MFC Options History — November 2008

In November 2008, MFC traded between $13.75 and $22.80. ATM implied volatility averaged 92.0%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded below realized volatility by 32.5% (HV 20d: 124.4%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 2.63.

Notable Days

  • 2008-11-12: Highest Volume — 727 contracts
  • 2008-11-12: Largest IV spike — 36.4% change
  • 2008-11-21: Highest IV Rank — 83.3%
  • 2008-11-21: Largest Expected Move — 33.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.77$13.75$22.80$22.09$17.18
Max Pain$31.84$25.00$35.00$25.00$30.00
ATM IV92.0%74.9%118.2%85.8%92.8%
Expected Move26.1%20.7%33.9%24.6%26.6%
HV 20d124.4%112.0%146.1%146.1%118.6%
HV 60d97.7%90.0%109.0%90.0%109.0%
IV Rank62.2%48.5%83.3%57.3%62.9%
IV Percentile94.3%90.9%99.2%93.7%92.9%
Term Structure-8.9%-15.2%-2.3%-10.4%-2.3%
VWIV91.9%66.2%124.1%87.2%92.7%
Skew 25d22.5%7.8%35.1%28.5%29.7%
Skew 10d49.0%28.1%80.5%63.6%77.0%
Call IV 25d80.3%67.0%106.1%73.4%83.5%
Put IV 25d102.8%81.8%132.7%101.9%113.2%
Bid-Ask Spread %44.7122.2971.0829.1735.43
Gamma HHI0.250.160.320.180.24
Net GEX-18.0K-32.6K-7.9K-12.2K-23.4K
Net DEX2.6M1.8M3.5M2.2M1.8M
Net VEX-6.3K-8.7K-4.4K-7.6K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.019.540.700.81
Total Volume210.5265372725067
Total OI5,5074,8766,3174,8765,253

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$22.09$25.0085.8%24.6%146.1%57.3%87.2%28.5%-10.4%-12.2K2.2M-7.6K0.7029.17N/AN/A1471032,8652,011
2008-11-04$22.80$25.0084.8%24.3%140.9%56.5%82.5%26.7%-11.6%-8.3K2.0M-8.7K0.2338.44N/AN/A103242,9872,100
2008-11-05$21.95$25.0084.5%24.2%138.4%56.2%66.2%19.8%-10.3%-8.1K2.1M-7.9K0.7165.38N/AN/A31223,0572,117
2008-11-06$21.37$25.0076.8%22.0%119.4%50.1%80.5%16.9%-3.5%-10.4K2.4M-7.0K0.3866.39N/AN/A61233,0612,128
2008-11-07$21.93$35.0077.5%20.8%118.0%50.6%0.0%17.3%-9.4%-9.1K2.2M-7.3K2.8155.35N/AN/A16453,0852,132
2008-11-10$22.31$35.0074.9%20.8%112.0%48.5%79.5%14.1%-8.7%-7.9K2.2M-7.1K9.1459.73N/AN/A211923,0812,112
2008-11-11$21.45$35.0075.5%20.7%112.0%49.0%78.8%17.5%-8.1%-14.9K2.6M-6.4K5.0633.54N/AN/A16813,0972,299
2008-11-12$18.57$35.00103.0%27.1%119.2%71.1%90.0%24.1%-12.6%-16.0K3.0M-4.9K9.5426.44N/AN/A696583,1072,346
2008-11-13$19.10$35.0082.5%23.7%119.8%54.7%84.6%22.7%-8.8%-32.6K3.5M-6.0K5.0730.82N/AN/A904563,1072,890
2008-11-14$18.76$35.0081.0%23.2%119.8%53.4%90.0%22.7%-6.3%-27.7K3.3M-6.5K3.8622.29N/AN/A281083,1502,919
2008-11-17$17.22$35.0092.6%26.6%119.6%62.8%90.1%14.9%-10.2%-25.0K3.3M-5.3K0.2329.55N/AN/A65153,1552,803
2008-11-18$18.19$35.0092.8%26.6%117.8%62.9%91.4%23.0%-9.1%-26.4K3.1M-5.8K0.5329.85N/AN/A156823,1922,679
2008-11-19$16.55$35.0098.5%28.2%119.1%67.4%106.3%18.7%-10.9%-21.2K3.0M-5.5K5.0871.08N/AN/A613103,3242,680
2008-11-20$13.75$35.00113.7%32.6%134.0%79.7%110.4%7.8%-8.9%-13.2K3.1M-4.4K1.6166.73N/AN/A871403,3542,864
2008-11-21$14.48$35.00118.2%33.9%135.2%83.3%124.1%31.8%-15.2%-20.1K3.1M-5.0K2.7248.46N/AN/A972643,4202,897
2008-11-24$16.12$30.00112.6%32.3%131.1%78.8%106.8%35.1%-11.8%-21.4K1.9M-6.1K0.4665.32N/AN/A98452,7352,314
2008-11-25$16.04$30.00105.6%30.3%124.8%73.2%98.6%26.4%-6.1%-20.8K1.9M-6.1K0.9943.14N/AN/A72712,8142,319
2008-11-26$16.83$30.0094.2%27.0%118.1%64.0%94.4%29.7%-4.6%-22.8K1.8M-6.4K0.0132.38N/AN/A7512,8482,331
2008-11-28$17.18$30.0092.8%26.6%118.6%62.9%92.7%29.7%-2.3%-23.4K1.8M-6.6K0.8135.43N/AN/A37302,9232,330