Bid-Ask Spread %6.002.1731.078.892.92
Gamma HHI0.140.090.480.100.10
Net GEX551.8K-228.0K2.4M54.8K444.1K
Net DEX61.2M21.8M101.3M85.6M26.3M
Net VEX-668.1K-742.5K-594.8K-594.8K-683.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.201.100.420.64
Total Volume57,42215,116212,50590,972117,154
Total OI767,013.095612,587868,101751,728619,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$6.11$10.00115.5%26.4%62.9%41.9%90.6%4.1%14.7%54.8K85.6M-594.8K0.428.89N/AN/A64,14126,831393,527358,201
2020-08-04$6.14$10.0097.3%25.9%63.0%32.0%91.0%14.0%-2.8%947.8K72.2M-627.6K0.344.17N/AN/A11,2813,835436,560378,976
2020-08-05$6.39$10.0093.5%24.4%63.9%30.0%84.5%18.8%-0.1%1.4M65.4M-641.7K0.444.22N/AN/A30,34513,440439,605380,501
2020-08-06$6.27$7.0093.9%26.2%63.7%30.2%91.8%16.5%3.9%1.5M70.1M-632.1K0.6131.07N/AN/A10,7846,538446,355384,348
2020-08-07$6.63$7.0098.6%26.0%66.5%32.8%91.3%18.7%-2.8%288.4K46.8M-669.9K0.204.87N/AN/A68,15913,869449,034388,074
2020-08-10$7.12$7.00100.1%28.7%70.1%33.5%99.7%10.7%-5.1%610.0K52.4M-742.5K0.4414.03N/AN/A58,57225,779410,325367,282
2020-08-11$7.14$7.00105.0%28.7%70.1%36.2%98.8%8.8%-5.4%488.8K56.5M-737.9K0.454.29N/AN/A33,33415,004415,044384,214
2020-08-12$7.07$7.0098.1%26.8%62.9%32.5%92.4%16.2%-2.3%446.0K66.8M-699.4K0.5313.62N/AN/A26,17713,815418,439390,206
2020-08-13$6.99$7.0096.4%27.8%60.9%31.6%96.7%11.8%1.9%287.6K69.0M-692.0K0.473.69N/AN/A12,7936,011421,734396,707
2020-08-14$7.21$7.00107.3%30.1%60.4%37.4%102.5%-3.6%0.9%539.0K51.3M-734.6K0.303.46N/AN/A162,93049,575424,041397,751
2020-08-17$7.16$7.00101.4%28.8%58.6%34.2%100.0%5.9%-6.5%602.8K64.8M-712.5K0.862.48N/AN/A37,60632,346423,714387,416
2020-08-18$6.57$7.00104.2%29.8%63.4%35.8%104.9%3.9%-2.0%97389.9M-658.2K0.522.17N/AN/A43,28122,596429,241399,168
2020-08-19$6.53$7.0094.7%27.2%60.0%30.6%95.7%2.7%-2.1%-158.3K95.0M-647.9K0.592.50N/AN/A22,19913,117442,946410,089
2020-08-20$6.33$7.0096.3%27.7%59.7%31.5%98.2%2.8%-1.7%-228.0K98.4M-626.8K0.412.85N/AN/A21,7308,913449,779408,928
2020-08-21$6.21$7.0097.8%28.1%58.8%32.3%99.0%1.5%-0.9%147.0K101.3M-621.4K0.403.24N/AN/A35,29914,044455,249412,852
2020-08-24$6.58$7.0089.7%26.3%61.2%27.9%93.5%8.5%-5.9%304.9K41.0M-644.2K0.243.27N/AN/A32,8058,013327,364285,223
2020-08-25$6.56$7.0092.2%26.9%59.5%29.2%95.0%13.0%-4.8%511.8K37.6M-647.6K1.105.54N/AN/A16,88818,600341,716283,720
2020-08-26$6.54$7.0090.4%27.6%59.4%28.2%98.0%3.2%2.9%457.8K37.6M-660.1K0.273.22N/AN/A21,4245,867346,057297,776
2020-08-27$6.62$7.0092.0%27.4%56.7%29.1%99.7%5.3%-2.0%616.9K36.2M-657.1K0.462.93N/AN/A22,15010,101350,770300,409
2020-08-28$6.95$7.0092.0%27.7%57.8%29.1%98.3%5.7%-2.6%2.4M21.8M-697.7K0.312.49N/AN/A36,98311,533353,061301,663
2020-08-31$6.95$7.0089.3%28.0%57.9%27.6%99.9%9.1%7.9%444.1K26.3M-683.2K0.642.92N/AN/A71,56345,591328,733290,477