MFC Options History — June 2008

In June 2008, MFC traded between $34.71 and $38.50. ATM implied volatility averaged 24.2%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.4% (HV 20d: 24.6%). 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 19 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-06-26: Highest Volume — 303 contracts
  • 2008-06-09: Largest IV spike — 36.0% change
  • 2008-06-30: Highest IV Rank — 29.2%
  • 2008-06-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.15$34.71$38.50$38.46$34.71
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV24.2%18.0%29.2%21.7%29.2%
Expected Move7.0%5.2%8.4%6.2%8.4%
HV 20d24.6%21.5%31.8%31.8%25.5%
HV 60d28.6%27.0%30.3%30.3%27.7%
IV Rank21.1%11.2%29.2%17.2%29.2%
IV Percentile51.6%15.9%76.2%39.3%76.2%
Term Structure1.6%-1.2%4.6%1.4%1.3%
VWIV23.8%15.4%29.2%15.4%29.2%
Skew 25d3.5%-5.8%12.3%-3.6%12.0%
Skew 10d2.6%-6.6%17.6%-5.0%7.1%
Call IV 25d22.5%18.5%27.7%22.6%18.5%
Put IV 25d26.0%17.3%31.4%18.9%30.5%
Bid-Ask Spread %44.4324.5281.8756.3828.55
Gamma HHI0.550.390.690.650.39
Net GEX105.7K38.2K201.8K166.2K38.2K
Net DEX-446.1K-1.0M201.9K-1.0M-544.1K
Net VEX-18.7K-20.9K-16.6K-18.3K-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.003.230.160.58
Total Volume92.333030329057
Total OI3,696.4762,5474,3463,7732,987

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$38.46$40.0021.7%6.2%31.8%17.2%0.0%-3.6%1.4%166.2K-1.0M-18.3K0.1656.38N/AN/A250402,4651,308
2008-06-03$38.07$40.0018.9%5.4%31.3%12.6%0.0%-4.5%1.5%164.0K-956.7K-19.9K2.1361.23N/AN/A30642,6431,343
2008-06-04$37.97$40.0019.6%5.6%31.1%13.7%0.0%6.7%0.3%158.2K-825.7K-20.9K0.7732.90N/AN/A13102,6531,407
2008-06-05$38.36$40.0018.0%5.2%30.9%11.2%15.4%-1.9%2.0%168.9K-820.5K-20.7K1.0059.05N/AN/A10102,6541,407
2008-06-06$37.51$40.0021.3%5.4%23.6%16.4%0.0%-5.8%2.2%137.1K-651.7K-19.8K0.0047.23N/AN/A1202,6441,397
2008-06-09$37.19$40.0028.9%8.4%22.8%28.7%0.0%12.3%-1.2%90.6K-91.6K-19.0K3.2339.28N/AN/A22712,6561,397
2008-06-10$37.64$40.0024.8%6.6%22.9%22.1%21.8%-4.5%3.5%120.7K-339.2K-19.4K0.0038.35N/AN/A4102,6441,388
2008-06-11$37.19$40.0021.9%8.0%23.1%17.4%24.9%-1.0%0.0%69.0K-40.6K-17.8K0.8341.82N/AN/A652,6701,388
2008-06-12$36.82$40.0026.7%7.6%23.2%25.1%28.4%5.2%3.5%60.1K201.9K-17.9K0.3337.23N/AN/A1552,6741,393
2008-06-13$37.53$40.0019.5%5.6%21.5%13.6%0.0%6.7%4.6%81.1K88.6K-17.8K0.0843.75N/AN/A2422,6891,398
2008-06-16$38.24$40.0022.6%6.5%22.6%18.6%22.8%2.4%2.0%143.9K-516.1K-18.5K0.1338.21N/AN/A178242,7031,399
2008-06-17$38.50$40.0021.5%6.2%21.7%16.8%21.8%1.6%3.5%201.8K-899.5K-19.9K0.0936.89N/AN/A149132,8371,419
2008-06-18$37.94$40.0023.9%6.8%21.9%20.6%0.0%3.7%0.6%148.5K-670.6K-19.7K2.6044.17N/AN/A30782,9311,415
2008-06-19$37.69$40.0024.5%7.0%21.8%21.6%0.0%4.3%0.0%137.4K-632.3K-19.1K0.0081.87N/AN/A002,9511,349
2008-06-20$36.67$40.0027.0%7.8%23.1%25.6%0.0%10.2%2.4%70.8K-186.1K-18.3K1.2852.10N/AN/A53682,9511,349
2008-06-23$36.13$40.0026.8%7.7%23.5%25.2%0.0%5.9%-0.9%57.4K-390.0K-17.2K0.9238.14N/AN/A26241,714833
2008-06-24$35.75$40.0027.7%7.9%22.3%26.7%27.7%6.2%0.6%47.0K-138.1K-16.6K3.0040.53N/AN/A12361,731854
2008-06-25$36.67$40.0026.9%7.7%22.9%25.4%0.0%5.1%2.8%67.5K-502.0K-18.2K0.2246.67N/AN/A69151,743880
2008-06-26$35.58$40.0027.5%7.9%24.5%26.4%27.5%6.2%1.8%47.9K-313.4K-18.0K0.3644.19N/AN/A223801,789892
2008-06-27$35.55$40.0028.9%8.3%24.5%28.7%18.3%6.1%1.3%43.3K-132.1K-17.1K0.6024.52N/AN/A109651,789892
2008-06-30$34.71$40.0029.2%8.4%25.5%29.2%29.2%12.0%1.3%38.2K-544.1K-18.6K0.5828.55N/AN/A36212,054933