MFC Options History — February 2007

In February 2007, MFC traded between $33.54 and $34.88. ATM implied volatility averaged 15.0%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.3% (HV 20d: 13.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-02-06: Highest Volume — 493 contracts
  • 2007-02-05: Largest IV spike — 20.8% change
  • 2007-02-28: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.49$33.54$34.88$34.35$33.57
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV15.0%12.2%19.6%16.6%19.6%
Expected Move4.3%3.5%5.6%4.8%5.6%
HV 20d13.7%12.5%17.4%13.2%17.4%
Term Structure-0.2%-4.8%1.1%-2.3%-4.8%
VWIV15.9%11.1%26.5%13.7%18.4%
Bid-Ask Spread %38.0317.7192.5159.5543.50
Gamma HHI0.950.860.980.980.86
Net GEX227.8K92.7K484.4K122.1K92.7K
Net DEX-1.2M-2.5M157.8K-625.9K157.8K
Net VEX-9.5K-11.0K-7.2K-7.2K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.007.300.080.19
Total Volume117.26304932630
Total OI2,111.6841,7342,4881,7342,121

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$34.35$35.0016.6%4.8%13.2%0.0%0.0%0.0%-2.3%122.1K-625.9K-7.2K0.0859.55N/AN/A243201,157577
2007-02-02$34.03$35.0014.2%3.5%13.7%0.0%13.7%0.0%0.9%180.6K-1.1M-8.1K0.0028.51N/AN/A4001,329597
2007-02-05$34.50$35.0017.2%4.8%13.8%0.0%16.8%0.0%-1.3%165.1K-1.1M-8.0K0.0023.65N/AN/A7801,333597
2007-02-06$34.59$35.0015.3%4.5%13.8%0.0%15.7%0.0%-0.5%189.3K-1.3M-8.2K2.2217.71N/AN/A1533401,353597
2007-02-07$34.62$35.0013.3%4.2%13.4%0.0%14.5%0.0%0.3%255.5K-2.0M-9.3K1.0575.24N/AN/A1091151,441606
2007-02-08$34.77$35.0014.9%4.3%13.4%0.0%0.0%0.0%0.8%201.3K-1.4M-9.1K7.3092.51N/AN/A10731,345631
2007-02-09$34.60$35.0013.9%4.0%13.6%0.0%14.3%0.0%0.6%232.9K-1.8M-9.6K0.0025.87N/AN/A20601,355668
2007-02-12$34.61$35.0016.0%4.6%12.5%0.0%16.0%0.0%-1.3%290.3K-1.5M-9.4K0.9320.72N/AN/A41381,452668
2007-02-13$34.88$35.0012.8%3.7%12.7%0.0%14.7%0.0%-0.4%341.4K-2.5M-9.4K0.7238.12N/AN/A43311,477702
2007-02-14$34.40$35.0012.2%3.5%13.6%0.0%11.1%0.0%1.1%294.7K-1.3M-9.4K1.2537.04N/AN/A1121401,503732
2007-02-15$34.71$35.0014.3%4.1%13.8%0.0%14.3%0.0%0.9%388.8K-1.2M-10.9K0.3027.02N/AN/A33101,599846
2007-02-16$34.78$35.0014.5%4.2%13.5%0.0%0.0%0.0%0.6%484.4K-1.3M-11.0K1.0021.11N/AN/A331,632856
2007-02-20$34.79$35.0015.2%4.4%13.2%0.0%0.0%0.0%0.3%166.2K-1.3M-10.7K0.0033.58N/AN/A1101,357795
2007-02-21$34.86$35.0014.3%4.1%13.1%0.0%26.5%0.0%1.0%185.0K-1.5M-10.6K0.0019.01N/AN/A1801,368795
2007-02-22$34.52$35.0013.7%3.9%13.6%0.0%0.0%0.0%1.0%191.8K-1.1M-10.3K0.0021.28N/AN/A201,315795
2007-02-23$34.54$35.0014.5%4.1%12.8%0.0%14.6%0.0%0.5%188.4K-1.2M-10.4K0.0223.63N/AN/A9321,317795
2007-02-26$34.65$35.0015.6%4.5%12.8%0.0%15.7%0.0%-0.0%221.8K-1.3M-10.4K0.1823.00N/AN/A1121,406797
2007-02-27$33.54$35.0017.5%5.0%17.4%0.0%18.4%0.0%-1.4%136.0K-258.5K-9.1K0.1991.56N/AN/A208401,413795
2007-02-28$33.57$35.0019.6%5.6%17.4%0.0%0.0%0.0%-4.8%92.7K157.8K-8.6K0.0043.50N/AN/A001,310811