MFC Options History — January 2007

In January 2007, MFC traded between $33.10 and $33.90. ATM implied volatility averaged 15.3%. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.6% (HV 20d: 11.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.36.

Notable Days

  • 2007-01-05: Highest Volume — 327 contracts
  • 2007-01-30: Largest IV spike — 47.9% change
  • 2007-01-03: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.50$33.10$33.90$33.74$33.71
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV15.3%9.8%23.7%15.4%9.9%
Expected Move4.0%2.8%4.4%4.4%2.8%
HV 20d11.7%11.4%12.1%12.1%11.7%
Term Structure-0.2%-2.8%3.4%2.6%3.4%
VWIV16.3%15.7%17.3%15.7%17.3%
Bid-Ask Spread %50.769.68117.62117.629.68
Gamma HHI0.960.920.970.970.97
Net GEX100.0K69.7K133.0K132.6K100.5K
Net DEX-532.4K-1.2M-90.0K-1.2M-447.8K
Net VEX-7.0K-7.9K-5.8K-6.4K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.0015.000.480.00
Total Volume43.503273120
Total OI1,586.51,2291,7141,2291,714

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$33.74$35.0015.4%4.4%0.0%0.0%15.7%0.0%2.6%132.6K-1.2M-6.4K0.48117.62N/AN/A21101,009220
2007-01-04$33.77$35.0014.8%4.2%0.0%0.0%0.0%0.0%0.1%133.0K-1.2M-6.6K1.0072.12N/AN/A10101,029229
2007-01-05$33.42$35.0018.1%3.9%0.0%0.0%0.0%0.0%0.6%123.6K-1.1M-6.5K11.1131.25N/AN/A273001,039233
2007-01-08$33.43$35.0020.7%4.0%0.0%0.0%0.0%0.0%-0.0%78.2K-423.3K-7.8K0.0040.38N/AN/A101,059510
2007-01-09$33.19$35.0023.7%3.9%0.0%0.0%0.0%0.0%-1.3%82.9K-426.4K-7.5K0.0092.88N/AN/A901,059510
2007-01-10$33.18$35.0023.3%4.2%0.0%0.0%0.0%0.0%-1.2%69.7K-144.3K-7.1K0.0030.13N/AN/A4001,052510
2007-01-11$33.10$35.0014.1%4.1%0.0%0.0%0.0%0.0%-1.5%80.0K-321.2K-7.2K0.0031.98N/AN/A001,070510
2007-01-12$33.64$35.0014.5%4.1%0.0%0.0%16.1%0.0%-0.3%83.4K-441.0K-7.9K0.0045.62N/AN/A8901,070510
2007-01-16$33.57$35.0013.9%4.0%0.0%0.0%0.0%0.0%-2.1%112.5K-679.4K-7.8K15.0035.68N/AN/A2301,159510
2007-01-17$33.36$35.0014.5%4.2%0.0%0.0%0.0%0.0%-1.7%97.3K-345.4K-7.5K1.9036.51N/AN/A20381,160520
2007-01-18$33.32$35.0013.0%3.7%0.0%0.0%0.0%0.0%-1.6%102.4K-426.8K-7.2K0.0038.52N/AN/A201,167491
2007-01-19$33.63$35.0013.9%4.0%0.0%0.0%0.0%0.0%0.4%103.7K-467.1K-7.1K0.0046.62N/AN/A001,167491
2007-01-22$33.44$35.0013.4%3.8%0.0%0.0%16.1%0.0%-1.2%106.2K-558.7K-6.9K0.0744.95N/AN/A4531,118490
2007-01-23$33.69$35.0015.3%4.4%0.0%0.0%0.0%0.0%-0.4%95.8K-430.8K-6.8K5.0047.32N/AN/A2101,145493
2007-01-24$33.90$35.0014.7%4.2%0.0%0.0%17.3%0.0%-1.4%105.6K-566.3K-7.2K0.4833.95N/AN/A63301,147503
2007-01-25$33.52$35.0014.2%4.1%12.1%0.0%0.0%0.0%-2.8%110.1K-461.3K-6.7K0.4293.85N/AN/A60251,170533
2007-01-26$33.62$35.0014.0%4.0%11.7%0.0%0.0%0.0%-0.1%105.2K-469.0K-7.1K0.0040.38N/AN/A001,154557
2007-01-29$33.36$35.009.8%2.8%11.7%0.0%0.0%0.0%3.0%92.1K-393.6K-6.5K0.0017.66N/AN/A001,154557
2007-01-30$33.39$35.0014.6%4.2%11.4%0.0%0.0%0.0%1.5%85.7K-90.0K-5.8K0.00108.09N/AN/A301,154557
2007-01-31$33.71$35.009.9%2.8%11.7%0.0%0.0%0.0%3.4%100.5K-447.8K-6.5K0.009.68N/AN/A0201,157557