MFC Options History — January 2009

In January 2009, MFC traded between $15.29 and $20.45. ATM implied volatility averaged 65.0%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 16.0% (HV 20d: 80.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.59.

Notable Days

  • 2009-01-07: Highest Volume — 1,450 contracts
  • 2009-01-14: Largest IV spike — 34.6% change
  • 2009-01-12: Highest IV Rank — 52.0%
  • 2009-01-22: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.82$15.29$20.45$17.19$16.55
Max Pain$18.75$17.50$20.00$17.50$17.50
ATM IV65.0%53.2%81.0%56.4%62.0%
Expected Move18.4%16.1%21.3%16.2%17.8%
HV 20d80.9%60.6%102.3%60.6%102.1%
HV 60d100.6%93.9%110.3%108.6%93.9%
IV Rank39.3%29.1%52.0%33.7%36.4%
IV Percentile75.6%70.6%84.1%75.4%70.6%
Term Structure-0.0%-7.5%6.4%2.0%0.1%
VWIV66.4%57.0%76.8%57.6%76.7%
Skew 25d14.0%-4.7%29.0%20.4%15.0%
Skew 10d24.0%-9.9%53.4%34.0%18.0%
Call IV 25d57.5%44.1%70.5%44.1%58.0%
Put IV 25d71.4%49.3%82.6%64.5%73.1%
Bid-Ask Spread %32.9318.4375.3275.3225.49
Gamma HHI0.320.200.480.260.36
Net GEX10.3K-20.2K33.7K9.5K11.7K
Net DEX-307.3K-1.6M907.7K-380.4K393.6K
Net VEX-10.3K-14.4K-6.2K-6.2K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.1415.330.712.89
Total Volume484.7601,45060401
Total OI5,448.753,4247,2843,4247,284

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$17.19$17.5056.4%16.2%60.6%33.7%57.6%20.4%2.0%9.5K-380.4K-6.2K0.7175.32N/AN/A35252,3471,077
2009-01-05$19.16$17.5056.2%16.3%69.4%33.5%57.0%10.5%0.9%25.1K-1.0M-6.3K0.7730.19N/AN/A3162442,3821,082
2009-01-06$20.45$20.0055.8%16.1%69.4%33.2%58.5%-4.7%1.8%30.6K-1.6M-7.5K1.6339.26N/AN/A1312142,6051,315
2009-01-07$19.06$20.0067.8%18.1%74.4%42.8%65.4%12.1%-4.7%20.1K-1.1M-8.0K10.6926.11N/AN/A1241,3262,6391,476
2009-01-08$19.88$20.0063.8%18.3%72.3%39.6%63.6%29.0%-4.2%-8.4K-976.6K-9.5K0.2534.34N/AN/A159392,6962,312
2009-01-09$19.31$20.0062.8%17.8%72.8%37.0%66.4%19.5%-1.5%-5.9K-767.0K-9.4K0.3031.71N/AN/A173522,7902,308
2009-01-12$18.70$20.0081.0%18.8%72.7%52.0%59.7%10.6%4.2%-7.7K-436.6K-9.3K1.2327.13N/AN/A1481822,8982,341
2009-01-13$18.83$20.0053.2%17.4%66.7%29.1%63.9%14.3%-1.6%-3.0K-404.6K-9.8K1.1634.85N/AN/A2112443,0362,439
2009-01-14$17.80$20.0071.7%19.1%70.1%44.3%59.8%12.0%-1.7%-20.2K438.0K-9.3K0.0037.75N/AN/A05323,1122,611
2009-01-15$18.15$20.0068.4%19.6%66.2%41.6%75.6%14.5%-4.7%-6.7K188.9K-9.2K2.8928.28N/AN/A541563,1122,484
2009-01-16$18.06$20.0066.8%19.1%64.7%40.3%68.6%13.6%-7.5%-2.8K44.8K-9.0K0.5027.01N/AN/A6713383,1502,528
2009-01-20$15.82$20.0073.6%21.1%80.6%45.9%68.3%10.5%5.4%-5.2K760.1K-9.0K0.1945.57N/AN/A1,1352112,2871,942
2009-01-21$17.15$17.5065.8%18.9%85.1%39.4%76.8%17.4%2.4%30.5K-378.9K-12.2K2.1844.74N/AN/A3196953,3112,089
2009-01-22$15.29$17.5074.2%21.3%94.7%46.4%71.8%9.8%1.2%10.8K907.7K-11.1K4.9331.93N/AN/A15743,5532,606
2009-01-23$16.29$17.5065.3%18.7%97.6%39.1%75.4%16.5%1.2%17.0K286.1K-12.3K0.6227.32N/AN/A115713,5542,666
2009-01-26$16.50$17.5064.5%18.5%97.6%38.4%68.8%12.5%1.7%20.6K21.6K-12.4K0.1426.71N/AN/A355483,6292,733
2009-01-27$17.43$17.5060.9%17.4%99.4%35.4%59.5%18.5%6.4%32.8K-723.6K-14.0K1.6618.43N/AN/A1232043,8982,754
2009-01-28$18.00$17.5063.2%18.1%99.9%37.4%63.4%14.6%1.2%33.7K-1.3M-14.4K1.2222.99N/AN/A73893,9882,943
2009-01-29$16.82$17.5066.2%19.0%102.3%39.9%71.9%12.9%-3.2%22.6K-93.9K-13.8K15.3323.40N/AN/A243684,0252,973
2009-01-30$16.55$17.5062.0%17.8%102.1%36.4%76.7%15.0%0.1%11.7K393.6K-13.5K2.8925.49N/AN/A1032984,0263,258