M Options History — September 2021

In September 2021, M traded between $20.76 and $25.13. ATM implied volatility averaged 50.3%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 10.6% (HV 20d: 60.9%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2021-09-13: Highest Volume — 104,005 contracts
  • 2021-09-20: Largest IV spike — 15.0% change
  • 2021-09-20: Highest IV Rank — 11.3%
  • 2021-09-20: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.36$20.76$25.13$22.53$22.64
Max Pain$21.90$20.00$22.00$20.00$22.00
ATM IV50.3%47.6%56.2%48.4%56.1%
Expected Move14.2%12.9%16.0%12.9%15.8%
HV 20d60.9%42.3%77.9%75.4%54.8%
HV 60d60.2%59.3%62.4%59.7%62.4%
IV Rank5.9%3.5%11.3%4.2%11.2%
IV Percentile8.3%0.8%24.6%1.6%24.6%
Term Structure0.6%-1.6%3.0%-0.9%1.5%
VWIV50.6%46.1%57.4%46.1%55.4%
Skew 25d2.6%0.9%6.4%1.3%4.5%
Skew 10d7.8%-3.4%46.6%2.0%6.8%
Call IV 25d50.1%47.1%54.8%48.8%54.8%
Put IV 25d52.6%49.3%60.1%50.1%59.2%
Bid-Ask Spread %12.573.5926.1211.3715.07
Gamma HHI0.110.080.160.160.09
Net GEX3.4M1.7M6.2M4.8M1.7M
Net DEX-233.3M-334.6M-129.3M-317.7M-145.1M
Net VEX-1.2M-1.4M-1.1M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.241.530.971.05
Total Volume50,924.57115,307104,00526,51586,508
Total OI548,144.619461,622617,106617,106513,729

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$22.53$20.0048.4%12.9%75.4%4.2%46.1%1.3%-0.9%4.8M-317.7M-1.4M0.9711.37N/AN/A13,43313,082331,674285,432
2021-09-02$22.61$22.0049.1%13.9%74.7%4.9%49.8%0.9%0.0%3.6M-312.9M-1.3M1.377.03N/AN/A22,76531,093318,005288,046
2021-09-03$21.79$22.0047.6%13.6%74.6%3.5%48.2%2.1%3.0%2.9M-230.3M-1.3M1.007.40N/AN/A23,88423,802320,041291,696
2021-09-07$22.03$22.0048.9%13.8%74.6%4.7%48.7%2.0%-0.5%3.8M-260.7M-1.2M0.998.39N/AN/A28,08427,866299,485263,751
2021-09-08$21.20$22.0050.3%14.2%75.8%5.9%49.8%4.2%0.3%2.6M-196.1M-1.2M0.957.70N/AN/A12,45711,860303,542267,587
2021-09-09$21.84$22.0051.6%14.6%76.1%7.2%51.7%3.4%-0.7%1.8M-237.7M-1.2M1.3613.25N/AN/A28,58838,766315,595285,779
2021-09-10$20.76$22.0050.3%14.5%77.9%6.0%50.7%1.5%0.7%1.8M-129.3M-1.2M1.2117.64N/AN/A26,01531,418320,605284,357
2021-09-13$21.07$22.0050.3%14.3%77.3%5.9%50.4%2.0%2.7%2.4M-187.8M-1.2M0.243.59N/AN/A83,79320,212301,505260,424
2021-09-14$20.86$22.0049.9%14.3%77.5%5.6%50.7%2.3%0.0%1.9M-165.9M-1.2M0.9717.94N/AN/A13,96413,513308,807274,818
2021-09-15$21.34$22.0048.9%14.0%75.8%4.6%48.9%3.2%2.2%1.9M-171.4M-1.2M0.7317.86N/AN/A10,4787,677299,826283,784
2021-09-16$22.11$22.0048.1%13.8%76.4%3.9%49.0%2.1%-1.6%5.3M-253.9M-1.2M0.5913.78N/AN/A34,70220,379302,477288,980
2021-09-17$21.85$22.0048.9%13.8%43.6%4.7%48.9%1.7%0.7%4.3M-232.7M-1.2M1.5315.10N/AN/A25,83039,398305,409291,757
2021-09-20$21.44$22.0056.2%16.0%42.9%11.3%57.4%6.4%1.0%2.5M-153.2M-1.2M1.0510.66N/AN/A13,82414,531234,497237,168
2021-09-21$21.62$22.0050.2%14.7%42.4%5.9%51.4%3.5%1.4%2.3M-157.2M-1.2M0.958.00N/AN/A7,8627,445241,933248,644
2021-09-22$22.70$22.0051.4%14.3%43.8%7.0%50.3%2.2%0.6%4.6M-232.1M-1.2M0.2726.12N/AN/A30,1908,269246,539254,762
2021-09-23$23.12$22.0048.9%13.6%44.4%4.6%48.0%2.0%-1.2%6.2M-267.6M-1.2M0.5011.29N/AN/A43,30321,450249,122254,785
2021-09-24$23.84$22.0048.0%13.1%42.3%3.8%50.4%2.9%1.8%5.6M-334.6M-1.2M1.0914.74N/AN/A42,22446,201260,309256,696
2021-09-27$24.38$22.0048.8%13.8%42.5%4.6%49.4%2.0%1.2%4.7M-299.4M-1.1M1.2014.89N/AN/A27,55633,091225,343236,279
2021-09-28$25.13$22.0052.6%15.1%42.8%8.0%54.7%1.6%-0.1%4.2M-317.1M-1.1M0.5214.70N/AN/A36,98419,048217,001249,316
2021-09-29$24.80$22.0051.4%14.7%42.9%7.0%52.7%2.2%0.1%2.3M-296.8M-1.1M0.647.47N/AN/A16,99410,877225,633265,899
2021-09-30$22.64$22.0056.1%15.8%54.8%11.2%55.4%4.5%1.5%1.7M-145.1M-1.2M1.0515.07N/AN/A42,25744,251241,124272,605