MFC Options History — December 2007

In December 2007, MFC traded between $40.21 and $41.74. ATM implied volatility averaged 25.1%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.1% (HV 20d: 26.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2007-12-21: Highest Volume — 534 contracts
  • 2007-12-04: Largest IV spike — 10.5% change
  • 2007-12-04: Highest IV Rank — 53.0%
  • 2007-12-04: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.73$40.21$41.74$41.74$40.75
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV25.1%21.1%28.4%25.7%24.4%
Expected Move7.3%6.4%8.2%7.4%7.0%
HV 20d26.2%17.9%34.4%33.4%17.9%
HV 60d27.0%26.1%27.3%26.1%27.1%
IV Rank43.5%32.2%53.0%45.3%41.6%
IV Percentile83.3%74.7%89.7%86.1%80.4%
Term Structure0.4%-1.8%4.1%4.1%1.2%
VWIV26.0%21.6%34.7%26.5%24.5%
Skew 25d2.4%-5.0%11.1%2.1%7.6%
Skew 10d4.4%-8.3%17.7%3.4%10.2%
Call IV 25d23.9%16.8%30.8%24.3%16.8%
Put IV 25d26.4%21.5%32.6%26.3%24.4%
Bid-Ask Spread %50.4721.32100.8984.4121.32
Gamma HHI0.460.420.520.450.50
Net GEX308.3K279.7K356.7K325.1K356.7K
Net DEX-4.8M-6.9M-3.9M-6.9M-4.0M
Net VEX-34.3K-40.0K-28.9K-40.0K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.004.000.600.18
Total Volume72.552534813
Total OI7,278.155,9947,8477,5976,068

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$41.74$40.0025.7%7.4%33.4%45.3%26.5%2.1%4.1%325.1K-6.9M-40.0K0.6084.41N/AN/A534,8452,752
2007-12-04$40.52$40.0028.4%8.2%34.4%53.0%0.0%-2.4%-1.8%286.8K-5.0M-39.4K2.0033.73N/AN/A13264,8432,752
2007-12-05$40.84$40.0026.3%7.5%34.3%46.9%26.2%-2.7%0.2%289.6K-5.0M-38.7K0.4434.21N/AN/A50224,8412,755
2007-12-06$40.98$40.0027.9%8.0%31.4%51.4%28.4%1.8%-1.2%291.6K-5.0M-38.3K0.6139.25N/AN/A28174,8542,763
2007-12-07$41.25$40.0025.4%7.2%31.1%44.4%0.0%4.5%-0.0%319.6K-6.4M-37.4K1.6738.53N/AN/A6104,8582,766
2007-12-10$41.44$40.0023.4%7.2%29.1%38.6%0.0%1.4%0.3%326.7K-6.6M-36.3K0.0047.18N/AN/A0104,8612,776
2007-12-11$40.36$40.0021.1%6.4%29.3%32.2%21.6%-3.5%1.9%296.7K-5.1M-35.0K0.57100.89N/AN/A37214,8612,786
2007-12-12$40.53$40.0023.0%7.2%28.2%37.5%24.9%-0.9%-0.8%279.7K-4.8M-35.1K0.3993.62N/AN/A124484,8572,786
2007-12-13$40.44$40.0024.4%7.0%28.0%41.6%24.4%11.1%0.2%281.6K-3.9M-35.1K0.1055.36N/AN/A6164,8982,808
2007-12-14$40.47$40.0024.6%7.0%25.1%42.0%24.6%11.1%0.7%287.3K-4.2M-35.0K0.0059.89N/AN/A2604,9512,814
2007-12-17$40.37$40.0026.5%7.6%25.1%47.4%26.5%2.9%-1.1%281.2K-4.5M-34.5K2.6351.89N/AN/A19504,9762,814
2007-12-18$40.33$40.0024.3%7.0%24.0%41.2%24.3%3.9%1.7%286.6K-4.0M-32.6K0.3650.09N/AN/A2594,9752,800
2007-12-19$40.63$40.0025.6%7.3%24.1%45.0%0.0%4.6%-0.2%291.5K-5.0M-32.6K0.0050.24N/AN/A3904,9762,800
2007-12-20$40.45$40.0025.2%7.2%23.3%43.9%34.7%10.8%0.3%295.9K-4.6M-32.1K0.1655.16N/AN/A74125,0012,800
2007-12-21$40.21$40.0025.9%7.4%23.0%45.7%25.9%-5.0%-0.5%303.0K-3.9M-31.1K0.0846.68N/AN/A494405,0552,792
2007-12-24$41.07$40.0025.3%7.3%23.4%44.2%25.4%10.2%0.9%338.3K-4.1M-31.2K4.0070.17N/AN/A10404,1721,854
2007-12-26$40.66$40.0024.9%7.2%21.9%43.1%0.0%-2.3%0.4%335.6K-3.9M-31.0K0.0029.14N/AN/A204,1721,822
2007-12-27$40.66$40.0024.9%7.1%18.9%42.9%26.5%-3.6%0.1%340.4K-4.1M-30.7K0.1122.73N/AN/A95104,1741,822
2007-12-28$40.87$40.0024.3%7.0%18.6%41.3%0.0%-3.1%1.3%352.4K-4.4M-30.3K0.0024.99N/AN/A604,2311,832
2007-12-31$40.75$40.0024.4%7.0%17.9%41.6%24.5%7.6%1.2%356.7K-4.0M-28.9K0.1821.32N/AN/A1124,2361,832