MFC Options History — October 2007

In October 2007, MFC traded between $41.25 and $46.39. ATM implied volatility averaged 19.5%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.9% (HV 20d: 15.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.15.

Notable Days

  • 2007-10-25: Highest Volume — 947 contracts
  • 2007-10-15: Largest IV spike — 71.0% change
  • 2007-10-15: Highest IV Rank — 48.1%
  • 2007-10-15: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.93$41.25$46.39$41.59$46.39
Max Pain$36.74$35.00$40.00$40.00$40.00
ATM IV19.5%15.0%26.7%15.8%23.6%
Expected Move5.5%4.1%7.7%4.5%6.8%
HV 20d15.5%11.1%22.2%11.1%22.2%
HV 60d23.0%22.2%23.8%22.9%22.7%
IV Rank27.4%14.8%48.1%17.1%39.3%
IV Percentile68.0%31.3%94.4%42.2%90.9%
Term Structure0.6%-3.6%8.3%6.7%1.1%
VWIV21.8%17.9%26.2%18.0%24.7%
Skew 25d1.8%0.5%2.6%2.2%0.5%
Skew 10d0.6%-1.6%1.9%1.0%-1.6%
Call IV 25d19.7%19.1%20.1%19.7%19.9%
Put IV 25d21.5%20.1%22.5%21.9%20.4%
Bid-Ask Spread %60.8535.48105.0692.63102.79
Gamma HHI0.560.490.700.700.61
Net GEX279.5K193.8K344.1K193.8K296.8K
Net DEX-10.0M-14.9M-6.2M-6.3M-14.9M
Net VEX-28.3K-34.1K-23.1K-23.1K-28.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.0019.130.000.60
Total Volume209.3911094736385
Total OI5,183.9133,8756,5193,8756,519

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$41.59$40.0015.8%4.5%11.1%17.1%0.0%2.2%6.7%193.8K-6.3M-23.1K0.0092.63N/AN/A3602,4831,392
2007-10-02$41.49$40.0016.9%4.9%11.3%20.2%0.0%2.3%5.5%197.6K-6.2M-23.6K0.0036.57N/AN/A1602,5081,392
2007-10-03$41.25$40.0018.3%5.2%11.3%24.0%18.0%1.9%2.1%194.7K-6.4M-23.1K0.0947.91N/AN/A210192,5211,392
2007-10-04$41.88$40.0016.3%4.7%11.9%18.5%0.0%2.1%8.3%226.9K-7.1M-23.5K0.0539.58N/AN/A519262,6931,406
2007-10-05$42.91$35.0017.0%4.6%12.8%20.3%18.0%1.1%-1.4%247.9K-10.1M-23.5K0.0752.73N/AN/A319213,1811,406
2007-10-08$42.80$35.0015.0%4.1%12.9%14.8%0.0%1.5%0.3%294.3K-10.5M-24.2K0.0935.48N/AN/A167153,3591,407
2007-10-09$43.06$35.0018.5%4.6%12.6%24.7%0.0%1.9%-0.9%275.7K-10.7M-24.8K0.2151.71N/AN/A217453,4231,402
2007-10-10$42.88$35.0016.9%4.4%13.1%20.2%0.0%1.8%0.1%303.2K-11.0M-26.2K19.1346.76N/AN/A81533,6091,442
2007-10-11$42.66$35.0015.8%4.5%13.5%17.0%0.0%2.5%0.4%291.5K-11.0M-25.9K0.4562.22N/AN/A44203,6091,577
2007-10-12$43.22$35.0015.6%4.5%13.4%16.4%0.0%1.1%0.8%283.2K-10.9M-27.0K0.1653.02N/AN/A250403,6411,557
2007-10-15$42.64$35.0026.7%7.7%14.9%48.1%0.0%1.6%-0.1%330.7K-11.1M-29.8K0.47105.06N/AN/A43203,8771,560
2007-10-16$41.96$35.0020.5%5.9%15.3%30.3%0.0%2.0%1.9%344.1K-10.4M-30.0K1.7351.86N/AN/A661143,8841,580
2007-10-17$42.65$35.0017.8%5.1%16.0%22.8%24.0%1.9%-1.1%302.8K-10.2M-31.8K0.0040.25N/AN/A2403,8771,680
2007-10-18$42.94$35.0020.0%5.7%16.0%28.8%0.0%1.8%-0.8%302.9K-10.6M-30.5K0.0043.59N/AN/A1003,8861,680
2007-10-19$42.45$35.0021.4%6.1%16.8%32.9%17.9%2.4%3.3%309.5K-10.5M-30.3K0.0455.31N/AN/A11343,8921,680
2007-10-22$42.29$35.0025.5%7.3%17.0%44.7%0.0%2.6%-1.2%306.4K-8.4M-32.2K0.0048.12N/AN/A1503,6221,587
2007-10-23$42.97$35.0018.1%5.2%17.3%23.7%20.7%2.0%-1.3%308.1K-9.7M-30.0K0.1858.20N/AN/A55103,6271,587
2007-10-24$42.55$35.0019.9%5.7%17.8%28.7%0.0%2.2%-0.7%313.9K-9.2M-31.0K0.0073.84N/AN/A2603,6761,597
2007-10-25$42.72$35.0020.3%5.8%17.8%29.8%26.2%1.1%-2.6%302.9K-9.5M-31.5K2.5548.27N/AN/A2676803,6841,597
2007-10-26$44.07$40.0019.9%5.7%20.6%28.6%22.2%2.4%-1.2%276.8K-10.9M-34.1K0.2985.07N/AN/A204603,9242,231
2007-10-29$44.81$40.0022.5%6.4%21.1%36.0%22.4%1.2%-1.1%248.0K-12.1M-31.9K0.2593.53N/AN/A157403,9242,231
2007-10-30$45.13$40.0025.0%7.2%21.0%43.2%23.9%1.0%-3.6%277.2K-13.0M-33.0K0.0875.14N/AN/A368304,1112,317
2007-10-31$46.39$40.0023.6%6.8%22.2%39.3%24.7%0.5%1.1%296.8K-14.9M-28.7K0.60102.79N/AN/A2411444,2122,307