MFC Options History — April 2007

In April 2007, MFC traded between $34.65 and $36.38. ATM implied volatility averaged 16.0%. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.3% (HV 20d: 16.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2007-04-05: Highest Volume — 420 contracts
  • 2007-04-12: Largest IV spike — 34.4% change
  • 2007-04-25: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.62$34.65$36.38$34.65$36.11
Max Pain$34.00$30.00$35.00$30.00$35.00
ATM IV16.0%12.9%18.3%15.1%16.3%
Expected Move4.7%4.1%5.2%4.3%4.7%
HV 20d16.4%13.3%20.2%20.2%14.1%
HV 60d16.8%16.5%17.3%16.6%16.9%
Term Structure0.7%-1.1%4.9%1.4%1.5%
VWIV16.7%15.1%18.1%15.1%16.2%
Bid-Ask Spread %37.4017.5989.4260.6250.14
Gamma HHI0.430.350.510.510.37
Net GEX13.1K-42.1K74.4K-42.1K3.4K
Net DEX-1.0M-2.0M335.0K335.0K-1.7M
Net VEX-16.9K-20.4K-14.9K-20.4K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.007.404.000.00
Total Volume86.304202510
Total OI4,038.53,7814,3693,8704,369

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$34.65$30.0015.1%4.3%20.2%0.0%15.1%0.0%1.4%-42.1K335.0K-20.4K4.0060.62N/AN/A5201,0312,839
2007-04-03$34.87$30.0016.0%4.6%19.5%0.0%16.0%0.0%0.6%-34.4K97.1K-19.5K0.6747.61N/AN/A30201,0362,847
2007-04-04$35.01$30.0014.7%4.2%19.5%0.0%0.0%0.0%2.0%-21.4K78.5K-19.7K1.0945.21N/AN/A11121,0472,847
2007-04-05$35.27$30.0014.9%4.3%19.5%0.0%0.0%0.0%2.5%-13.4K-404.1K-18.6K7.4035.06N/AN/A503701,0582,848
2007-04-09$35.40$35.0015.2%4.8%18.7%0.0%0.0%0.0%-0.8%24.0K-787.7K-17.4K0.0019.85N/AN/A3901,0762,705
2007-04-10$35.00$35.0014.6%4.9%19.3%0.0%17.1%0.0%-1.1%40.0K-809.1K-16.3K0.3323.52N/AN/A92301,0932,705
2007-04-11$35.34$35.0012.9%5.0%16.3%0.0%17.6%0.0%-0.7%62.6K-653.4K-18.0K1.0928.77N/AN/A11121,1472,725
2007-04-12$35.62$35.0017.3%5.0%16.0%0.0%0.0%0.0%0.4%74.4K-1.1M-17.6K0.0038.91N/AN/A6501,1562,735
2007-04-13$35.38$35.0017.2%4.9%16.4%0.0%0.0%0.0%-0.5%69.2K-924.0K-17.6K0.0023.73N/AN/A201,1712,735
2007-04-16$35.53$35.0017.3%5.0%16.4%0.0%0.0%0.0%-0.7%48.3K-1.3M-15.9K0.0023.22N/AN/A001,1712,735
2007-04-17$35.66$35.0017.7%5.1%15.7%0.0%17.7%0.0%-0.8%43.7K-1.4M-15.8K0.0117.59N/AN/A29521,1712,735
2007-04-18$36.38$35.0014.4%4.1%16.8%0.0%15.5%0.0%4.9%11.5K-1.9M-15.4K0.2836.03N/AN/A186521,3662,737
2007-04-19$36.06$35.0017.2%4.9%16.1%0.0%0.0%0.0%-0.9%21.8K-1.9M-15.8K0.0029.67N/AN/A001,3892,789
2007-04-20$36.26$35.0015.0%4.3%13.3%0.0%0.0%0.0%3.8%26.6K-2.0M-14.9K2.4239.46N/AN/A33801,3892,789
2007-04-23$35.93$35.0017.6%5.0%13.5%0.0%0.0%0.0%-0.7%-4.3K-1.5M-15.0K2.5089.42N/AN/A20501,2952,844
2007-04-24$35.76$35.0017.6%5.0%13.6%0.0%0.0%0.0%-0.4%-19.0K-978.8K-16.2K1.1824.06N/AN/A62731,2952,894
2007-04-25$36.26$35.0018.3%5.2%14.1%0.0%18.1%0.0%-1.0%-12.6K-1.2M-16.2K0.1636.73N/AN/A64101,3272,957
2007-04-26$35.78$35.0016.0%4.6%14.2%0.0%16.2%0.0%1.0%-6.5K-1.2M-16.1K2.0028.92N/AN/A5101,3912,962
2007-04-27$36.15$35.0015.4%4.4%14.1%0.0%0.0%0.0%4.1%-9.4K-1.2M-16.8K0.0049.44N/AN/A501,3962,968
2007-04-30$36.11$35.0016.3%4.7%14.1%0.0%0.0%0.0%1.5%3.4K-1.7M-15.1K0.0050.14N/AN/A0101,4012,968