MFC Options History — March 2007

In March 2007, MFC traded between $32.97 and $34.89. ATM implied volatility averaged 17.0%. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.1% (HV 20d: 19.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 45.94.

Notable Days

  • 2007-03-16: Highest Volume — 2,003 contracts
  • 2007-03-13: Largest IV spike — 52.0% change
  • 2007-03-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.92$32.97$34.89$33.39$34.45
Max Pain$30.45$30.00$35.00$35.00$30.00
ATM IV17.0%11.9%30.5%21.6%13.8%
Expected Move4.3%3.4%6.2%6.2%4.0%
HV 20d19.1%15.5%23.2%17.1%20.7%
HV 60d16.1%14.8%16.9%15.0%16.6%
Term Structure-0.2%-6.3%2.1%-6.3%1.9%
VWIV15.3%14.4%15.8%15.8%14.4%
Bid-Ask Spread %42.6119.0588.4988.4929.98
Gamma HHI0.720.490.940.860.49
Net GEX26.4K-99.8K221.6K82.6K-35.8K
Net DEX338.0K-437.8K1.1M263.2K220.0K
Net VEX-13.8K-21.2K-7.2K-8.1K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio45.940.00666.676.252.00
Total Volume142.40902,003870
Total OI3,003.8182,1213,8702,1213,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$33.39$35.0021.6%6.2%17.1%0.0%0.0%0.0%-6.3%82.6K263.2K-8.1K6.2588.49N/AN/A12751,310811
2007-03-02$33.33$35.0018.8%5.4%15.5%0.0%0.0%0.0%-5.3%77.0K293.1K-8.4K0.0033.15N/AN/A2001,322886
2007-03-05$32.97$30.0017.3%3.9%15.7%0.0%0.0%0.0%-1.0%43.9K728.7K-7.2K3.3364.68N/AN/A3101,342886
2007-03-06$33.52$30.0017.3%4.5%16.0%0.0%0.0%0.0%-1.0%83.7K480.7K-7.8K0.0066.01N/AN/A3801,339866
2007-03-07$33.44$30.0017.6%3.9%16.0%0.0%0.0%0.0%-1.2%76.7K427.9K-7.6K0.0031.41N/AN/A3001,377866
2007-03-08$33.70$30.0013.9%4.0%16.3%0.0%0.0%0.0%0.8%89.0K338.8K-8.0K0.0021.57N/AN/A1001,407866
2007-03-09$34.26$30.0017.1%4.5%17.4%0.0%15.8%0.0%-0.2%180.1K-271.4K-9.1K0.0425.80N/AN/A9741,417866
2007-03-12$34.34$30.0020.1%4.3%17.4%0.0%0.0%0.0%0.3%221.6K-437.8K-9.2K0.0020.95N/AN/A12801,506866
2007-03-13$33.41$30.0030.5%4.0%19.8%0.0%0.0%0.0%-1.8%134.3K-334.3K-8.9K0.0055.82N/AN/A0721,595866
2007-03-14$33.17$30.0028.5%3.7%19.6%0.0%0.0%0.0%-0.9%64.3K550.7K-8.2K44.5072.52N/AN/A62671,595886
2007-03-15$33.28$30.0014.4%4.1%19.2%0.0%0.0%0.0%0.4%59.7K810.1K-9.7K0.0049.39N/AN/A0211,6171,088
2007-03-16$33.40$30.0014.1%4.0%18.9%0.0%0.0%0.0%-0.4%6.6K788.8K-9.8K666.6743.71N/AN/A32,0001,5951,089
2007-03-19$33.91$30.0014.4%4.1%19.8%0.0%0.0%0.0%2.0%-99.8K1.1M-20.3K0.1364.11N/AN/A76108172,759
2007-03-20$34.20$30.0015.5%4.4%20.1%0.0%15.6%0.0%1.1%-72.3K607.3K-20.6K1.0020.54N/AN/A20208932,769
2007-03-21$34.89$30.0014.4%4.1%21.4%0.0%14.4%0.0%1.4%-53.0K118.3K-19.3K0.1219.05N/AN/A82109102,789
2007-03-22$34.11$30.0012.4%3.6%22.7%0.0%0.0%0.0%-1.5%-31.1K-22.8K-18.8K0.0052.88N/AN/A009922,799
2007-03-23$34.55$30.0015.3%4.4%23.2%0.0%0.0%0.0%0.5%-55.7K426.1K-20.8K1.0033.79N/AN/A30309922,799
2007-03-26$34.70$30.0015.7%4.5%23.2%0.0%0.0%0.0%1.1%-51.0K333.4K-21.2K10.0042.08N/AN/A4401,0222,829
2007-03-27$34.57$30.0015.2%4.4%19.8%0.0%0.0%0.0%1.3%-41.4K136.7K-20.2K0.0032.74N/AN/A001,0262,829
2007-03-28$34.12$30.0011.9%3.4%20.5%0.0%0.0%0.0%2.1%-49.3K490.0K-19.7K2.0035.12N/AN/A5101,0262,829
2007-03-29$34.50$30.0015.1%4.3%20.7%0.0%0.0%0.0%1.3%-49.8K415.5K-20.6K0.0033.61N/AN/A001,0312,839
2007-03-30$34.45$30.0013.8%4.0%20.7%0.0%0.0%0.0%1.9%-35.8K220.0K-19.8K0.0029.98N/AN/A001,0312,839