M Options History — September 2020

In September 2020, M traded between $5.67 and $7.70. ATM implied volatility averaged 76.9%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 25.7% (HV 20d: 51.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2020-09-02: Highest Volume — 233,250 contracts
  • 2020-09-02: Largest IV drop — 14.6% change
  • 2020-09-01: Highest IV Rank — 32.6%
  • 2020-09-01: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.77$5.67$7.70$7.01$5.71
Max Pain$6.83$6.00$7.00$7.00$6.00
ATM IV76.9%68.9%98.5%98.5%75.0%
Expected Move22.0%19.6%31.3%31.3%20.8%
HV 20d51.2%43.9%59.5%57.9%46.6%
HV 60d61.3%55.4%74.6%74.6%56.4%
IV Rank20.8%16.5%32.6%32.6%19.8%
IV Percentile48.2%41.3%66.3%66.3%45.6%
Term Structure0.8%-15.5%15.0%-15.5%3.7%
VWIV78.5%70.0%112.5%112.5%73.0%
Skew 25d2.5%-3.8%9.1%3.9%-3.8%
Skew 10d1.7%-65.9%24.2%-29.3%4.1%
Call IV 25d76.9%69.9%94.9%94.9%78.9%
Put IV 25d79.4%70.1%98.7%98.7%75.2%
Bid-Ask Spread %5.252.9231.452.993.32
Gamma HHI0.150.120.270.130.12
Net GEX253.4K-375.2K1.7M604.0K-132.0K
Net DEX37.6M-8.2M59.6M18.4M56.4M
Net VEX-635.0K-769.3K-509.8K-706.0K-527.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.191.260.470.28
Total Volume66,140.09520,459233,250140,92038,035
Total OI688,253.524615,285782,583697,150691,774

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$7.01$7.0098.5%31.3%57.9%32.6%112.5%3.9%-15.5%604.0K18.4M-706.0K0.472.99N/AN/A96,15544,765372,478324,672
2020-09-02$7.06$7.0084.1%21.9%56.5%24.8%78.1%-2.5%-3.0%1.3M21.1M-705.3K0.314.51N/AN/A178,14555,105413,344351,642
2020-09-03$7.53$7.0087.9%24.5%59.5%26.9%87.8%2.9%-1.6%1.7M-8.2M-769.3K0.464.59N/AN/A145,29266,986407,393359,318
2020-09-04$7.64$7.0083.1%24.5%57.0%24.1%87.2%4.8%-1.5%521.1K-7.1M-760.3K0.5831.45N/AN/A53,69631,019402,811379,772
2020-09-08$7.70$7.0080.7%22.9%51.7%22.8%81.7%-3.8%-0.3%815.1K7.8M-746.8K0.572.92N/AN/A32,27118,346352,559332,895
2020-09-09$7.56$7.0077.0%22.6%52.3%20.8%79.6%0.5%0.8%733.2K17.6M-722.5K0.583.08N/AN/A16,4069,579358,177337,287
2020-09-10$7.44$7.0075.4%22.3%52.5%20.0%79.9%1.0%3.8%555.8K22.0M-713.8K0.224.29N/AN/A72,72515,999360,139337,885
2020-09-11$7.10$7.0075.8%21.4%55.2%20.2%75.4%2.1%-1.5%78.1K41.9M-660.9K0.783.24N/AN/A31,03024,307388,328344,562
2020-09-14$7.21$7.0069.5%20.0%54.3%16.8%71.2%3.2%2.8%319.2K31.7M-688.0K0.213.25N/AN/A38,2378,096362,456306,261
2020-09-15$6.96$7.0069.6%20.0%55.7%16.8%71.4%2.3%4.2%-44.1K44.4M-637.6K0.404.08N/AN/A14,6295,830369,092308,385
2020-09-16$7.07$7.0072.4%20.8%46.1%18.3%74.9%0.4%2.6%-35.2K39.0M-654.1K0.2912.16N/AN/A25,5207,346376,373309,955
2020-09-17$6.88$7.0071.9%20.4%47.3%18.1%73.6%-0.0%4.6%-367.9K47.7M-626.4K0.943.26N/AN/A14,75113,812385,160311,875
2020-09-18$6.78$7.0068.9%19.6%46.1%16.5%70.8%-1.3%1.9%78.4K57.0M-606.9K0.352.96N/AN/A21,0627,289389,039322,543
2020-09-21$6.32$7.0076.2%21.8%52.5%20.4%76.9%9.1%-1.5%-145.5K58.0M-552.6K0.503.41N/AN/A27,99313,985325,969289,316
2020-09-22$6.23$7.0076.7%21.4%48.2%20.7%75.4%6.0%-7.4%-122.3K57.3M-556.0K0.343.45N/AN/A25,4098,560336,424295,191
2020-09-23$6.14$6.5076.4%21.5%48.4%20.5%75.4%7.7%1.3%-29.5K57.9M-554.0K0.464.29N/AN/A17,0977,862349,337298,726
2020-09-24$6.06$6.5078.9%22.2%48.5%21.9%78.9%4.1%-0.1%-191.7K59.6M-553.1K0.193.64N/AN/A45,7318,766352,668300,133
2020-09-25$6.03$6.5072.4%20.8%48.2%18.4%73.3%7.0%-5.1%-375.2K56.8M-544.7K0.313.27N/AN/A24,4707,494363,406298,105
2020-09-28$5.98$6.5069.8%19.6%43.9%16.9%70.0%5.9%13.1%69.0K51.3M-538.8K0.243.22N/AN/A28,7537,028348,621288,047
2020-09-29$5.67$6.5075.0%21.8%46.6%19.8%81.9%2.8%15.0%-30.6K58.2M-509.8K1.262.95N/AN/A35,15644,205358,344292,862
2020-09-30$5.71$6.0075.0%20.8%46.6%19.8%73.0%-3.8%3.7%-132.0K56.4M-527.8K0.283.32N/AN/A29,6018,434370,240321,534