MFC Options History — February 2008

In February 2008, MFC traded between $36.22 and $40.21. ATM implied volatility averaged 31.5%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.5% (HV 20d: 25.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2008-02-20: Highest Volume — 336 contracts
  • 2008-02-05: Largest IV spike — 69.2% change
  • 2008-02-13: Highest IV Rank — 85.4%
  • 2008-02-12: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.78$36.22$40.21$38.12$38.71
Max Pain$39.75$35.00$40.00$35.00$40.00
ATM IV31.5%18.2%64.4%22.8%18.2%
Expected Move7.9%5.2%9.8%6.5%5.2%
HV 20d25.1%19.5%28.7%26.9%25.4%
HV 60d24.1%22.4%26.7%26.7%23.7%
IV Rank32.8%11.5%85.4%18.9%11.5%
IV Percentile78.8%40.1%99.6%70.6%40.1%
Term Structure-0.7%-4.5%5.5%-1.1%5.5%
VWIV24.9%16.4%33.1%17.0%17.9%
Skew 25d5.3%-1.8%9.3%8.7%-0.3%
Skew 10d7.6%-2.0%15.3%9.1%-0.7%
Call IV 25d25.0%19.0%29.9%23.9%19.0%
Put IV 25d30.3%18.5%35.6%32.6%18.7%
Bid-Ask Spread %30.9912.8463.6330.7563.63
Gamma HHI0.360.290.610.310.35
Net GEX-25.7K-56.5K35.1K-23.8K9.1K
Net DEX2.4M-1.2M3.9M2.2M644.3K
Net VEX-18.2K-21.3K-15.7K-20.1K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.003.560.432.10
Total Volume107.75263366356
Total OI5,027.354,6735,3454,6735,185

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$38.12$35.0022.8%6.5%26.9%18.9%17.0%8.7%-1.1%-23.8K2.2M-20.1K0.4330.75N/AN/A44192,5252,148
2008-02-04$37.87$40.0023.4%8.1%26.3%19.8%16.4%7.4%-2.5%-26.5K2.4M-19.5K0.0035.13N/AN/A4502,5582,160
2008-02-05$36.68$40.0039.6%9.7%28.4%45.7%0.0%5.2%-4.1%-45.1K3.5M-16.3K1.5828.16N/AN/A31492,5892,152
2008-02-06$36.27$40.0038.2%9.7%28.3%43.5%30.8%5.0%-4.5%-50.4K3.8M-16.0K1.0029.01N/AN/A13132,6062,187
2008-02-07$36.45$40.0040.6%9.7%28.2%47.4%28.9%5.7%-3.4%-49.1K3.7M-16.5K3.5631.19N/AN/A16572,6182,189
2008-02-08$36.45$40.0041.0%9.7%28.2%48.0%27.1%6.7%-3.9%-56.5K3.9M-15.9K0.0429.35N/AN/A22782,6192,237
2008-02-11$36.22$40.0043.2%9.7%27.5%51.5%24.4%7.2%-3.3%-41.5K3.8M-16.2K1.7431.81N/AN/A50872,8462,240
2008-02-12$37.01$40.0051.1%9.8%28.7%64.2%33.1%4.1%-4.0%-34.5K3.3M-17.5K2.6838.11N/AN/A591582,8842,253
2008-02-13$37.30$40.0064.4%9.5%27.4%85.4%28.4%5.4%-3.1%-37.2K3.1M-17.6K1.8812.84N/AN/A26492,8902,320
2008-02-14$37.23$40.0032.5%9.3%27.2%34.4%29.3%2.7%-2.5%-48.2K3.2M-17.5K0.7116.09N/AN/A55392,9032,361
2008-02-15$37.06$40.0031.4%9.0%25.4%32.6%28.6%3.0%-1.9%-52.0K3.5M-16.9K0.5716.16N/AN/A40232,9482,397
2008-02-19$36.96$40.0030.7%8.8%25.4%31.5%30.3%4.2%-1.3%-54.5K3.6M-15.7K0.3019.10N/AN/A40122,6332,172
2008-02-20$37.80$40.0023.4%6.7%25.2%19.8%24.2%6.4%4.0%-53.3K3.0M-16.9K0.1920.80N/AN/A282542,6652,174
2008-02-21$37.99$40.0023.5%6.7%20.8%20.0%24.5%6.1%2.8%-31.1K2.6M-19.0K0.2017.78N/AN/A150302,9262,204
2008-02-22$38.57$40.0021.2%6.1%20.0%16.3%23.3%3.3%0.2%-16.1K2.3M-19.5K0.1340.64N/AN/A75103,0662,204
2008-02-25$38.79$40.0020.3%5.8%19.5%14.9%20.4%-1.8%3.1%-2.6K1.8M-19.8K0.6048.45N/AN/A50303,0222,208
2008-02-26$39.81$40.0021.8%6.2%20.8%17.2%21.6%8.4%0.7%29.9K420-21.2K0.3061.23N/AN/A33103,0472,145
2008-02-27$40.02$40.0021.6%6.2%20.8%16.9%21.6%9.0%1.7%35.1K-814.4K-21.3K0.2024.30N/AN/A76153,0582,065
2008-02-28$40.21$40.0021.3%6.1%20.8%16.5%0.0%9.3%3.5%34.8K-1.2M-21.3K2.1025.27N/AN/A40843,0752,068
2008-02-29$38.71$40.0018.2%5.2%25.4%11.5%17.9%-0.3%5.5%9.1K644.3K-19.8K0.0063.63N/AN/A0563,1152,070