MFC Options History — October 2008

In October 2008, MFC traded between $16.55 and $36.66. ATM implied volatility averaged 89.3%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 11.0% (HV 20d: 100.3%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 4.84.

Notable Days

  • 2008-10-09: Highest Volume — 1,663 contracts
  • 2008-10-07: Largest IV spike — 37.8% change
  • 2008-10-08: Highest IV Rank — 100.0%
  • 2008-10-28: Largest Expected Move — 31.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.89$16.55$36.66$36.66$20.09
Max Pain$28.04$25.00$35.00$35.00$25.00
ATM IV89.3%39.1%139.0%47.0%98.1%
Expected Move23.4%11.2%31.1%13.5%28.1%
HV 20d100.3%44.7%140.2%44.7%139.8%
HV 60d65.6%36.1%87.7%36.1%87.5%
IV Rank69.7%41.7%100.0%55.1%67.1%
IV Percentile97.8%90.5%100.0%98.4%96.8%
Term Structure-11.5%-19.5%-4.3%-5.1%-17.7%
VWIV83.6%44.8%123.2%68.8%96.6%
Skew 25d22.1%8.8%60.3%8.8%22.6%
Skew 10d30.8%-7.2%80.5%26.4%19.0%
Call IV 25d65.0%20.9%102.5%22.5%81.9%
Put IV 25d87.1%31.3%138.0%31.3%104.5%
Bid-Ask Spread %75.2052.33121.1176.9452.33
Gamma HHI0.360.160.770.550.16
Net GEX-6.5K-93.8K86.2K86.2K-1.7K
Net DEX2.4M-2.5M5.7M-2.5M2.2M
Net VEX-10.3K-22.2K-3.4K-22.2K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.840.0448.000.045.62
Total Volume205.174361,66371483
Total OI4,748.4783,7736,0524,3564,412

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$36.66$35.0047.0%13.5%44.7%55.1%0.0%8.8%-5.1%86.2K-2.5M-22.2K0.0476.94N/AN/A6832,7051,651
2008-10-02$34.40$35.0050.4%14.4%49.1%60.8%68.8%14.4%-8.1%51.2K-921.7K-21.1K21.0068.11N/AN/A2422,7351,654
2008-10-03$34.05$35.0039.1%11.2%49.2%41.7%48.1%11.7%-7.5%36.3K-126.7K-19.9K0.57112.90N/AN/A40232,7371,693
2008-10-06$32.75$35.0049.9%12.9%50.7%60.0%44.8%13.3%-4.3%17.4K1.1M-17.0K1.2961.12N/AN/A48622,7701,694
2008-10-07$28.70$35.0068.7%16.3%67.8%91.9%50.5%22.0%-7.0%-1.4K2.4M-12.8K1.2663.48N/AN/A69872,7851,704
2008-10-08$30.55$35.0090.8%20.3%71.3%100.0%77.3%14.9%-5.3%6.0K2.0M-15.7K0.8858.10N/AN/A91802,7701,754
2008-10-09$24.90$30.00114.2%25.2%99.4%100.0%89.0%14.8%-8.2%4.4K2.4M-11.5K14.8455.86N/AN/A1051,5582,8291,769
2008-10-10$23.34$30.00139.0%24.4%100.8%100.0%84.5%12.1%-11.4%-43.6K4.6M-11.4K4.17121.11N/AN/A823422,8873,155
2008-10-13$25.78$25.00119.2%26.1%109.4%84.1%86.1%28.4%-19.5%-79.4K4.3M-11.8K0.7866.04N/AN/A46362,9233,065
2008-10-14$26.31$25.00111.5%25.6%109.9%77.9%87.0%16.9%-18.8%-2.8K3.4M-11.4K0.4373.67N/AN/A87372,9403,046
2008-10-15$24.21$25.00100.8%25.5%111.6%69.3%87.1%15.8%-15.0%-93.8K4.6M-10.4K0.2761.19N/AN/A37102,9963,056
2008-10-16$23.44$25.0092.4%26.5%108.8%62.6%87.5%19.4%-15.1%-87.3K5.3M-8.7K48.0066.63N/AN/A1483,0083,009
2008-10-17$23.37$25.0088.8%25.5%105.7%59.7%87.5%17.9%-14.2%-9.5K5.7M-7.6K4.2769.31N/AN/A15643,0073,011
2008-10-20$24.78$25.0078.3%22.4%108.8%51.2%75.8%15.8%-5.4%-11.9K2.0M-8.6K0.1175.75N/AN/A372402,2901,483
2008-10-21$22.33$25.0078.6%22.5%112.1%51.5%79.1%26.1%-7.6%-1.6K2.0M-7.8K1.4082.12N/AN/A15212,6261,507
2008-10-22$20.62$25.0087.8%25.2%113.2%58.9%90.0%15.3%-6.7%-3.1K2.2M-5.6K0.6175.65N/AN/A44272,6261,528
2008-10-23$20.62$25.0091.1%26.1%111.9%61.6%88.2%22.9%-12.6%-3.8K2.5M-4.7K0.6284.49N/AN/A50312,6271,544
2008-10-24$19.32$25.00103.0%29.5%112.3%71.1%98.7%44.9%-18.0%-3.0K2.3M-4.7K1.9193.69N/AN/A34652,6091,569
2008-10-27$16.55$25.00107.5%30.8%119.6%74.7%109.3%20.3%-14.3%-9252.1M-3.5K1.9876.71N/AN/A48952,6301,564
2008-10-28$18.40$25.00108.3%31.1%130.0%75.3%123.2%60.3%-15.6%-2.6K2.3M-3.4K0.0783.90N/AN/A4332,6581,551
2008-10-29$20.66$25.0094.8%27.2%140.2%64.5%92.3%28.2%-11.5%-3.5K2.1M-5.3K0.6681.47N/AN/A122802,6961,553
2008-10-30$20.58$25.0094.7%27.1%139.9%64.4%88.0%40.7%-14.6%-2.3K2.2M-5.7K0.4769.09N/AN/A43202,7711,618
2008-10-31$20.09$25.0098.1%28.1%139.8%67.1%96.6%22.6%-17.7%-1.7K2.2M-5.1K5.6252.33N/AN/A734102,8091,603