MFC Options History — August 2008

In August 2008, MFC traded between $33.89 and $36.06. ATM implied volatility averaged 31.6%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.1% (HV 20d: 32.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2008-08-11: Highest Volume — 249 contracts
  • 2008-08-13: Largest IV drop — 15.9% change
  • 2008-08-04: Highest IV Rank — 43.9%
  • 2008-08-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.12$33.89$36.06$35.67$35.79
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV31.6%26.0%40.4%36.0%26.0%
Expected Move8.5%7.5%10.3%10.3%7.5%
HV 20d32.7%26.4%38.7%38.6%26.7%
HV 60d30.2%29.4%31.9%31.9%30.7%
IV Rank29.0%19.6%43.9%37.4%19.6%
IV Percentile71.7%49.2%95.2%89.3%49.2%
Term Structure0.1%-3.8%3.0%-0.8%2.4%
VWIV30.2%18.8%53.0%53.0%27.6%
Skew 25d8.1%-2.0%13.3%-2.0%7.7%
Skew 10d5.9%-3.4%10.8%-3.4%7.1%
Call IV 25d22.3%17.8%29.9%29.9%20.8%
Put IV 25d30.4%27.9%35.1%27.9%28.5%
Bid-Ask Spread %43.8821.4072.2861.8726.40
Gamma HHI0.450.420.470.430.46
Net GEX19.7K-26.7K66.8K46.1K3.9K
Net DEX-55.0K-809.6K659.1K-568.9K-478.5K
Net VEX-21.3K-25.3K-18.3K-25.3K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.009.831.640.00
Total Volume51.4290249373
Total OI4,260.3334,0584,4864,2824,207

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$35.67$35.0036.0%10.3%38.6%37.4%53.0%-2.0%-0.8%46.1K-568.9K-25.3K1.6461.87N/AN/A14232,6151,667
2008-08-04$35.46$35.0040.4%10.1%38.7%43.9%27.8%10.6%-3.8%44.8K-386.9K-24.6K0.0033.45N/AN/A6302,6151,667
2008-08-05$36.06$35.0038.6%9.8%36.2%40.9%28.5%12.9%-2.5%58.5K-809.1K-25.3K0.0361.68N/AN/A15442,6631,667
2008-08-06$35.95$35.0035.8%9.7%34.2%36.1%33.9%13.3%-2.4%66.8K-809.6K-24.8K0.4339.13N/AN/A30132,7831,671
2008-08-07$34.52$35.0035.5%8.7%37.2%35.6%30.4%4.0%-1.5%21.2K411.8K-22.4K2.0449.36N/AN/A27552,8121,674
2008-08-08$35.12$35.0035.3%8.5%37.4%35.2%0.0%10.4%0.4%32.3K213.0K-21.7K0.0046.12N/AN/A5102,7671,652
2008-08-11$35.32$35.0036.5%8.7%36.7%37.3%33.8%7.5%-1.3%54.7K-325.4K-22.8K9.8350.37N/AN/A232262,7901,652
2008-08-12$35.49$35.0038.1%8.2%36.3%40.0%28.8%6.9%0.4%46.4K-280.5K-22.2K0.5872.28N/AN/A60352,7871,587
2008-08-13$34.98$35.0032.0%8.4%33.2%29.7%29.2%10.1%0.8%33.8K391.9K-20.6K0.1350.35N/AN/A1522,7971,581
2008-08-14$35.40$35.0028.8%8.3%32.2%24.2%28.8%6.3%0.4%39.6K-155.7K-20.9K0.0048.95N/AN/A042,7971,582
2008-08-15$35.38$35.0028.7%8.2%31.5%24.1%28.7%6.9%0.7%33.9K-216.6K-21.5K0.0042.06N/AN/A302,7091,580
2008-08-18$34.84$35.0028.4%8.1%31.8%23.6%29.4%12.2%0.4%7.9K-123.7K-20.5K1.6046.79N/AN/A10162,5971,473
2008-08-19$33.89$35.0029.4%8.4%32.6%25.3%0.0%11.1%-0.7%-11.7K527.7K-19.2K0.0049.82N/AN/A702,6071,451
2008-08-20$34.45$35.0028.6%8.2%31.5%23.9%18.8%8.8%0.5%-16.5K536.3K-19.1K1.5943.65N/AN/A22352,6141,451
2008-08-21$34.71$35.0028.4%8.1%29.4%23.6%28.4%10.2%0.6%-3.8K150.2K-20.0K1.7651.55N/AN/A17302,6271,467
2008-08-22$35.01$35.0027.0%7.7%29.6%21.2%26.4%6.5%3.0%-11.7K222.4K-19.6K0.5921.70N/AN/A51302,6421,485
2008-08-25$34.36$35.0026.7%7.7%28.8%20.7%0.0%6.8%2.1%-18.2K294.3K-18.9K0.0021.40N/AN/A002,6871,485
2008-08-26$34.27$35.0027.6%7.9%26.4%22.1%27.6%8.2%0.9%-26.7K659.1K-18.3K0.1253.04N/AN/A1722,6871,485
2008-08-27$35.15$35.0027.5%7.9%28.2%22.0%0.0%6.0%1.2%-7.2K137.2K-18.9K0.0025.15N/AN/A2902,6951,485
2008-08-28$35.74$35.0027.6%7.9%29.0%22.2%0.0%6.6%0.7%20.5K-544.8K-20.3K0.0026.37N/AN/A902,7221,485
2008-08-29$35.79$35.0026.0%7.5%26.7%19.6%0.0%7.7%2.4%3.9K-478.5K-19.9K0.0026.40N/AN/A302,7221,485