MFC Options History — May 2007

In May 2007, MFC traded between $35.41 and $37.36. ATM implied volatility averaged 15.8%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.9% (HV 20d: 14.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-05-25: Highest Volume — 183 contracts
  • 2007-05-29: Largest IV spike — 49.2% change
  • 2007-05-02: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.24$35.41$37.36$35.75$37.36
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV15.8%11.9%17.8%15.4%16.2%
Expected Move4.5%3.4%5.1%4.4%4.6%
HV 20d14.9%11.0%17.0%14.7%11.0%
HV 60d16.9%15.6%17.5%16.9%15.6%
Term Structure0.5%-6.7%4.5%3.6%0.4%
VWIV16.7%11.4%24.3%16.8%21.9%
Bid-Ask Spread %29.7010.1870.2657.4612.10
Gamma HHI0.410.340.640.400.62
Net GEX14.7K-9.3K64.1K-9.3K53.3K
Net DEX-1.8M-2.9M-571.4K-1.2M-2.8M
Net VEX-13.8K-16.8K-9.1K-15.7K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.005.250.430.00
Total Volume53.95501830110
Total OI4,386.1364,1854,5994,3794,318

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$35.75$35.0015.4%4.4%14.7%0.0%0.0%0.0%3.6%-9.3K-1.2M-15.7K0.0057.46N/AN/A001,4012,978
2007-05-02$36.42$35.0017.8%5.1%15.8%0.0%16.8%0.0%-6.7%-8.2K-1.3M-16.4K0.4370.26N/AN/A23101,4012,978
2007-05-03$35.86$35.0017.2%4.9%17.0%0.0%16.9%0.0%0.1%7.9K-1.6M-14.6K0.0053.88N/AN/A2301,4222,988
2007-05-04$35.76$35.0015.7%4.8%16.9%0.0%17.5%0.0%-0.8%-2.3K-1.3M-15.6K0.0019.75N/AN/A2301,4292,988
2007-05-07$35.84$35.0017.7%4.9%16.9%0.0%17.1%0.0%-0.8%-5.4K-1.2M-15.4K0.4124.76N/AN/A37151,4372,988
2007-05-08$35.95$35.0016.3%5.0%16.3%0.0%24.3%0.0%-0.9%-6.3K-1.1M-16.0K0.0023.81N/AN/A5601,4522,998
2007-05-09$35.68$35.0017.3%4.6%16.2%0.0%0.0%0.0%0.4%-4.4K-871.1K-15.8K0.0017.62N/AN/A1001,4422,995
2007-05-10$35.53$35.0017.2%4.9%16.1%0.0%17.3%0.0%-0.6%-4.9K-571.4K-16.7K0.3217.10N/AN/A100321,4522,995
2007-05-11$35.41$35.0017.5%5.0%15.9%0.0%0.0%0.0%-1.1%3.0K-754.3K-16.8K0.1350.69N/AN/A1521,5113,011
2007-05-14$35.43$35.0016.9%4.8%15.9%0.0%16.9%0.0%-0.5%12.1K-1.1M-15.8K5.2518.26N/AN/A12631,5092,983
2007-05-15$35.89$35.0016.9%4.8%16.5%0.0%0.0%0.0%-0.0%5.7K-1.7M-15.7K0.0023.82N/AN/A2801,5212,993
2007-05-16$36.18$35.0016.2%4.6%15.1%0.0%0.0%0.0%0.8%2.0K-2.0M-14.7K0.0036.41N/AN/A15301,5362,993
2007-05-17$36.35$35.0016.0%4.6%14.8%0.0%0.0%0.0%0.8%22.4K-2.5M-14.0K0.0029.57N/AN/A1001,6062,993
2007-05-18$36.31$35.0017.0%4.9%14.7%0.0%16.9%0.0%-1.2%29.0K-2.7M-12.8K0.0026.33N/AN/A1301,6062,993
2007-05-21$36.16$35.0013.3%3.8%14.4%0.0%0.0%0.0%4.1%18.8K-1.8M-12.7K0.0037.30N/AN/A001,3802,807
2007-05-22$36.34$35.0013.5%3.9%14.4%0.0%11.4%0.0%4.5%22.7K-1.9M-12.5K0.1232.63N/AN/A4251,3802,807
2007-05-23$36.54$35.0014.1%4.0%13.6%0.0%12.2%0.0%4.0%29.9K-2.1M-11.7K0.0029.20N/AN/A4201,3752,812
2007-05-24$36.57$35.0014.2%4.1%12.6%0.0%16.4%0.0%3.5%26.2K-2.0M-11.9K3.3331.40N/AN/A27901,3732,812
2007-05-25$37.13$35.0011.9%3.4%13.2%0.0%12.1%0.0%2.1%35.2K-2.6M-9.6K0.3815.18N/AN/A133501,3732,834
2007-05-29$37.36$35.0017.8%5.1%13.3%0.0%21.9%0.0%-0.4%64.1K-2.9M-9.1K0.1515.58N/AN/A5381,4352,874
2007-05-30$37.36$35.0012.6%3.6%12.6%0.0%0.0%0.0%-1.0%31.3K-2.6M-10.3K0.0010.18N/AN/A201,4422,874
2007-05-31$37.36$35.0016.2%4.6%11.0%0.0%0.0%0.0%0.4%53.3K-2.8M-9.4K0.0012.10N/AN/A11001,4442,874