M Options History — December 2020 In December 2020, M traded between $10.12 and $12.03. ATM implied volatility averaged 71.6%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded below realized volatility by 5.9% (HV 20d: 77.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.58.
Notable Days 2020-12-30 : Highest Volume — 163,329 contracts2020-12-21 : Largest IV spike — 6.3% change2020-12-01 : Highest IV Rank — 18.5%2020-12-02 : Largest Expected Move — 22.2%Monthly Statistics Metric Avg Min Max Open Close Price $11.06 $10.12 $12.03 $10.45 $11.31 Max Pain $10.91 $10.00 $11.00 $10.00 $11.00 ATM IV 71.6% 68.5% 73.9% 73.5% 70.3% Expected Move 20.9% 19.8% 22.2% 21.8% 20.5% HV 20d 77.5% 51.8% 99.1% 99.1% 74.4% HV 60d 74.7% 72.7% 79.5% 73.3% 79.5% IV Rank 16.3% 14.4% 18.5% 18.5% 15.0% IV Percentile 26.1% 19.4% 31.7% 31.7% 20.2% Term Structure 0.6% -4.2% 5.9% 0.7% 0.5% VWIV 74.1% 69.5% 80.0% 77.0% 71.7% Skew 25d 0.7% -4.5% 9.2% -3.2% 4.4% Skew 10d 2.9% -1.8% 10.7% 4.2% 6.1% Call IV 25d 72.1% 66.9% 76.0% 75.5% 69.0% Put IV 25d 72.8% 68.0% 76.1% 72.3% 73.4% Bid-Ask Spread % 2.15 1.52 2.94 2.94 2.45 Gamma HHI 0.15 0.11 0.27 0.11 0.14 Net GEX 1.5M -307.7K 3.8M 883.6K 1.8M Net DEX -89.0M -159.7M -20.9M -60.3M -85.5M Net VEX -961.6K -1.0M -882.0K -956.1K -935.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.11 1.42 0.48 0.51 Total Volume 85,077.045 44,920 163,329 44,920 90,735 Total OI 832,959.955 782,651 898,369 805,108 858,417
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-12-01 $10.45 $10.00 73.5% 21.8% 99.1% 18.5% 77.0% -3.2% 0.7% 883.6K -60.3M -956.1K 0.48 2.94 N/A N/A 30,275 14,645 417,735 387,373 2020-12-02 $10.98 $10.00 72.1% 22.2% 96.8% 17.7% 78.7% -1.5% 0.5% 1.6M -101.2M -985.5K 0.61 2.84 N/A N/A 57,147 35,056 423,126 390,977 2020-12-03 $11.23 $11.00 71.2% 21.2% 92.4% 17.3% 76.6% -0.0% 1.8% 2.2M -126.2M -1.0M 0.65 2.33 N/A N/A 58,460 38,016 438,899 406,774 2020-12-04 $11.73 $11.00 72.0% 21.5% 92.5% 17.3% 75.8% -4.5% 1.9% 1.7M -159.7M -1.0M 0.49 1.81 N/A N/A 50,773 24,849 437,310 418,082 2020-12-07 $11.66 $11.00 73.9% 20.8% 93.4% 18.3% 74.5% 0.4% -4.2% 1.9M -133.1M -1.0M 0.35 2.15 N/A N/A 60,332 20,955 417,555 390,444 2020-12-08 $11.55 $11.00 71.7% 21.0% 81.2% 16.2% 74.1% 1.6% 0.9% 1.8M -123.5M -1.0M 0.70 2.13 N/A N/A 32,343 22,724 426,312 396,320 2020-12-09 $11.70 $11.00 71.8% 21.4% 81.2% 16.3% 76.5% 0.7% 3.9% 1.9M -135.7M -1.0M 0.27 2.23 N/A N/A 38,911 10,381 432,196 401,944 2020-12-10 $11.72 $11.00 72.2% 21.1% 77.7% 16.4% 73.9% 0.8% 1.2% 1.9M -136.3M -1.0M 0.86 1.86 N/A N/A 28,254 24,267 435,019 403,664 2020-12-11 $11.07 $11.00 73.1% 21.0% 75.6% 17.0% 75.5% 5.9% 1.8% -28.3K -89.7M -980.9K 1.10 2.15 N/A N/A 45,531 50,195 441,615 414,549 2020-12-14 $10.39 $11.00 73.0% 21.2% 80.1% 16.9% 75.6% -0.6% 2.2% -307.7K -28.7M -931.1K 0.41 1.92 N/A N/A 48,978 20,039 419,597 414,973 2020-12-15 $10.73 $11.00 70.7% 20.4% 76.9% 15.6% 71.8% -0.3% -0.7% 291.0K -57.0M -948.0K 1.36 1.52 N/A N/A 23,602 31,984 436,014 418,437 2020-12-16 $10.32 $11.00 71.0% 20.4% 72.9% 15.8% 71.4% -0.4% 5.9% 159.9K -28.2M -902.5K 0.64 1.70 N/A N/A 41,308 26,595 442,458 412,557 2020-12-17 $10.45 $11.00 72.6% 21.0% 72.4% 16.7% 74.1% 1.1% -3.7% 389.4K -36.7M -944.5K 0.11 1.98 N/A N/A 81,309 8,696 454,638 417,666 2020-12-18 $10.41 $11.00 68.5% 19.8% 72.4% 14.4% 69.5% -0.4% -0.9% 1.9M -39.6M -922.9K 0.44 1.71 N/A N/A 66,112 29,351 480,682 417,687 2020-12-21 $10.43 $11.00 72.8% 21.0% 71.9% 16.8% 73.3% 9.2% 1.6% 1.9M -47.5M -915.6K 0.31 2.19 N/A N/A 58,628 18,083 431,926 352,654 2020-12-22 $10.12 $11.00 72.6% 21.7% 51.8% 16.7% 80.0% 2.3% 0.9% 1.0M -20.9M -882.0K 1.42 2.05 N/A N/A 46,483 65,794 430,107 353,709 2020-12-23 $11.18 $11.00 68.6% 20.5% 61.8% 14.5% 72.5% 1.0% -1.6% 3.8M -110.0M -948.5K 0.28 2.00 N/A N/A 88,470 25,001 433,034 394,238 2020-12-24 $10.68 $11.00 68.8% 20.5% 63.9% 14.6% 71.9% -1.1% 2.0% 1.4M -59.9M -919.9K 0.36 2.13 N/A N/A 34,105 12,204 438,437 399,811 2020-12-28 $11.77 $11.00 70.9% 19.8% 72.6% 15.7% 70.8% -1.1% -2.8% 2.6M -130.8M -921.3K 0.56 2.24 N/A N/A 95,184 53,082 405,108 377,543 2020-12-29 $11.47 $11.00 71.8% 21.1% 70.8% 16.1% 74.2% 0.1% -0.8% 1.6M -97.3M -950.4K 0.56 2.00 N/A N/A 63,980 35,529 417,429 401,803 2020-12-30 $12.03 $11.00 71.2% 20.3% 72.4% 15.8% 71.3% 1.0% 1.8% 2.9M -150.9M -957.8K 0.28 2.91 N/A N/A 127,123 36,206 431,557 404,743 2020-12-31 $11.31 $11.00 70.3% 20.5% 74.4% 15.0% 71.7% 4.4% 0.5% 1.8M -85.5M -935.3K 0.51 2.45 N/A N/A 59,988 30,747 459,370 399,047
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