MFC Options History — April 2008

In April 2008, MFC traded between $36.90 and $40.11. ATM implied volatility averaged 25.9%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 5.3% (HV 20d: 31.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2008-04-07: Highest Volume — 147 contracts
  • 2008-04-23: Largest IV spike — 34.3% change
  • 2008-04-14: Highest IV Rank — 36.2%
  • 2008-04-14: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.42$36.90$40.11$39.54$39.16
Max Pain$39.09$35.00$40.00$35.00$40.00
ATM IV25.9%20.0%33.6%26.3%25.6%
Expected Move7.6%6.2%9.6%7.6%7.3%
HV 20d31.2%26.5%34.6%34.6%27.0%
HV 60d28.8%27.9%29.3%29.1%29.0%
IV Rank23.8%14.4%36.2%24.5%23.3%
IV Percentile66.6%42.5%89.7%71.8%64.7%
Term Structure-0.5%-3.6%2.0%1.2%-2.0%
VWIV27.2%22.8%32.7%26.2%26.1%
Skew 25d7.0%3.8%9.1%4.8%8.5%
Skew 10d11.4%-1.0%18.5%10.6%11.9%
Call IV 25d23.0%20.0%26.1%26.1%20.0%
Put IV 25d30.0%28.5%32.2%30.9%28.5%
Bid-Ask Spread %49.1519.90101.7865.6480.36
Gamma HHI0.570.430.660.590.66
Net GEX123.2K52.4K186.7K145.0K186.7K
Net DEX-1.1M-2.5M-168.6K-1.8M-1.5M
Net VEX-14.7K-16.5K-12.8K-15.9K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.006.200.631.50
Total Volume54.77301475210
Total OI3,094.0912,7933,2472,9773,143

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$39.54$35.0026.3%7.6%34.6%24.5%26.2%4.8%1.2%145.0K-1.8M-15.9K0.6365.64N/AN/A32201,9521,025
2008-04-02$39.70$35.0025.9%7.4%34.6%23.8%22.8%5.0%1.5%159.1K-2.4M-16.4K0.5731.43N/AN/A28161,9701,042
2008-04-03$40.11$35.0026.4%7.6%34.3%24.6%26.4%3.8%1.7%164.8K-2.5M-16.5K6.2083.19N/AN/A5311,9761,057
2008-04-04$39.41$35.0023.5%7.9%33.6%20.0%27.4%3.9%-0.1%157.8K-2.1M-16.0K3.0052.44N/AN/A15451,9811,087
2008-04-07$39.15$40.0020.0%7.4%33.3%14.4%26.1%5.4%-0.5%146.2K-1.7M-15.7K0.4020.51N/AN/A105421,9711,129
2008-04-08$38.90$40.0022.3%7.6%31.2%18.1%0.0%6.3%-1.7%146.8K-1.5M-16.2K1.0019.90N/AN/A552,0661,171
2008-04-09$38.02$40.0025.3%6.3%32.3%22.9%0.0%9.1%-0.6%115.0K-958.8K-15.4K0.0037.76N/AN/A502,0711,171
2008-04-10$38.45$40.0026.2%7.5%32.5%24.3%25.9%8.9%-0.7%121.8K-847.3K-14.9K0.1935.17N/AN/A2652,0701,171
2008-04-11$37.35$40.0033.1%9.5%34.3%35.4%32.7%7.5%-3.6%73.3K-459.6K-14.8K6.1026.64N/AN/A201222,0761,171
2008-04-14$37.15$40.0033.6%9.6%33.6%36.2%0.0%7.5%-3.6%63.7K-297.4K-13.7K0.0029.07N/AN/A002,0601,155
2008-04-15$36.90$40.0031.8%9.1%31.6%33.2%32.1%7.7%-0.8%52.4K-168.6K-13.2K1.4329.84N/AN/A7102,0601,155
2008-04-16$37.80$40.0025.9%7.4%29.8%23.9%0.0%7.4%0.1%91.0K-506.9K-13.6K0.4426.23N/AN/A34152,0581,145
2008-04-17$37.56$40.0022.1%6.3%29.5%17.7%0.0%7.4%2.0%80.9K-550.8K-13.3K0.0041.31N/AN/A1002,0541,140
2008-04-18$38.58$40.0025.7%7.4%30.6%23.5%26.6%9.0%-0.8%148.3K-1.2M-14.1K0.0944.75N/AN/A115102,0631,140
2008-04-21$38.43$40.0025.7%7.4%28.3%23.6%0.0%8.3%-0.7%114.1K-922.5K-13.5K0.2723.83N/AN/A74201,893900
2008-04-22$38.05$40.0023.5%6.7%28.5%19.9%26.6%8.1%0.3%101.3K-671.1K-13.0K0.0047.50N/AN/A501,893900
2008-04-23$37.26$40.0031.5%9.0%29.5%32.8%0.0%5.7%-0.4%90.5K-356.9K-12.8K0.5486.72N/AN/A61331,969920
2008-04-24$38.32$40.0024.9%7.1%30.2%22.2%0.0%5.9%0.1%110.6K-646.5K-13.1K0.74101.78N/AN/A73542,003953
2008-04-25$37.96$40.0021.7%6.2%30.1%17.0%0.0%7.4%1.2%128.7K-856.1K-14.7K1.1876.71N/AN/A51602,076987
2008-04-28$38.78$40.0023.3%6.7%30.3%19.7%0.0%8.1%-1.7%154.4K-1.2M-15.5K0.0077.03N/AN/A1102,121997
2008-04-29$38.63$40.0025.6%7.3%26.5%23.4%26.1%8.2%-1.4%157.6K-1.2M-15.1K1.5043.38N/AN/A10152,131997
2008-04-30$39.16$40.0025.6%7.3%27.0%23.3%0.0%8.5%-2.0%186.7K-1.5M-15.4K0.0080.36N/AN/A0102,1361,007