MFC Options History — July 2007

In July 2007, MFC traded between $36.38 and $38.75. ATM implied volatility averaged 16.3%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.9% (HV 20d: 13.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2007-07-12: Highest Volume — 318 contracts
  • 2007-07-25: Largest IV spike — 61.0% change
  • 2007-07-27: Highest IV Rank — 61.2%
  • 2007-07-27: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.73$36.38$38.75$37.14$36.54
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV16.3%11.0%23.3%15.7%19.3%
Expected Move4.7%3.2%6.7%4.5%5.5%
HV 20d13.4%11.2%18.6%13.7%18.5%
HV 60d13.5%12.6%14.7%13.7%14.4%
IV Rank29.2%5.3%61.2%30.7%43.1%
IV Percentile49.5%1.4%96.5%61.9%87.5%
Term Structure-2.4%-16.6%4.3%4.3%0.7%
Skew 25d3.1%2.6%3.5%2.6%3.5%
Skew 10d4.3%4.0%4.6%4.6%4.0%
Call IV 25d13.8%12.9%14.6%12.9%14.6%
Put IV 25d16.9%15.6%18.2%15.6%18.2%
Bid-Ask Spread %46.2814.5975.1015.9653.62
Gamma HHI0.710.490.930.600.51
Net GEX104.8K37.6K180.1K48.6K99.5K
Net DEX-2.4M-3.9M-1.2M-1.3M-1.8M
Net VEX-13.2K-16.5K-11.4K-11.4K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.901.000.00
Total Volume62.524031829012
Total OI4,454.5243,9394,8203,9394,795

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$37.14$35.0015.7%4.5%13.7%0.0%0.0%0.0%4.3%48.6K-1.3M-11.4K1.0015.96N/AN/A1451451,1552,784
2007-07-03$37.46$35.0016.7%4.8%13.4%0.0%0.0%0.0%3.0%49.8K-1.5M-12.4K1.0014.59N/AN/A551,1872,896
2007-07-05$37.38$35.0016.6%4.8%13.1%30.7%0.0%0.0%-4.5%37.6K-1.2M-12.6K0.0023.09N/AN/A001,1882,901
2007-07-06$37.50$35.0016.1%5.5%11.3%28.4%0.0%0.0%-3.5%42.3K-1.3M-12.5K0.0058.17N/AN/A3001,1882,901
2007-07-09$37.48$35.0019.8%6.2%11.2%45.4%0.0%0.0%-16.6%60.5K-1.6M-11.4K0.0055.19N/AN/A5001,2082,901
2007-07-10$37.47$35.0020.1%5.5%11.2%46.7%0.0%0.0%-11.4%62.2K-1.7M-11.5K0.0056.14N/AN/A001,2582,901
2007-07-11$37.30$35.0018.1%5.4%11.3%37.3%0.0%0.0%-4.3%49.8K-1.5M-12.3K0.0075.10N/AN/A001,2582,901
2007-07-12$38.12$35.0015.2%4.4%12.6%24.3%0.0%0.0%1.6%76.0K-1.7M-11.5K0.0063.40N/AN/A31801,2582,901
2007-07-13$38.34$35.0013.4%3.8%12.4%16.1%0.0%0.0%-0.4%126.8K-3.0M-12.2K0.7538.27N/AN/A20151,5662,901
2007-07-16$38.46$35.0013.2%3.8%12.3%15.3%0.0%0.0%-0.4%130.8K-3.1M-11.8K0.0036.45N/AN/A901,5862,916
2007-07-17$38.54$35.0012.5%3.6%12.3%12.1%0.0%0.0%0.8%133.1K-3.3M-12.0K0.0026.95N/AN/A101,5872,916
2007-07-18$38.75$35.0013.8%4.0%12.0%18.1%0.0%0.0%0.2%136.7K-3.1M-12.1K0.0040.35N/AN/A1001,5882,916
2007-07-19$38.75$35.0013.4%3.8%11.8%16.2%0.0%0.0%-0.3%138.1K-3.3M-12.0K0.0031.90N/AN/A26501,5892,916
2007-07-20$38.37$35.0013.4%3.8%11.6%15.9%0.0%0.0%-1.5%180.1K-3.9M-13.7K0.0045.61N/AN/A2601,8542,916
2007-07-23$38.41$35.0012.9%3.7%11.5%14.0%0.0%0.0%0.5%165.0K-3.5M-14.3K0.7840.50N/AN/A50391,8282,906
2007-07-24$37.93$35.0011.0%3.2%12.6%5.3%0.0%0.0%3.8%170.9K-3.6M-14.4K0.0070.49N/AN/A101,8482,918
2007-07-25$38.43$35.0017.7%5.1%13.1%35.9%0.0%0.0%-1.4%160.4K-3.3M-15.1K0.4956.88N/AN/A55271,8482,918
2007-07-26$37.24$35.0019.6%5.6%17.7%44.4%0.0%0.0%-12.2%138.4K-2.8M-15.9K0.0074.88N/AN/A601,8742,941
2007-07-27$36.42$35.0023.3%6.7%18.6%61.2%0.0%0.0%-10.5%102.1K-2.0M-16.5K2.9056.81N/AN/A10291,8792,941
2007-07-30$36.38$35.0019.7%5.6%18.4%44.8%0.0%2.6%1.1%92.5K-1.7M-16.1K0.0037.42N/AN/A4001,8792,933
2007-07-31$36.54$35.0019.3%5.5%18.5%43.1%0.0%3.5%0.7%99.5K-1.8M-16.0K0.0053.62N/AN/A1201,8622,933