MFC Options History — May 2008

In May 2008, MFC traded between $36.40 and $39.55. ATM implied volatility averaged 25.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 5.5% (HV 20d: 31.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2008-05-20: Highest Volume — 356 contracts
  • 2008-05-13: Largest IV drop — 27.4% change
  • 2008-05-12: Highest IV Rank — 34.6%
  • 2008-05-09: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.45$36.40$39.55$39.09$38.67
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV25.6%19.7%32.6%28.8%21.1%
Expected Move6.9%5.5%8.4%8.3%6.0%
HV 20d31.0%26.3%33.5%26.7%32.0%
HV 60d30.5%28.2%31.7%28.2%30.7%
IV Rank23.3%14.0%34.6%28.5%16.1%
IV Percentile59.2%25.8%86.5%77.0%35.3%
Term Structure-0.3%-7.9%3.1%-7.9%0.9%
VWIV24.8%16.2%31.7%31.7%23.1%
Skew 25d4.5%-2.5%8.4%7.2%-2.5%
Skew 10d6.8%-8.2%13.3%11.0%-2.8%
Call IV 25d22.5%19.4%29.3%20.8%21.4%
Put IV 25d27.0%19.0%29.9%28.0%19.0%
Bid-Ask Spread %54.0730.1497.0167.8649.03
Gamma HHI0.620.410.800.650.69
Net GEX155.4K34.8K346.1K165.7K193.3K
Net DEX-968.7K-1.9M655.6K-1.4M-1.4M
Net VEX-15.3K-19.4K-11.4K-14.7K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.006.371.603.67
Total Volume107.905103565210
Total OI3,438.192,9413,7633,1433,763

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$39.09$40.0028.8%8.3%26.7%28.5%31.7%7.2%-7.9%165.7K-1.4M-14.7K1.6067.86N/AN/A20322,1361,007
2008-05-02$39.55$40.0029.2%8.4%26.3%29.2%29.3%8.4%-5.9%195.6K-1.8M-15.2K0.0053.15N/AN/A2002,1411,029
2008-05-05$38.82$40.0030.7%7.4%27.1%31.5%25.7%7.2%-1.2%177.0K-1.3M-14.7K0.2056.11N/AN/A270552,1411,029
2008-05-06$39.17$40.0032.0%7.1%27.2%33.6%27.9%2.1%0.3%204.6K-1.1M-14.5K0.0697.01N/AN/A3622,3231,078
2008-05-07$38.61$40.0027.7%6.8%26.3%26.7%0.0%8.4%0.5%213.1K-1.3M-14.8K4.5072.87N/AN/A20902,3211,078
2008-05-08$36.40$40.0031.8%7.8%33.5%33.3%27.8%-2.0%0.1%34.8K655.6K-11.4K6.3783.18N/AN/A271722,3211,121
2008-05-09$37.13$40.0026.8%8.4%32.9%25.3%20.8%4.7%-1.3%73.5K245.4K-13.7K0.4354.05N/AN/A69302,3281,256
2008-05-12$37.54$40.0032.6%6.5%33.0%34.6%27.2%6.1%3.1%69.2K104.3K-13.5K0.5149.99N/AN/A59302,3681,252
2008-05-13$37.86$40.0023.7%7.0%33.0%20.3%26.6%3.8%0.3%103.1K-206.1K-14.1K0.1730.14N/AN/A66112,4121,267
2008-05-14$38.02$40.0024.6%5.5%32.0%21.8%23.6%4.9%1.8%128.2K-533.2K-14.8K0.3950.21N/AN/A28112,4501,277
2008-05-15$39.18$40.0022.9%6.6%33.5%19.0%16.2%7.9%2.9%346.1K-1.3M-14.7K0.0040.32N/AN/A1402,4771,277
2008-05-16$38.92$40.0024.4%7.0%32.3%21.4%25.7%4.3%0.6%228.2K-1.1M-15.0K0.1238.10N/AN/A131162,4731,277
2008-05-19$38.19$40.0022.7%6.5%33.0%18.7%24.7%5.8%0.1%66.4K-395.4K-14.0K0.2485.84N/AN/A74181,8231,118
2008-05-20$38.67$40.0022.3%6.4%33.1%18.1%22.5%5.3%0.9%86.4K-785.0K-14.4K0.0334.54N/AN/A34791,8681,097
2008-05-21$38.38$40.0023.6%6.8%32.3%20.1%23.6%4.4%-1.7%144.7K-1.4M-16.1K0.3442.26N/AN/A32112,1951,102
2008-05-22$38.87$40.0022.6%6.5%31.1%18.5%22.6%6.0%0.6%160.0K-1.5M-16.6K0.3940.05N/AN/A51202,2231,101
2008-05-23$38.84$40.0022.9%6.6%30.8%19.0%22.9%6.2%-0.6%166.3K-1.6M-17.0K0.2539.06N/AN/A160402,2591,116
2008-05-27$37.88$40.0019.7%5.7%31.2%14.0%0.0%3.8%0.7%131.7K-807.7K-17.2K0.3645.06N/AN/A28102,4091,126
2008-05-28$38.70$40.0023.0%6.6%32.2%19.2%23.1%5.0%-0.2%176.5K-1.5M-18.0K1.0059.02N/AN/A30302,4311,128
2008-05-29$39.00$40.0023.4%6.7%31.9%19.7%0.0%-2.2%-0.3%199.2K-1.9M-17.8K3.6747.59N/AN/A401472,4461,158
2008-05-30$38.67$40.0021.1%6.0%32.0%16.1%0.0%-2.5%0.9%193.3K-1.4M-19.4K0.0049.03N/AN/A0102,4651,298