MFC Options History — March 2008

In March 2008, MFC traded between $34.63 and $38.42. ATM implied volatility averaged 32.2%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 2.5% (HV 20d: 29.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.46.

Notable Days

  • 2008-03-25: Highest Volume — 305 contracts
  • 2008-03-18: Largest IV spike — 88.4% change
  • 2008-03-18: Highest IV Rank — 87.5%
  • 2008-03-18: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.75$34.63$38.42$37.96$37.98
Max Pain$36.00$35.00$40.00$40.00$35.00
ATM IV32.2%21.9%65.7%21.9%27.9%
Expected Move9.2%6.3%18.8%6.3%8.0%
HV 20d29.7%23.8%34.5%26.1%32.3%
HV 60d25.6%23.2%27.9%23.3%27.9%
IV Rank33.9%17.5%87.5%17.5%27.0%
IV Percentile83.2%59.5%99.6%62.3%75.8%
Term Structure-1.1%-25.0%10.0%1.6%-0.7%
VWIV32.4%19.5%82.2%24.9%27.3%
Skew 25d7.1%-5.4%29.6%7.0%7.2%
Skew 10d12.6%-5.1%50.8%9.1%11.6%
Call IV 25d27.3%21.5%35.9%23.6%26.0%
Put IV 25d34.4%20.5%62.2%30.6%33.2%
Bid-Ask Spread %62.3827.22116.1545.7073.08
Gamma HHI0.430.300.650.350.44
Net GEX-18.4K-124.1K74.7K-6.4K74.7K
Net DEX2.0M-797.9K4.1M2.0M-797.9K
Net VEX-15.1K-18.6K-12.2K-17.9K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.0024.501.640.47
Total Volume9733052963
Total OI4,507.32,4135,4735,1852,935

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$37.96$40.0021.9%6.3%26.1%17.5%24.9%7.0%1.6%-6.4K2.0M-17.9K1.6445.70N/AN/A11183,1152,070
2008-03-04$37.79$40.0023.3%6.7%26.1%19.7%0.0%9.3%2.7%-14.2K2.4M-17.2K0.0248.41N/AN/A5213,1102,070
2008-03-05$38.42$40.0023.2%6.7%23.8%19.5%0.0%-5.4%-1.0%5.2K1.5M-18.6K0.3059.36N/AN/A3093,1612,071
2008-03-06$37.46$40.0038.3%11.0%25.4%43.7%0.0%-0.9%-25.0%-2.9K2.0M-18.5K0.0058.33N/AN/A033,1712,080
2008-03-07$37.00$35.0033.2%8.6%25.8%35.5%19.5%6.3%0.2%-15.8K2.6M-16.9K7.0067.65N/AN/A173,1712,083
2008-03-10$35.92$35.0034.4%9.7%28.0%37.3%34.8%2.3%-2.8%-33.4K3.4M-14.8K0.0066.68N/AN/A02453,1702,089
2008-03-11$36.47$35.0030.6%8.9%28.4%31.3%28.2%-3.4%-1.1%-64.3K3.9M-15.1K0.5343.49N/AN/A47253,1702,303
2008-03-12$36.52$35.0028.1%8.9%27.3%27.3%26.2%8.1%0.3%-44.3K3.2M-14.7K0.0051.13N/AN/A1203,1952,184
2008-03-13$36.38$35.0031.1%8.9%27.1%32.1%31.2%8.8%-0.9%-60.5K3.6M-14.1K1.3341.36N/AN/A343,1972,184
2008-03-14$35.71$35.0033.6%9.6%27.8%36.1%33.6%5.9%-2.6%-73.8K3.5M-13.7K0.0087.14N/AN/A0353,2002,076
2008-03-17$34.63$35.0034.9%10.0%29.6%38.2%42.8%6.1%-3.0%-98.3K4.1M-12.2K4.7567.83N/AN/A8383,2002,060
2008-03-18$35.99$35.0065.7%18.8%33.2%87.5%82.2%29.6%-8.7%-71.9K3.0M-15.1K0.54116.15N/AN/A1851003,2002,078
2008-03-19$35.57$35.0035.7%10.2%32.1%39.5%31.3%10.2%-1.2%-38.7K2.9M-14.8K24.5098.98N/AN/A102453,2252,078
2008-03-20$35.50$35.0035.7%10.2%32.0%39.5%35.3%9.5%-2.8%-124.1K3.6M-12.7K0.1779.72N/AN/A60103,2302,068
2008-03-24$36.80$35.0027.9%8.0%34.3%27.1%29.3%7.1%10.0%4.6K134.8K-13.1K0.1864.87N/AN/A138251,431982
2008-03-25$37.13$35.0033.6%9.6%34.5%36.1%34.6%7.5%1.0%17.3K-42.4K-13.5K0.0738.25N/AN/A285201,478981
2008-03-26$36.85$35.0032.7%9.4%32.8%34.7%24.4%8.9%-0.0%42.4K-169.6K-14.1K0.0027.22N/AN/A7801,735981
2008-03-27$37.64$35.0022.7%6.5%33.9%18.7%22.3%11.0%5.3%64.8K-729.0K-15.4K0.1061.82N/AN/A5251,803981
2008-03-28$37.24$35.0029.8%8.5%33.9%30.0%23.4%6.1%5.6%71.4K-763.9K-15.2K0.2650.45N/AN/A91241,849981
2008-03-31$37.98$35.0027.9%8.0%32.3%27.0%27.3%7.2%-0.7%74.7K-797.9K-14.9K0.4773.08N/AN/A43201,9301,005