MFC Options History — November 2007

In November 2007, MFC traded between $39.49 and $46.00. ATM implied volatility averaged 29.6%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 4.1% (HV 20d: 33.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2007-11-15: Highest Volume — 473 contracts
  • 2007-11-12: Largest IV spike — 111.4% change
  • 2007-11-12: Highest IV Rank — 95.1%
  • 2007-11-20: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.19$39.49$46.00$44.85$41.78
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV29.6%20.4%43.2%28.3%22.2%
Expected Move7.5%5.8%9.1%8.1%6.4%
HV 20d33.6%25.9%37.8%25.9%35.0%
HV 60d24.6%23.0%26.2%23.3%26.2%
IV Rank56.2%30.2%95.1%52.8%35.3%
IV Percentile92.4%78.7%99.1%95.2%80.9%
Term Structure-0.5%-6.9%8.1%-6.9%8.1%
VWIV26.1%20.8%31.7%28.3%26.0%
Skew 25d6.0%0.1%12.1%4.8%3.6%
Skew 10d9.2%1.7%18.9%8.3%10.9%
Call IV 25d22.7%20.2%28.2%20.4%22.3%
Put IV 25d28.7%23.3%32.4%25.2%25.9%
Bid-Ask Spread %58.2333.04106.8542.3737.61
Gamma HHI0.470.380.630.630.45
Net GEX257.4K172.5K332.2K286.9K332.2K
Net DEX-7.7M-14.5M-2.8M-13.4M-6.8M
Net VEX-39.8K-44.4K-34.1K-34.8K-40.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.053.440.140.28
Total Volume156.8575473137143
Total OI7,092.4296,7407,5546,7407,554

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$44.85$40.0028.3%8.1%25.9%52.8%28.3%4.8%-6.9%286.9K-13.4M-34.8K0.1442.37N/AN/A120174,3042,436
2007-11-02$46.00$40.0027.7%7.9%26.0%50.9%27.7%3.1%-4.2%272.8K-14.5M-35.2K0.5190.14N/AN/A77394,3502,446
2007-11-05$45.38$40.0029.7%6.8%26.7%56.6%22.8%2.3%-2.4%282.6K-13.8M-35.2K0.3781.29N/AN/A57214,3592,456
2007-11-06$45.79$40.0029.8%6.7%26.7%56.8%23.4%3.9%-1.9%280.5K-14.2M-34.1K0.6148.60N/AN/A38234,3692,457
2007-11-07$43.84$40.0030.3%5.8%31.4%58.3%23.3%0.1%-0.1%283.7K-12.8M-35.0K0.2862.56N/AN/A109304,3722,479
2007-11-08$44.35$40.0029.3%6.9%31.5%55.5%24.1%6.6%-0.9%314.3K-10.8M-37.9K0.8679.82N/AN/A1551334,3452,501
2007-11-09$42.87$40.0020.4%5.9%33.7%30.2%23.7%7.9%0.5%257.8K-9.5M-42.9K0.2674.79N/AN/A155414,4222,575
2007-11-12$41.81$40.0043.2%7.0%34.5%95.1%27.2%4.1%1.2%259.2K-7.5M-42.1K0.39106.85N/AN/A174684,3992,574
2007-11-13$42.66$40.0030.8%7.1%34.8%59.8%25.3%5.9%-0.8%257.8K-8.1M-42.3K0.5544.51N/AN/A94524,4442,621
2007-11-14$42.16$40.0041.9%7.6%34.6%91.4%23.3%9.1%5.6%241.3K-8.5M-42.1K0.5170.99N/AN/A63324,4512,632
2007-11-15$40.70$40.0028.5%8.2%36.5%53.4%25.9%4.7%-2.2%172.5K-5.1M-42.8K0.1345.04N/AN/A419544,2982,645
2007-11-16$40.85$40.0030.0%8.6%36.4%57.4%29.0%5.0%-1.9%196.4K-4.9M-44.4K1.5442.06N/AN/A1692604,5692,657
2007-11-19$40.03$40.0030.2%8.7%37.0%58.0%30.2%3.5%-2.0%210.8K-3.8M-43.6K0.9450.42N/AN/A50474,5342,673
2007-11-20$40.18$40.0031.7%9.1%36.5%62.3%31.7%11.1%-3.5%216.1K-3.1M-41.9K0.9457.74N/AN/A33314,5642,617
2007-11-21$39.52$40.0028.9%8.3%36.7%54.4%0.0%9.1%-1.6%209.1K-2.8M-41.2K0.0035.48N/AN/A054,5972,647
2007-11-23$40.06$40.0029.9%8.6%37.1%57.2%0.0%12.1%-2.2%229.5K-3.5M-41.5K0.1233.76N/AN/A1724,5972,652
2007-11-26$39.49$40.0027.9%8.0%35.0%51.6%27.9%9.4%0.6%215.2K-3.0M-39.5K0.3459.04N/AN/A65224,6062,652
2007-11-27$40.56$40.0026.9%7.7%36.0%48.6%0.0%10.8%-1.4%262.9K-3.5M-38.5K3.4484.67N/AN/A16554,6712,651
2007-11-28$41.77$40.0023.9%6.8%37.8%40.0%20.8%4.3%6.7%322.3K-6.2M-39.5K0.0542.14N/AN/A3824,6772,693
2007-11-29$41.24$40.0029.1%8.3%36.0%54.8%28.9%4.0%-2.1%301.1K-6.0M-40.2K1.4133.04N/AN/A1532154,7002,695
2007-11-30$41.78$40.0022.2%6.4%35.0%35.3%26.0%3.6%8.1%332.2K-6.8M-40.5K0.2837.61N/AN/A112314,8122,742