M Options History — November 2020

In November 2020, M traded between $6.06 and $10.98. ATM implied volatility averaged 81.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded below realized volatility by 5.7% (HV 20d: 86.7%). Max pain ranged from $6.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2020-11-23: Highest Volume — 243,697 contracts
  • 2020-11-04: Largest IV drop — 27.7% change
  • 2020-11-02: Highest IV Rank — 31.2%
  • 2020-11-03: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.34$6.06$10.98$6.06$10.32
Max Pain$7.20$6.00$10.00$6.00$10.00
ATM IV81.0%67.6%96.1%96.1%72.2%
Expected Move24.0%19.7%31.3%31.3%22.5%
HV 20d86.7%55.5%102.5%55.5%100.2%
HV 60d64.4%52.3%73.4%52.3%73.3%
IV Rank23.0%15.7%31.2%31.2%18.1%
IV Percentile41.7%27.4%60.7%60.7%29.4%
Term Structure-1.6%-5.7%6.2%-3.0%2.9%
VWIV85.3%70.2%110.8%110.5%79.9%
Skew 25d-2.4%-10.8%4.7%-5.3%3.4%
Skew 10d-2.6%-28.3%10.5%-3.7%10.5%
Call IV 25d85.9%71.2%100.7%97.6%72.4%
Put IV 25d83.6%69.9%102.6%92.3%75.7%
Bid-Ask Spread %3.212.584.273.102.75
Gamma HHI0.150.100.520.110.10
Net GEX1.6M230.4K4.8M230.4K930.0K
Net DEX-49.2M-131.3M38.9M38.9M-58.8M
Net VEX-750.5K-985.5K-567.9K-567.9K-938.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.181.290.541.29
Total Volume105,587.721,078243,69721,078110,546
Total OI808,297.55693,275942,564693,275773,241

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$6.06$6.0096.1%31.3%55.5%31.2%110.5%-5.3%-3.0%230.4K38.9M-567.9K0.543.10N/AN/A13,6547,424389,579303,696
2020-11-03$6.62$6.0093.4%31.3%62.0%29.7%110.8%-7.0%-0.3%511.6K20.4M-617.5K0.183.37N/AN/A66,12812,142389,579303,696
2020-11-04$6.28$6.0067.6%29.5%65.2%15.7%103.1%-10.8%6.2%691.0K28.2M-590.5K0.234.15N/AN/A28,6406,487422,138309,328
2020-11-05$6.46$6.0085.2%23.6%64.3%25.3%82.7%-2.3%-3.2%506.5K24.7M-606.2K0.242.58N/AN/A21,2695,131433,232378,830
2020-11-06$6.62$6.0092.4%23.8%64.8%29.1%84.5%4.7%2.9%524.9K9.2M-626.3K0.184.23N/AN/A43,6658,020437,344380,230
2020-11-09$7.73$6.0086.7%22.8%84.3%26.1%81.1%1.5%-5.7%1.4M-41.0M-688.7K0.183.15N/AN/A124,32522,639425,781371,512
2020-11-10$7.79$6.0084.6%24.2%83.6%25.0%85.8%-0.1%-3.6%2.0M-45.5M-702.1K0.302.66N/AN/A52,24715,537445,348378,438
2020-11-11$7.44$6.0082.9%23.1%86.1%24.0%82.1%-5.1%1.3%1.8M-22.5M-671.3K0.253.14N/AN/A46,55611,442449,194383,017
2020-11-12$6.93$7.0085.4%23.8%90.7%25.4%85.8%-5.7%-4.4%1.1M6.9M-627.1K0.603.06N/AN/A40,74524,369461,428387,511
2020-11-13$7.37$7.0082.9%23.2%92.6%24.0%83.1%-6.2%-2.6%1.0M-14.5M-662.9K0.252.97N/AN/A43,78110,834470,324394,489
2020-11-16$7.98$7.0081.7%23.4%95.4%23.4%82.8%-1.5%-4.0%1.6M-43.8M-690.1K0.814.27N/AN/A55,25544,720436,720317,882
2020-11-17$8.78$7.0081.8%23.5%99.3%23.4%84.2%-4.6%-4.6%1.9M-91.2M-777.5K0.353.37N/AN/A163,40757,323452,023348,078
2020-11-18$9.07$7.0084.3%24.2%99.3%24.8%86.3%-1.0%-2.2%2.0M-115.1M-828.3K0.322.87N/AN/A128,81241,032474,437375,970
2020-11-19$9.22$8.0072.7%21.0%97.6%18.5%74.1%0.6%-5.6%3.6M-131.3M-810.2K0.553.21N/AN/A121,53067,297501,900397,589
2020-11-20$9.07$8.0067.9%19.7%97.7%15.9%70.2%-1.4%4.3%4.8M-112.1M-822.0K0.442.80N/AN/A60,25126,641512,757429,807
2020-11-23$10.47$8.0075.2%22.6%102.5%19.8%80.2%1.4%-3.7%1.9M-103.6M-882.5K0.473.63N/AN/A166,33677,361375,028340,431
2020-11-24$10.86$8.0072.9%22.1%100.3%18.6%80.0%0.2%0.2%1.6M-115.5M-941.8K0.682.74N/AN/A96,94565,554397,866388,097
2020-11-25$10.98$9.0078.1%22.4%96.2%21.4%79.7%-5.0%-5.0%1.0M-115.3M-972.8K0.603.35N/AN/A100,47059,983414,731421,716
2020-11-27$10.84$10.0076.3%22.2%97.2%20.5%79.4%-2.9%-2.4%1.7M-101.9M-985.5K0.412.90N/AN/A44,74718,509449,896443,088
2020-11-30$10.32$10.0072.2%22.5%100.2%18.1%79.9%3.4%2.9%930.0K-58.8M-938.8K1.292.75N/AN/A48,28562,261409,345363,896