MFC Options History — June 2007

In June 2007, MFC traded between $36.08 and $37.69. ATM implied volatility averaged 17.9%. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.3% (HV 20d: 12.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.96.

Notable Days

  • 2007-06-06: Highest Volume — 120 contracts
  • 2007-06-12: Largest IV spike — 54.1% change
  • 2007-06-26: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.81$36.08$37.69$37.69$37.32
Max Pain$35.71$35.00$40.00$35.00$35.00
ATM IV17.9%13.5%31.8%17.3%14.0%
Expected Move4.4%3.9%5.3%4.9%4.0%
HV 20d12.7%9.3%14.2%9.3%13.9%
HV 60d14.4%13.3%15.7%15.6%13.7%
Term Structure1.0%-7.0%6.2%-0.6%-1.3%
VWIV14.7%11.6%16.2%16.2%16.0%
Bid-Ask Spread %43.5815.0666.3715.0666.37
Gamma HHI0.500.360.700.700.55
Net GEX26.5K-5.2K72.0K72.0K40.4K
Net DEX-1.5M-3.0M-650.8K-3.0M-1.2M
Net VEX-12.1K-13.9K-10.6K-10.6K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0025.000.110.00
Total Volume33.71401203112
Total OI4,185.5713,7524,5804,4183,934

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$37.69$35.0017.3%4.9%9.3%0.0%16.2%0.0%-0.6%72.0K-3.0M-10.6K0.1115.06N/AN/A2831,5442,874
2007-06-04$37.37$40.0018.7%4.2%10.0%0.0%0.0%0.0%-2.9%62.5K-2.9M-11.3K0.0058.42N/AN/A1001,5702,874
2007-06-05$36.96$40.0022.1%5.3%11.0%0.0%11.6%0.0%-6.7%59.9K-2.6M-11.2K3.4045.65N/AN/A10341,5702,874
2007-06-06$36.71$40.0019.1%4.1%11.4%0.0%16.0%0.0%2.9%40.3K-2.4M-12.0K5.0036.58N/AN/A201001,5722,888
2007-06-07$36.08$35.0020.7%4.2%12.8%0.0%13.6%0.0%2.9%22.2K-1.6M-13.9K0.0053.07N/AN/A10501,5922,988
2007-06-08$36.30$35.0016.7%4.0%12.8%0.0%0.0%0.0%4.7%-4.4K-1.5M-13.6K0.0037.58N/AN/A001,5172,984
2007-06-11$36.36$35.0020.6%4.7%12.7%0.0%16.0%0.0%1.1%-5.2K-1.5M-13.4K0.0031.29N/AN/A101,5172,984
2007-06-12$36.25$35.0031.8%4.3%12.8%0.0%0.0%0.0%1.7%8.8K-1.5M-12.8K0.0061.63N/AN/A1401,5182,984
2007-06-13$36.77$35.0026.4%4.2%13.0%0.0%0.0%0.0%4.8%-3.4K-1.6M-13.0K0.0042.76N/AN/A1001,5202,984
2007-06-14$36.58$35.0015.1%4.3%12.9%0.0%0.0%0.0%1.9%10.1K-1.7M-11.9K0.0054.97N/AN/A7201,5242,984
2007-06-15$36.82$35.0013.5%3.9%13.0%0.0%0.0%0.0%5.3%21.3K-1.9M-12.1K0.0044.23N/AN/A6001,5312,984
2007-06-18$36.78$35.0013.5%3.9%13.0%0.0%0.0%0.0%6.2%16.6K-882.9K-12.1K0.0039.86N/AN/A011,0442,708
2007-06-19$37.17$35.0016.2%4.6%13.3%0.0%0.0%0.0%-2.5%38.1K-1.2M-11.4K0.6540.72N/AN/A49321,0442,709
2007-06-20$37.03$35.0017.5%5.0%13.4%0.0%0.0%0.0%6.2%36.8K-1.2M-11.6K25.0042.16N/AN/A2501,0912,731
2007-06-21$36.61$35.0014.7%4.2%13.9%0.0%0.0%0.0%1.8%19.1K-839.2K-12.1K0.0044.96N/AN/A1001,0932,771
2007-06-22$36.84$35.0014.2%4.1%14.1%0.0%0.0%0.0%5.7%15.9K-731.0K-12.8K0.3347.14N/AN/A621,1032,771
2007-06-25$36.86$35.0017.8%5.1%13.0%0.0%0.0%0.0%-5.3%31.4K-1.0M-11.6K0.0042.91N/AN/A001,0972,773
2007-06-26$36.72$35.0018.5%5.3%12.8%0.0%0.0%0.0%-7.0%30.4K-1.0M-11.5K0.7044.66N/AN/A1071,0972,773
2007-06-27$36.57$35.0014.5%4.2%12.8%0.0%0.0%0.0%5.3%9.0K-650.8K-12.2K0.0045.81N/AN/A1401,1072,780
2007-06-28$37.15$35.0013.7%3.9%14.2%0.0%0.0%0.0%-3.4%35.6K-1.1M-11.8K0.1019.45N/AN/A4241,1142,780
2007-06-29$37.32$35.0014.0%4.0%13.9%0.0%0.0%0.0%-1.3%40.4K-1.2M-11.9K0.0066.37N/AN/A1201,1502,784