MFC Options History — August 2007

In August 2007, MFC traded between $35.16 and $38.85. ATM implied volatility averaged 26.0%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.5% (HV 20d: 28.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-08-07: Highest Volume — 658 contracts
  • 2007-08-03: Largest IV spike — 159.5% change
  • 2007-08-03: Highest IV Rank — 100.0%
  • 2007-08-03: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.54$35.16$38.85$36.87$38.85
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV26.0%13.6%44.9%20.1%20.8%
Expected Move6.7%3.9%10.1%5.8%6.0%
HV 20d28.5%18.5%34.0%18.5%31.6%
HV 60d19.7%14.5%23.1%14.5%22.8%
IV Rank52.0%17.2%100.0%46.6%31.1%
IV Percentile88.4%15.8%100.0%91.0%85.6%
Term Structure-4.6%-29.5%2.8%-6.1%0.2%
VWIV25.1%18.4%33.2%19.0%21.3%
Skew 25d4.3%1.5%7.5%3.3%2.8%
Skew 10d4.8%2.0%8.5%2.5%3.7%
Call IV 25d16.3%13.7%18.5%15.8%17.4%
Put IV 25d20.6%17.1%24.2%19.0%20.2%
Bid-Ask Spread %54.1116.6889.1884.2370.91
Gamma HHI0.650.370.760.580.75
Net GEX101.8K-42.5K174.1K105.1K174.1K
Net DEX-3.7M-5.5M-264.6K-2.0M-5.5M
Net VEX-20.2K-25.2K-15.7K-16.3K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.001.290.690.40
Total Volume232.522665812242
Total OI6,012.8264,8016,6024,8016,602

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$36.87$35.0020.1%5.8%18.5%46.6%19.0%3.3%-6.1%105.1K-2.0M-16.3K0.6984.23N/AN/A72501,8682,933
2007-08-02$37.59$35.0013.6%3.9%19.8%17.2%27.4%3.4%2.8%130.4K-3.0M-15.7K1.1416.68N/AN/A921051,9402,972
2007-08-03$36.66$35.0035.4%10.1%21.7%100.0%25.9%4.0%-29.5%108.2K-2.6M-16.6K0.1428.14N/AN/A264371,9743,067
2007-08-06$37.44$35.0027.4%6.3%23.1%68.8%22.0%3.8%2.1%123.7K-3.3M-16.9K1.0658.53N/AN/A2262392,2383,104
2007-08-07$37.61$35.0024.5%5.3%23.2%57.3%23.3%3.5%-1.4%93.4K-3.8M-19.1K0.9563.04N/AN/A3383202,3063,284
2007-08-08$38.78$35.0018.7%5.0%25.5%34.6%18.4%1.5%1.0%145.9K-5.4M-16.4K0.0339.02N/AN/A385102,4183,497
2007-08-09$37.81$35.0017.7%4.9%26.1%30.6%25.2%2.7%-4.3%124.1K-4.7M-18.9K1.1560.43N/AN/A39452,3673,487
2007-08-10$37.91$35.0026.0%5.4%26.0%63.2%25.9%3.0%-1.1%111.2K-3.7M-19.6K0.5051.57N/AN/A1052,3053,517
2007-08-13$37.52$35.0025.1%5.2%26.2%59.6%18.9%3.4%-3.9%113.9K-4.1M-19.2K0.1647.32N/AN/A64102,3153,512
2007-08-14$36.24$35.0044.9%8.2%28.7%100.0%29.0%7.5%-7.4%48.2K-2.6M-20.9K0.8456.77N/AN/A3352802,3193,514
2007-08-15$35.97$35.0043.6%8.6%28.6%96.3%29.3%7.4%-8.6%31.4K-2.2M-23.2K0.0081.18N/AN/A15702,5023,686
2007-08-16$35.16$35.0033.1%9.5%29.3%66.4%33.2%7.5%-7.7%-42.5K-264.6K-24.6K1.1589.18N/AN/A2813222,4683,686
2007-08-17$36.54$35.0031.1%8.9%33.0%60.8%0.0%6.5%-5.7%23.5K-2.5M-25.2K1.2984.74N/AN/A31402,5943,863
2007-08-20$37.31$35.0032.7%9.4%34.0%65.2%32.8%5.1%-5.3%82.7K-3.1M-23.3K0.5570.46N/AN/A2591432,5843,797
2007-08-21$37.57$35.0020.1%5.8%33.9%29.3%30.1%4.5%-1.6%78.2K-3.7M-23.5K0.1532.90N/AN/A196302,5463,763
2007-08-22$37.89$35.0019.8%5.7%33.7%28.5%22.9%4.6%-0.2%99.3K-4.1M-21.5K0.2140.33N/AN/A120252,5383,793
2007-08-23$38.46$35.0022.6%6.5%32.0%36.4%23.1%5.5%-0.0%126.7K-4.8M-20.5K0.0839.44N/AN/A126102,5763,818
2007-08-24$38.52$35.0021.7%6.2%30.8%33.8%22.2%3.4%0.2%141.4K-4.9M-20.1K0.0342.91N/AN/A7622,6123,828
2007-08-27$38.45$35.0022.0%6.3%30.8%34.7%0.0%3.3%0.0%152.5K-4.9M-19.9K0.0035.89N/AN/A602,6533,830
2007-08-28$37.48$35.0034.9%10.0%32.4%71.5%27.8%5.2%-25.3%88.4K-3.7M-22.5K0.8350.84N/AN/A1931602,6583,830
2007-08-29$38.47$35.0022.0%6.3%33.5%34.6%24.5%3.4%-2.2%138.0K-4.7M-20.4K0.3751.78N/AN/A27102,6923,870
2007-08-30$38.38$35.0020.1%5.8%32.9%29.4%0.0%3.7%-1.7%142.5K-4.8M-21.0K0.3748.23N/AN/A121452,6893,880
2007-08-31$38.85$35.0020.8%6.0%31.6%31.1%21.3%2.8%0.2%174.1K-5.5M-19.1K0.4070.91N/AN/A30122,7093,893