MFC Options History — September 2008

In September 2008, MFC traded between $31.56 and $37.39. ATM implied volatility averaged 36.0%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 0.4% (HV 20d: 35.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 7.78.

Notable Days

  • 2008-09-11: Highest Volume — 1,230 contracts
  • 2008-09-17: Largest IV spike — 29.0% change
  • 2008-09-17: Highest IV Rank — 54.1%
  • 2008-09-17: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.34$31.56$37.39$35.35$36.69
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV36.0%26.4%46.4%26.4%44.8%
Expected Move10.3%7.6%13.3%7.6%12.8%
HV 20d35.6%24.9%45.7%26.9%45.2%
HV 60d33.9%30.4%37.3%30.4%37.1%
IV Rank36.5%20.2%54.1%20.2%51.3%
IV Percentile80.8%50.4%98.4%50.8%98.0%
Term Structure-1.8%-10.5%18.6%1.1%-5.9%
VWIV39.4%23.3%57.2%27.8%35.3%
Skew 25d8.9%0.6%21.1%8.1%0.6%
Skew 10d15.6%3.2%29.0%7.7%24.8%
Call IV 25d21.8%17.5%27.5%22.1%23.1%
Put IV 25d30.7%23.7%43.0%30.2%23.7%
Bid-Ask Spread %67.1427.02152.5427.0278.07
Gamma HHI0.490.320.580.460.54
Net GEX-14.0K-134.7K94.9K-10.1K86.2K
Net DEX-487.0K-3.0M3.4M-551.0K-2.7M
Net VEX-20.3K-23.7K-16.9K-19.1K-22.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.780.0067.750.002.74
Total Volume177.14391,23020101
Total OI4,679.6674,0656,3674,2104,311

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$35.35$35.0026.4%7.6%26.9%20.2%0.0%8.1%1.1%-10.1K-551.0K-19.1K0.0027.02N/AN/A2002,7251,485
2008-09-03$36.05$35.0028.2%8.1%27.2%23.3%0.0%8.3%0.1%-4.2K-482.8K-18.6K0.0032.63N/AN/A5002,7051,485
2008-09-04$34.98$35.0026.6%7.6%29.2%20.6%0.0%1.5%0.3%-27.4K-254.1K-18.8K0.9431.65N/AN/A16152,7451,485
2008-09-05$34.99$35.0026.9%8.1%25.3%21.0%0.0%8.4%0.4%-44.3K226.1K-18.3K0.0066.30N/AN/A902,7611,489
2008-09-08$35.44$35.0026.5%7.8%24.9%20.4%0.0%10.2%0.3%-43.0K-340.3K-17.2K0.0083.15N/AN/A3502,7621,489
2008-09-09$34.49$35.0029.0%8.0%26.7%24.6%27.8%10.2%-0.5%-62.6K290.7K-16.9K0.0073.77N/AN/A8202,7381,489
2008-09-10$35.46$35.0031.2%8.2%28.6%28.2%0.0%13.0%0.3%-35.5K-298.2K-18.5K1.8085.19N/AN/A10182,7811,489
2008-09-11$35.84$35.0032.2%9.2%28.3%30.0%32.2%7.7%-2.6%-63.9K-315.0K-17.4K1.0874.58N/AN/A5906402,7911,489
2008-09-12$35.12$35.0032.1%9.2%28.9%29.8%23.3%7.6%-1.9%-87.7K-53.3K-22.4K5.7075.47N/AN/A10573,2902,084
2008-09-15$34.59$35.0035.4%10.2%29.4%35.5%57.2%15.8%-4.2%-84.7K276.9K-22.1K5.5861.83N/AN/A713963,3002,095
2008-09-16$33.50$35.0036.0%10.3%31.0%36.5%46.7%21.1%-3.9%-80.5K2.5M-19.6K67.7564.01N/AN/A42713,3232,364
2008-09-17$31.56$35.0046.4%13.3%36.2%54.1%34.6%21.1%-6.7%-54.6K3.4M-17.3K64.2066.53N/AN/A106423,3272,490
2008-09-18$33.34$35.0044.3%12.7%41.2%50.5%54.0%13.1%-10.5%-99.6K2.1M-20.8K4.0365.93N/AN/A391573,3373,016
2008-09-19$35.15$35.0043.6%12.5%45.5%49.4%45.7%7.7%-10.4%-134.7K-426.0K-23.7K0.9372.10N/AN/A40373,3503,017
2008-09-22$35.64$35.0042.8%12.3%45.7%47.9%41.9%1.7%-4.6%52.8K-1.6M-22.6K0.0653.90N/AN/A12272,4641,601
2008-09-23$36.18$35.0041.5%11.9%45.3%45.7%39.4%5.1%-2.4%66.3K-2.1M-22.9K0.0065.74N/AN/A5202,5381,589
2008-09-24$36.42$35.0043.0%12.3%45.3%48.2%42.9%7.6%-4.2%68.3K-2.1M-22.7K0.0046.64N/AN/A1402,5641,589
2008-09-25$37.39$35.0038.7%11.1%45.3%41.1%31.2%2.1%0.9%88.4K-3.0M-22.0K0.0865.69N/AN/A123102,5651,589
2008-09-26$36.99$35.0043.2%12.4%45.3%48.6%44.1%8.1%-1.4%94.9K-2.7M-22.5K0.0067.20N/AN/A0202,6771,599
2008-09-29$37.00$35.0037.4%10.7%45.3%38.8%34.9%7.6%18.6%82.6K-2.1M-19.8K0.68152.54N/AN/A31212,6771,609
2008-09-30$36.69$35.0044.8%12.8%45.2%51.3%35.3%0.6%-5.9%86.2K-2.7M-22.5K2.7478.07N/AN/A27742,6981,613