MFC Options History — December 2008

In December 2008, MFC traded between $15.28 and $17.64. ATM implied volatility averaged 81.2%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded below realized volatility by 13.6% (HV 20d: 94.8%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2008-12-05: Highest Volume — 1,353 contracts
  • 2008-12-30: Largest IV drop — 18.3% change
  • 2008-12-03: Highest IV Rank — 76.7%
  • 2008-12-03: Largest Expected Move — 31.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.31$15.28$17.64$16.39$17.03
Max Pain$19.32$17.50$25.00$25.00$17.50
ATM IV81.2%55.3%110.0%100.4%57.9%
Expected Move23.3%15.9%31.5%28.8%16.6%
HV 20d94.8%60.7%119.3%119.3%60.7%
HV 60d110.6%108.8%111.6%109.2%111.4%
IV Rank53.6%32.8%76.7%69.0%34.9%
IV Percentile84.8%75.8%97.2%94.8%75.8%
Term Structure-3.9%-15.9%4.2%-8.4%-1.9%
VWIV81.6%56.1%125.6%96.8%57.1%
Skew 25d18.5%1.2%41.3%20.9%24.1%
Skew 10d37.5%-1.0%71.4%53.8%31.2%
Call IV 25d70.8%45.5%94.6%93.6%45.5%
Put IV 25d89.3%56.9%119.1%114.5%69.7%
Bid-Ask Spread %47.9415.8779.8036.3469.97
Gamma HHI0.290.160.510.240.24
Net GEX-883-23.9K23.7K-21.6K3.7K
Net DEX541.4K-403.9K1.9M1.8M-123.7K
Net VEX-5.9K-7.5K-4.7K-6.3K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.008.680.280.00
Total Volume216.364451,353221165
Total OI5,359.1822,7987,1905,3123,332

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$16.39$25.00100.4%28.8%119.3%69.0%96.8%20.9%-8.4%-21.6K1.8M-6.3K0.2836.34N/AN/A172492,9522,360
2008-12-02$15.96$25.00108.6%31.1%112.7%75.6%109.9%23.5%-10.3%-20.9K1.9M-6.3K0.8259.80N/AN/A49403,0952,384
2008-12-03$15.85$22.50110.0%31.5%111.4%76.7%125.6%41.3%-10.5%-21.4K1.8M-6.2K1.6530.69N/AN/A20333,0422,346
2008-12-04$15.34$22.50104.0%29.8%111.3%71.9%104.2%19.6%-7.0%-21.1K1.9M-6.0K1.4628.41N/AN/A24353,0622,374
2008-12-05$16.36$25.0094.6%26.7%114.9%64.3%95.7%22.7%-10.1%-23.9K1.8M-6.4K0.1141.49N/AN/A1,2161373,0862,389
2008-12-08$16.98$22.5097.3%26.2%115.5%66.5%92.6%21.8%-7.4%3.0K152.2K-7.5K0.2533.96N/AN/A154394,2232,391
2008-12-09$16.13$20.0097.5%28.3%115.7%66.7%100.0%23.2%-13.4%10.2K614.0K-7.2K0.0064.90N/AN/A4504,3462,416
2008-12-10$15.79$17.5086.4%26.7%115.4%57.7%93.2%24.6%-6.3%16.3K793.3K-6.8K1.1240.34N/AN/A41464,3712,416
2008-12-11$15.28$17.5089.1%25.5%105.2%59.9%87.6%18.8%-2.1%23.7K1.0M-6.4K1.2934.94N/AN/A971254,3912,452
2008-12-12$16.68$17.5077.3%22.1%110.1%50.4%86.7%21.3%-0.9%12.4K378.6K-6.6K0.6467.09N/AN/A42274,4342,470
2008-12-15$16.49$17.5079.9%22.9%110.0%52.5%81.2%18.1%-2.2%18.0K425.4K-5.9K0.5436.79N/AN/A56304,4562,479
2008-12-16$17.64$17.5076.6%22.0%108.8%49.9%75.6%19.9%-15.9%-5.9K-403.9K-5.7K0.2868.37N/AN/A3611024,4982,495
2008-12-17$17.00$17.5073.6%21.1%107.7%47.5%73.7%16.7%1.3%2.0K-315.2K-6.0K8.6879.59N/AN/A191654,7242,466
2008-12-18$16.82$17.5072.3%20.7%102.3%46.4%75.5%12.9%0.3%1.3K-317.2K-5.7K0.8636.99N/AN/A43374,7292,401
2008-12-19$16.30$17.5070.1%20.1%76.4%44.7%69.5%14.3%-0.1%3.0K-168.6K-5.0K0.0430.51N/AN/A692304,7462,371
2008-12-22$16.14$17.5071.6%20.5%74.9%45.8%56.1%18.6%-5.0%2.8K97.9K-4.8K1.0669.19N/AN/A71751,939859
2008-12-23$16.05$17.5066.3%19.0%64.6%41.6%63.1%14.4%0.8%2.1K80.0K-5.1K1.8536.77N/AN/A34632,003926
2008-12-24$15.97$17.5066.6%19.1%64.6%41.9%65.6%4.4%4.2%373128.5K-5.0K1.2679.80N/AN/A23292,028984
2008-12-26$15.94$17.5064.0%18.4%62.0%39.8%60.8%1.2%4.1%-1.3K209.2K-4.7K1.0732.63N/AN/A42452,0481,003
2008-12-29$15.98$17.5067.7%19.4%61.4%42.7%66.5%4.6%2.5%-2.4K205.7K-4.8K0.8760.15N/AN/A1211052,0901,039
2008-12-30$16.65$17.5055.3%15.9%61.1%32.8%59.4%21.0%3.0%926.9K-5.7K0.6515.87N/AN/A37242,1821,104
2008-12-31$17.03$17.5057.9%16.6%60.7%34.9%57.1%24.1%-1.9%3.7K-123.7K-5.9K0.0069.97N/AN/A16502,2131,119