MFC Options History — July 2008

In July 2008, MFC traded between $33.74 and $38.14. ATM implied volatility averaged 34.3%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.8% (HV 20d: 32.5%). 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 7 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2008-07-28: Highest Volume — 890 contracts
  • 2008-07-23: Largest IV drop — 27.2% change
  • 2008-07-29: Highest IV Rank — 44.9%
  • 2008-07-29: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.85$33.74$38.14$34.33$36.83
Max Pain$35.68$35.00$40.00$40.00$35.00
ATM IV34.3%26.5%40.5%30.9%39.4%
Expected Move9.8%7.6%11.6%8.9%11.3%
HV 20d32.5%24.9%37.0%25.5%36.6%
HV 60d29.5%27.4%31.6%27.8%31.4%
IV Rank36.5%24.7%44.9%31.9%43.0%
IV Percentile87.0%58.3%95.6%81.7%94.4%
Term Structure-0.9%-5.2%5.6%-0.7%-2.7%
VWIV33.6%27.2%39.9%30.7%39.3%
Skew 25d7.9%1.8%14.4%11.1%9.8%
Skew 10d4.2%-3.6%13.0%6.2%6.5%
Call IV 25d22.0%17.3%25.7%19.1%20.6%
Put IV 25d29.9%26.1%31.7%30.1%30.4%
Bid-Ask Spread %52.8527.4676.9776.5657.17
Gamma HHI0.410.340.490.360.47
Net GEX51.7K16.0K79.8K30.2K79.6K
Net DEX-1.1M-2.3M366.8K-286.5K-1.7M
Net VEX-20.9K-27.5K-13.1K-18.1K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.003.750.200.10
Total Volume147.72738909011
Total OI3,340.3182,5584,2773,0334,277

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$34.33$40.0030.9%8.9%25.5%31.9%30.7%11.1%-0.7%30.2K-286.5K-18.1K0.2076.56N/AN/A75152,089944
2008-07-02$34.70$40.0030.6%8.8%26.1%31.3%0.0%11.9%0.3%42.7K-771.2K-19.2K0.5976.97N/AN/A51302,157942
2008-07-03$34.85$40.0030.8%8.8%25.7%31.6%0.0%12.0%0.5%44.5K-740.1K-18.7K0.0027.46N/AN/A302,190928
2008-07-07$34.77$35.0032.2%9.5%24.9%34.0%33.0%11.8%-2.6%44.6K-910.2K-19.3K3.7054.13N/AN/A10372,190928
2008-07-08$36.24$35.0033.8%9.5%29.5%36.5%33.1%4.3%-2.3%60.0K-1.2M-19.4K0.6060.77N/AN/A105632,191955
2008-07-09$35.09$35.0033.7%9.1%31.0%36.2%0.0%7.0%-1.8%48.3K-1.2M-19.6K0.0048.68N/AN/A3702,237985
2008-07-10$35.33$35.0032.5%9.3%31.0%34.4%32.5%6.9%-1.1%44.8K-938.0K-19.4K0.4346.07N/AN/A23102,229985
2008-07-11$34.80$35.0031.9%9.2%31.3%33.5%39.9%9.5%-1.0%38.3K-788.3K-19.4K0.1360.68N/AN/A3242,245995
2008-07-14$34.16$35.0035.6%10.2%30.6%39.3%0.0%9.6%-3.7%16.0K366.8K-13.1K2.8653.41N/AN/A14401,714844
2008-07-15$33.74$35.0035.7%10.2%29.4%39.6%32.9%6.4%-1.8%30.2K-409.4K-18.3K3.7531.34N/AN/A612292,2671,006
2008-07-16$35.28$35.0036.2%10.4%34.3%40.3%35.4%14.4%-1.9%33.9K-893.3K-19.8K0.1261.71N/AN/A85102,2711,062
2008-07-17$36.17$35.0036.5%10.5%35.6%40.9%36.5%8.1%-3.4%49.1K-1.5M-20.3K0.6061.03N/AN/A126752,3161,072
2008-07-18$36.78$35.0034.4%9.8%36.2%37.3%28.5%5.7%3.5%52.8K-1.7M-21.2K0.0562.66N/AN/A231112,2671,147
2008-07-21$36.77$35.0034.3%9.8%34.8%37.2%29.9%5.0%0.8%53.5K-1.5M-20.6K0.4932.27N/AN/A133651,8361,141
2008-07-22$37.15$35.0036.4%10.4%34.5%40.5%0.0%5.8%-2.7%48.5K-1.1M-20.7K0.4670.33N/AN/A2461131,8371,203
2008-07-23$38.14$35.0026.5%7.6%35.3%24.7%27.2%1.8%2.3%79.8K-2.3M-24.0K0.0139.29N/AN/A12812,0761,296
2008-07-24$36.75$35.0032.0%9.2%37.0%30.7%0.0%4.9%5.6%70.6K-1.7M-22.9K0.0443.84N/AN/A5422,1001,297
2008-07-25$36.88$35.0034.7%9.9%35.3%35.1%34.6%6.5%-0.7%70.2K-1.5M-23.0K0.3943.49N/AN/A31122,1161,299
2008-07-28$35.88$35.0039.1%11.2%36.8%42.5%38.9%6.9%-2.0%62.4K-1.2M-22.6K1.1847.23N/AN/A4084822,1451,288
2008-07-29$36.93$35.0040.5%11.6%36.9%44.9%0.0%5.7%-5.2%58.6K-1.2M-25.7K0.1658.24N/AN/A122202,4811,671
2008-07-30$37.08$35.0036.3%10.4%36.5%37.8%31.8%9.4%0.3%79.3K-1.8M-27.5K0.2949.26N/AN/A35102,6031,665
2008-07-31$36.83$35.0039.4%11.3%36.6%43.0%39.3%9.8%-2.7%79.6K-1.7M-27.5K0.1057.17N/AN/A1012,6111,666