M Options History — September 2023

In September 2023, M traded between $10.77 and $12.18. ATM implied volatility averaged 38.0%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 6.2% (HV 20d: 44.2%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2023-09-18: Highest Volume — 35,893 contracts
  • 2023-09-18: Largest IV spike — 7.3% change
  • 2023-09-26: Highest IV Rank — 23.0%
  • 2023-09-26: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.33$10.77$12.18$12.18$11.59
Max Pain$12.07$11.00$13.00$13.00$11.00
ATM IV38.0%34.0%43.9%36.4%41.7%
Expected Move11.1%10.1%13.0%10.3%12.0%
HV 20d44.2%24.4%56.7%54.8%32.7%
HV 60d39.9%38.8%40.7%40.7%40.5%
IV Rank8.2%0.0%23.0%0.0%17.9%
IV Percentile6.5%0.0%23.4%0.0%15.1%
Term Structure0.2%-1.4%2.4%0.4%-0.2%
VWIV39.1%34.7%45.6%36.3%41.7%
Skew 25d1.4%0.5%2.2%1.6%1.5%
Skew 10d0.7%-1.9%2.6%1.5%0.7%
Call IV 25d38.4%33.9%43.9%35.7%42.0%
Put IV 25d39.8%36.0%45.8%37.3%43.4%
Bid-Ask Spread %2.261.633.072.483.07
Gamma HHI0.150.120.170.150.13
Net GEX-256.4K-1.2M1.3M1.3M727.5K
Net DEX87.0M35.0M117.3M86.2M35.0M
Net VEX-609.0K-695.9K-547.5K-668.8K-695.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.291.100.480.32
Total Volume23,461.8513,48235,89321,42134,671
Total OI488,764.25420,120549,323525,707486,668

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$12.18$13.0036.4%10.3%54.8%0.0%36.3%1.6%0.4%1.3M86.2M-668.8K0.482.48N/AN/A14,4916,930311,092214,615
2023-09-05$12.04$13.0035.8%10.6%54.8%0.0%37.4%1.1%0.5%974.5K89.5M-639.3K0.532.37N/AN/A11,1045,838294,786204,057
2023-09-06$11.84$13.0035.8%10.4%54.7%0.0%37.7%1.1%0.5%56.3K101.9M-603.4K0.782.55N/AN/A7,6285,931300,513206,186
2023-09-07$11.61$13.0036.1%10.4%54.7%0.7%38.3%1.2%0.9%-690.8K111.2M-572.9K0.692.71N/AN/A15,61210,801302,261207,191
2023-09-08$11.80$13.0034.6%10.1%55.6%0.0%35.6%0.5%0.3%-264.0K105.0M-594.1K0.902.55N/AN/A9,2818,371305,014214,017
2023-09-11$11.48$13.0034.6%10.1%55.7%0.2%34.7%1.1%0.6%-1.2M117.3M-552.7K0.451.63N/AN/A20,9369,504295,946212,363
2023-09-12$11.52$12.0035.3%10.3%55.7%1.7%36.2%0.6%0.6%-1.2M111.3M-571.4K0.292.02N/AN/A27,2347,891306,415218,745
2023-09-13$11.36$12.0034.7%10.3%55.5%0.4%35.8%0.5%0.7%-869.9K114.6M-579.0K0.422.27N/AN/A17,6357,400320,957224,075
2023-09-14$11.32$12.0034.0%10.3%55.5%0.0%34.8%2.2%2.4%-778.5K113.1M-593.0K1.071.65N/AN/A11,58012,358323,158226,165
2023-09-15$11.16$12.0034.8%10.2%55.4%2.0%35.9%1.8%1.5%-578.0K96.8M-580.5K0.582.37N/AN/A15,4278,912326,474208,273
2023-09-18$10.77$12.0037.4%10.8%55.2%7.9%38.6%1.7%-0.4%-618.4K86.1M-547.5K0.681.80N/AN/A21,42314,470236,442183,678
2023-09-19$11.00$12.0038.5%11.1%56.7%10.5%39.7%2.0%-0.2%-437.3K75.6M-598.9K0.682.71N/AN/A12,8768,724246,953190,379
2023-09-20$10.79$12.0038.3%11.0%24.4%10.0%39.2%1.9%-0.6%-645.7K82.3M-584.3K0.532.28N/AN/A9,0494,816251,463193,718
2023-09-21$10.84$12.0040.9%11.8%24.7%16.0%42.3%1.3%-1.4%-509.4K77.4M-606.3K1.102.16N/AN/A9,81010,795254,598194,473
2023-09-22$10.89$11.5040.2%11.6%24.9%14.4%41.0%1.3%-0.8%-473.8K78.7M-608.5K0.672.09N/AN/A10,7577,185257,588197,922
2023-09-25$11.13$11.5042.0%12.3%26.1%18.7%43.2%1.2%0.2%-260.5K66.2M-633.6K0.492.40N/AN/A11,8735,853249,002196,416
2023-09-26$10.88$11.5043.9%13.0%26.8%23.0%45.6%1.9%-0.1%-386.4K73.4M-619.9K0.802.02N/AN/A19,79615,891254,590199,813
2023-09-27$10.88$11.0042.8%12.6%26.3%20.6%44.5%2.0%-0.1%-192.9K74.7M-638.2K1.091.90N/AN/A6,4427,040264,291213,188
2023-09-28$11.46$11.0042.3%12.3%32.6%19.4%43.5%1.8%-0.5%897.7K44.3M-691.1K0.342.26N/AN/A17,0935,809266,553215,247
2023-09-29$11.59$11.0041.7%12.0%32.7%17.9%41.7%1.5%-0.2%727.5K35.0M-695.9K0.323.07N/AN/A26,2178,454270,322216,346