MFC Options History — January 2008

In January 2008, MFC traded between $34.80 and $39.86. ATM implied volatility averaged 30.6%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 10.1% (HV 20d: 20.5%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2008-01-04: Highest Volume — 477 contracts
  • 2008-01-22: Largest IV spike — 99.6% change
  • 2008-01-22: Highest IV Rank — 100.0%
  • 2008-01-22: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.45$34.80$39.86$39.86$37.66
Max Pain$36.19$30.00$40.00$40.00$35.00
ATM IV30.6%14.5%73.5%26.7%24.6%
Expected Move9.0%5.7%21.1%7.6%7.0%
HV 20d20.5%15.2%27.1%19.3%26.4%
HV 60d27.5%26.6%29.0%27.0%26.6%
IV Rank44.7%13.2%100.0%48.0%23.1%
IV Percentile83.3%19.8%100.0%87.3%75.0%
Term Structure-1.9%-19.5%8.8%5.1%-1.7%
VWIV29.5%15.3%50.6%26.7%34.4%
Skew 25d4.4%-3.9%33.2%3.2%7.1%
Skew 10d8.6%-3.5%32.1%4.6%18.8%
Call IV 25d25.7%17.8%40.0%20.7%25.8%
Put IV 25d30.1%20.0%73.2%23.9%32.9%
Bid-Ask Spread %53.5526.80111.7129.9029.83
Gamma HHI0.380.310.570.540.31
Net GEX30.4K-58.9K332.7K332.7K-28.3K
Net DEX2.4M-2.7M4.2M-2.7M2.5M
Net VEX-19.5K-28.2K-2.0K-28.2K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.009.600.094.50
Total Volume119.8570477437110
Total OI5,233.4291696,3446,0584,619

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$39.86$40.0026.7%7.6%19.3%48.0%26.7%3.2%5.1%332.7K-2.7M-28.2K0.0929.90N/AN/A402354,2261,832
2008-01-03$39.67$30.0025.0%7.2%16.5%43.2%0.0%0.0%0.0%1.8K-170.3K-2.0K0.0047.49N/AN/A008980
2008-01-04$38.94$40.0020.1%6.9%17.2%29.2%24.1%-2.9%1.3%236.6K-510.5K-24.8K9.6068.74N/AN/A454323,9711,827
2008-01-07$38.66$40.0025.6%7.1%17.2%44.9%20.6%-2.4%-0.1%148.0K1.2M-25.5K0.5636.11N/AN/A62354,0022,232
2008-01-08$38.16$35.0019.8%5.7%17.1%28.5%17.8%-3.9%2.6%125.3K1.7M-24.1K0.5954.34N/AN/A27164,0182,236
2008-01-09$38.40$35.0014.5%8.0%17.3%13.2%28.1%4.3%-1.3%93.8K2.6M-22.2K0.3434.67N/AN/A65224,0162,216
2008-01-10$38.49$35.0027.3%7.8%15.2%49.9%0.0%4.9%-3.5%121.1K2.2M-22.3K0.1845.51N/AN/A65124,0442,225
2008-01-11$37.72$35.0020.9%6.0%16.2%31.6%24.7%-1.9%1.6%47.5K2.7M-21.7K0.0033.34N/AN/A1304,0632,217
2008-01-14$37.70$35.0019.8%5.7%16.2%28.4%15.3%3.5%0.6%32.9K2.9M-20.6K5.8026.80N/AN/A5294,0672,217
2008-01-15$36.75$40.0027.8%8.0%17.9%51.1%0.0%5.1%1.9%-33.5K3.6M-18.3K0.1540.42N/AN/A2034,0722,216
2008-01-16$36.50$40.0031.5%9.0%17.9%61.7%0.0%2.9%-0.5%-37.5K3.7M-17.3K0.0043.65N/AN/A054,0622,169
2008-01-17$35.57$40.0031.1%8.9%19.3%60.5%31.2%5.4%-2.4%-36.0K3.9M-16.3K2.6743.50N/AN/A30804,0622,172
2008-01-18$35.43$35.0036.8%10.6%18.6%76.9%35.2%2.2%-7.1%-40.8K4.2M-16.0K1.4559.98N/AN/A1301894,0922,252
2008-01-22$34.80$35.0073.5%21.1%19.0%100.0%50.6%33.2%-19.5%-19.9K3.1M-18.9K0.00111.71N/AN/A0972,2461,967
2008-01-23$36.31$35.0036.4%10.4%26.0%41.7%33.3%4.1%8.8%-51.2K3.9M-16.0K1.32107.02N/AN/A62822,2462,052
2008-01-24$37.12$35.0036.4%10.4%26.1%41.7%0.0%5.2%-2.4%-54.4K3.2M-18.7K0.1549.91N/AN/A4062,2372,099
2008-01-25$36.70$35.0037.0%10.6%26.2%42.6%34.3%2.8%-5.5%-58.9K3.1M-18.2K0.1151.31N/AN/A90102,2712,097
2008-01-28$37.21$35.0039.5%11.3%27.0%46.6%39.1%2.1%-6.6%-49.4K3.0M-19.2K0.1079.43N/AN/A1012,3302,107
2008-01-29$37.26$35.0037.5%10.7%26.8%43.4%26.8%4.7%-5.8%-53.4K3.1M-18.3K0.0538.06N/AN/A11462,3352,108
2008-01-30$37.52$35.0030.2%8.7%27.1%32.0%29.2%9.2%-2.4%-37.9K2.4M-19.9K0.1492.89N/AN/A147202,3992,114
2008-01-31$37.66$35.0024.6%7.0%26.4%23.1%34.4%7.1%-1.7%-28.3K2.5M-19.9K4.5029.83N/AN/A20902,5052,114